相关论文: Optimum Production for a heaped stock dependent br…
We consider a stochastic factor financial model where the asset price process and the process for the stochastic factor depend on an observable Markov chain and exhibit an affine structure. We are faced with a finite time investment horizon…
Starting from the Avellaneda-Stoikov framework, we consider a market maker who wants to optimally set bid/ask quotes over a finite time horizon, to maximize her expected utility. The intensities of the orders she receives depend not only on…
We study an optimal process control problem with multiple assignable causes. The process is initially in-control but is subject to random transition to one of multiple out-of-control states due to assignable causes. The objective is to find…
The work explores a specific scenario for structural computational optimization based on the following elements: (a) a relaxed optimization setting considering the ersatz (bi-material) approximation, (b) a treatment based on a nonsmoothed…
Model-based reinforcement learning techniques accelerate the learning task by employing a transition model to make predictions. In this paper, a model-based learning approach is presented that iteratively computes the optimal value function…
We consider a production-inventory control model with finite capacity and two different production rates, assuming that the cumulative process of customer demand is given by a compound Poisson process. It is possible at any time to switch…
This article explores an optimal stopping problem for branching diffusion processes. It consists in looking for optimal stopping lines, a type of stopping time that maintains the branching structure of the processes under analysis. By using…
We study a control problem where the state equation is a nonlinear partial differential equation of the calculus of variation in a bounded domain, perturbed by noise. We allow the control to act on the boundary and set stochastic boundary…
We study optimal control of Markov processes with age-dependent transition rates. The control policy is chosen continuously over time based on the state of the process and its age. We study infinite horizon discounted cost and infinite…
This paper concerns an optimal impulse control problem associated with a refracted L\'{e}vy process, involving the reduction of reserves to a predetermined level whenever they exceed a specified threshold. The ruin time is determined by…
We analyze the relative price change of assets starting from basic supply/demand considerations subject to arbitrary motivations. The resulting stochastic differential equation has coefficients that are functions of supply and demand. We…
In the frictionless discrete time financial market of Bouchard et al.(2015) we consider a trader who, due to regulatory requirements or internal risk management reasons, is required to hedge a claim $\xi$ in a risk-conservative way relative…
This study investigates a stochastic production planning problem with regime-switching parameters, inspired by economic cycles impacting production and inventory costs. The model considers types of goods and employs a Markov chain to…
Most decision theories, including expected utility theory, rank dependent utility theory and cumulative prospect theory, assume that investors are only interested in the distribution of returns and not in the states of the economy in which…
In financial markets, liquidity is not constant over time but exhibits strong seasonal patterns. In this article we consider a limit order book model that allows for time-dependent, deterministic depth and resilience of the book and…
The present paper represents a continuation of our previous one. There, a continuous dependence result for the solution of an elliptic variational-hemivariational inequality was obtained and then used to prove the existence of optimal pairs…
We introduce a variational algorithm to estimate the likelihood of a rare event within a nonequilibrium molecular dynamics simulation through the evaluation of an optimal control force. Optimization of a control force within a chosen basis…
We consider the problem of governing systemic risk in a banking system model. The banking system model consists in an initial value problem for a system of stochastic differential equations whose dependent variables are the log-monetary…
We study the dependence of volatility on the stock price in the stochastic volatility framework on the example of the Heston model. To be more specific, we consider the conditional expectation of variance (square of volatility) under fixed…
Model predictive control (MPC) schemes are commonly designed with fixed, i.e., time-invariant, horizon length and cost functions. If no stabilizing terminal ingredients are used, stability can be guaranteed via a sufficiently long horizon.…