相关论文: Optimum Production for a heaped stock dependent br…

We present a tractable non-independent increment process which provides a high modeling flexibility. The process lies on an extension of the so-called Harris chains to continuous time being stationary and Feller. We exhibit constructions,…

We introduce a price impact model which accounts for finite market depth, tightness and resilience. Its coupled bid- and ask-price dynamics induce convex liquidity costs. We provide existence of an optimal solution to the classical problem…

In this paper, a general stochastic model with controls applied at the moments when the random process hits the boundary of a given subset of the state set is proposed and studied. The general concept of the model is formulated and its…

We consider a nonlinear control system with vector-valued measures as controls and with dynamics depending on time delayed states. First, we introduce a notion of discontinuous, bounded variation solution associated with this system and…

We consider an optimal control problem arising in the context of economic theory of growth, on the lines of the works by Skiba (1978) and Askenazy - Le Van (1999). The economic framework of the model is intertemporal infinite horizon…

In this paper, we consider a general time-inconsistent optimal control problem for a non homogeneous linear system, in which its state evolves according to a stochastic differential equation with deterministic coefficients, when the noise…

This tutorial describes recently developed general optimality conditions for Markov Decision Processes that have significant applications to inventory control. In particular, these conditions imply the validity of optimality equations and…

We study optimal control problems in infinite horizon when the dynamics belong to a specific class of piecewise deterministic Markov processes constrained to star-shaped networks (inspired by traffic models). We adapt the results in [H. M.…

One often encounters the curse of dimensionality in the application of dynamic programming to determine optimal policies for controlled Markov chains. In this paper, we provide a method to construct sub-optimal policies along with a bound…

A price-maker company extracts an exhaustible commodity from a reservoir, and sells it instantaneously in the spot market. In absence of any actions of the company, the commodity's spot price evolves either as a drifted Brownian motion or…

The rate of entropy production provides a useful quantitative measure of a non-equilibrium system and estimating it directly from time-series data from experiments is highly desirable. Several approaches have been considered for stationary…

We study an infinite horizon optimal stopping problem which arises naturally in the optimal timing of a firm/project sale or in the valuation of natural resources: the functional to be maximised is a sum of a discounted running reward and a…

The value of plant model information available in the control design process is discussed. We design optimal state-feedback controllers for interconnected discrete-time linear systems with stochastically-varying parameters. The parameters…

A solid system consisting of two heat conducting cylinders with a thermoelectric converter (Peltier element) between them is considered. A nonlinear model, which was previously verified by authors, is used to design a constrained control…

In this paper we study a general optimal liquidation problem with a control-dependent stopping time which is the first time the stock holding becomes zero or a fixed terminal time, whichever comes first. We prove a stochastic maximum…

Inventory management is considered to be an important field in Supply Chain Management because the cost of inventories in a supply chain accounts for about 30 percent of the value of the product. The service provided to the customer…

The present paper addresses the issue of the stochastic control of the optimal dynamic reinsurance policy and dynamic dividend strategy, which are state-dependent, for an insurance company that operates under multiple insurance lines of…

Much of the progress achieved in understanding plasticity and failure in amorphous solids had been achieved using experiments and simulations in which the materials were loaded using strain control. There is paucity of results under stress…

We present a methodology for obtaining explicit solutions to infinite time horizon optimal stopping problems involving general, one-dimensional, It\^o diffusions, payoff functions that need not be smooth and state-dependent discounting.…

In this paper, we study the problem of maximizing the difference between an adaptive submodular (revenue) function and an non-negative modular (cost) function under the adaptive setting. The input of our problem is a set of $n$ items, where…