相关论文: Optimal strategies in a production-inventory contr…

We consider a stochastic control problem with the assumption that the system is controlled until the state process breaks the fixed barrier. Assuming some general conditions, it is proved that the resulting Hamilton Jacobi Bellman equations…

This paper studies a continuous-review backlogged inventory model considered by Helmes et al. (2015) but with discontinuous quantity-dependent setup cost for each order. In particular, the setup cost is characterized by a two-step function…

In this paper we consider an energy storage optimization problem in finite time in a model with partial information that allows for a changing economic environment. The state process consists of the storage level controlled by the storage…

This paper is concerned with cost optimization of an insurance company. The surplus of the insurance company is modeled by a controlled regime switching diffusion, where the regime switching mechanism provides the fluctuations of the random…

In this paper, we study a controllable tandem queueing system consisting of two nodes and a controller, in which customers arrive according to a Poisson process and must receive service at both nodes before leaving the system. A decision…

In this paper we study the problem of optimally paying out dividends from an insurance portfolio, when the criterion is to maximize the expected discounted dividends over the lifetime of the company and the portfolio contains claims due to…

We investigate the portfolio execution problem under a framework in which volatility and liquidity are both uncertain. In our model, we assume that a multidimensional Markovian stochastic factor drives both of them. Moreover, we model…

We formulate a continuous-time competitive equilibrium model of irreversible capacity investment in which a continuum of heterogeneous producers supplies a single non-durable good subject to exogenous stochastic demand. Each producer…

This paper studies optimal switching on and o? of the entire service capacity of an M/M/Infinity queue with holding, running and switching costs where the running costs depend only on whether the system is running or not. The goal is to…

We study a stochastic control problem for continuous multidimensional martingales with fixed quadratic variation. In a radially symmetric environment, we are able to find an explicit solution to the control problem and find an optimal…

We consider a risk-sensitive optimization of consumption-utility on infinite time horizon where the one-period investment gain depends on an underlying economic state whose evolution over time is assumed to be described by a discrete-time,…

As is well known, average-cost optimality inequalities imply the existence of stationary optimal policies for Markov Decision Processes with average costs per unit time, and these inequalities hold under broad natural conditions. This paper…

In this paper we address the problem of optimal dividend payout strategies from a surplus process governed by Brownian motion with drift under a drawdown constraint, i.e. the dividend rate can never decrease below a given fraction $a$ of…

In this paper, we consider joint drift rate control and impulse control for a stochastic inventory system under long-run average cost criterion. Assuming the inventory level must be nonnegative, we prove that a…

We study an optimal execution strategy for purchasing a large block of shares over a fixed time horizon. The execution problem is subject to a general price impact that gradually dissipates due to market resilience. We allow for general…

We consider a two-product inventory system with independent Poisson demands, limited joint storage capacity and partial demand substitution. Replenishment is performed simultaneously for both products and the replenishment time may be fixed…

High-tech systems are typically produced in two stages: 1) Production of components using specialized equipment and staff; 2) System assembly/integration. Component production capacity is subject to fluctuations, causing a high risk of…

``When in a difficult situation, it is sometimes better to give up and start all over again''. While this empirical truth has been regularly observed in a wide range of circumstances, quantifying the effectiveness of such a heuristic…

An isoperimetric optimal control problem with non-convex cost is considered for a class of nonlinear control systems with periodic boundary conditions. This problem arises in chemical engineering as the maximization of the product of…

A bivariate extension to Box and Jenkins (1963) feedback adjustment problem is presented in this paper. The model balances the fixed cost of making an adjustment, which is assumed independent of the magnitude of the adjustments, with the…