相关论文: Stochastic Production Planning in Manufacturing Sy…
We consider an inventory system whose state is modeled by a L\'{e}vy process. There are two types of costs--the running costs and the inventory control costs. The running costs (also known as the holding/penalty costs) are incurred…
In this paper we study a continuous time stochastic inventory model for a commodity traded in the spot market and whose supply purchase is affected by price and demand uncertainty. A firm aims at meeting a random demand of the commodity at…
In this article, we study optimal investment and consumption in an incomplete stochastic factor model for a power utility investor on the infinite horizon. When the state space of the stochastic factor is finite, we give a complete…
We develop dynamical programming methods for the purpose of optimal control of quantum states with convex constraints and concave cost and bequest functions of the quantum state. We consider both open loop and feedback control schemes,…
This paper studies an optimal stochastic impulse control problem in a finite horizon with a decision lag, by which we mean that after an impulse is made, a fixed number units of time has to be elapsed before the next impulse is allowed to…
With the growing global emphasis on sustainability and the implementation of contemporary environmental policies, photovoltaic (PV) generation is playing an increasingly important role in modern power systems, while its intrinsic…
We consider an economy made of competing firms which are heterogeneous in their capital and use several inputs for producing goods. Their consumption policy is fixed rationally by maximizing a utility and their capital cannot fall below a…
We study an inverse problem of the stochastic optimal control of general diffusions with performance index having the quadratic penalty term of the control process. Under mild conditions on the system dynamics, the cost functions, and the…
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…
An optimal control problem is considered for a stochastic differential equation containing a state-dependent regime switching, with a recursive cost functional. Due to the non-exponential discounting in the cost functional, the problem is…
We revisit an absolutely-continuous version of the stochastic control problem driven by a L\'evy process. A strategy must be absolutely continuous with respect to the Lebesgue measure and the running cost function is assumed to be convex.…
We study a discounted singular stochastic control problem driven by a general L\'evy process, where the objective is to minimize a cost functional composed of a running cost and a control cost that depends on the current state of the…
An optimal control problem is considered for a stochastic differential equation with the cost functional determined by a backward stochastic Volterra integral equation (BSVIE, for short). This kind of cost functional can cover the general…
In this paper we consider the following optimal stopping problem $$V^{\omega}_{\rm A}(s) = \sup_{\tau\in\mathcal{T}} \mathbb{E}_{s}[e^{-\int_0^\tau \omega(S_w) dw} g(S_\tau)],$$ where the process $S_t$ is a jump-diffusion process,…
Viewing stochastic processes through the lens of occupation measures has proved to be a powerful angle of attack for the theoretical and computational analysis of stochastic optimal control problems. We present a simple modification of the…
We deal with an infinite horizon, infinite dimensional stochastic optimal control problem arising in the study of economic growth in time-space. Such problem has been the object of various papers in deterministic cases when the possible…
We develop a general framework for extracting highly uniform bounds on local stability for stochastic processes in terms of information on fluctuations or crossings. This includes a large class of martingales: As a corollary of our main…
Stochastic processes offer a flexible mathematical formalism to model and reason about systems. Most analysis tools, however, start from the premises that models are fully specified, so that any parameters controlling the system's dynamics…
We derive an It\^o-type formula for a measure-valued process that has a decomposition analogous to a classical semimartingale. The derivation begins with a time partitioning approach similar to the classical proof of It\^o's formula. To…
We consider a continuous-review inventory system in which the setup cost of each order is a general function of the order quantity and the demand process is modeled as a Brownian motion with a positive drift. Assuming the holding and…