相关论文: Optimal distributed dynamic advertising

We study the numerical solution of nonlinear partially observed optimal stopping problems. The system state is taken to be a multi-dimensional diffusion and drives the drift of the observation process, which is another multi-dimensional…

We consider the problem of reducing the carbon emissions of a set of firms over a finite horizon. A regulator dynamically allocates emission allowances to each firm. Firms face idiosyncratic as well as common economic shocks on emissions,…

We consider a discrete-time financial market model with finite time horizon and give conditions which guarantee the existence of an optimal strategy for the problem of maximizing expected terminal utility. Equivalent martingale measures are…

We study optimal investment problem for a diffusion market consisting of a finite number of risky assets (for example, bonds, stocks and options). Risky assets evolution is described by Ito's equation, and the number of risky assets can be…

We study high-dimensional stochastic optimal control problems in which many agents cooperate to minimize a convex cost functional. We consider both the full-information problem, in which each agent observes the states of all other agents,…

This study considers an optimal reinsurance, investment, and dividend strategy control problem for insurance companies in a regulated Markov regime-switching environment, intending to maximize long-run average reward. Unlike existing single…

Motivated by recent development in networking and parallel data-processing, we consider a distributed and localized finite-sum (or fixed-sum) allocation technique to solve resource-constrained convex optimization problems over multi-agent…

A class of optimal control problems governed by linear fractional diffusion equation with control constraint is considered. We first establish some results on the existence of strong solution to the state equation and the existence of…

The maximality principle has been a valuable tool in identifying the free-boundary functions that are associated with the solutions to several optimal stopping problems involving one-dimensional time-homogeneous diffusions and their running…

We consider an optimal control problem for a non-autonomous model of ODEs that describes the evolution of the number of customers in some firm. Namely we study the best marketing strategy. Considering a $L^2$ cost functional, we establish…

Problem definition: Traditional monopoly pricing assumes sellers have full information about consumer valuations. We consider monopoly pricing under limited information, where a seller only knows the mean, variance and support of the…

The article discusses the gradient discretisation method (GDM) for distributed optimal control problems governed by diffusion equation with pure Neumann boundary condition. Using the GDM framework enables to develop an analysis that…

This paper is concerned with a discounted optimal control problem of partially observed forward-backward stochastic systems with jumps on infinite horizon. The control domain is convex and a kind of infinite horizon observation equation is…

We consider a distribution logistics scenario where a shipping operator, managing a limited amount of resources, receives a stream of collection requests, issued by a set of customers along a booking time-horizon, that are referred to a…

We characterise the value function of the optimal dividend problem with a finite time horizon as the unique classical solution of a suitable Hamilton-Jacobi-Bellman equation. The optimal dividend strategy is realised by a Skorokhod…

We study the profit maximization problem of a cognitive virtual network operator in a dynamic network environment. We consider a downlink OFDM communication system with various network dynamics, including dynamic user demands, uncertain…

We consider a stochastic system whose uncontrolled state dynamics are modelled by a general one-dimensional It\^{o} diffusion. The control effort that can be applied to this system takes the form that is associated with the so-called…

The topics treated in this thesis are inherently two-fold. The first part considers the problem of a market maker optimally setting bid/ask quotes over a finite time horizon, to maximize her expected utility. The intensities of the orders…

We study a family of optimal control problems in which one aims at minimizing a cost that mixes a quadratic control penalization and the variance of the system, both for finitely many agents and for the mean-field dynamics as their number…

Diffusion on complex networks is often modeled as a stochastic process. Yet, recent work on strategic diffusion emphasizes the decision power of agents and treats diffusion as a strategic problem. Here we study the computational aspects of…