相关论文: Optimal distributed dynamic advertising
We obtain the first probabilistic proof of continuous differentiability of time-dependent optimal boundaries in optimal stopping problems. The underlying stochastic dynamics is a one-dimensional, time-inhomogeneous diffusion. The gain…
This paper considers optimal control problem of a large insurance company under a fixed insolvency probability. The company controls proportional reinsurance rate, dividend pay-outs and investing process to maximize the expected present…
This work develops effective distributed strategies for the solution of constrained multi-agent stochastic optimization problems with coupled parameters across the agents. In this formulation, each agent is influenced by only a subset of…
Stochastic maximum principle of nonlinear controlled forward-backward systems, where the set of strict (classical) controls need not be convex and the diffusion coefficient depends explicitly on the variable control, is an open problem…
We consider the valuation problem of an (insurance) company under partial information. Therefore we use the concept of maximizing discounted future dividend payments. The firm value process is described by a diffusion model with constant…
Diffusion-based planning, learning, and control methods present a promising branch of powerful and expressive decision-making solutions. Given the growing interest, such methods have undergone numerous refinements over the past years.…
We develop an optimization model and corresponding algorithm for the management of a demand-side platform (DSP), whereby the DSP aims to maximize its own profit while acquiring valuable impressions for its advertiser clients. We formulate…
In this paper we extend dynamic programming techniques to the study of discrete-time infinite horizon optimal control problems on compact control invariant sets with state-independent best asymptotic average cost. To this end we analyse the…
We consider the problem of budget allocation for competitive influence maximization over social networks. In this problem, multiple competing parties (players) want to distribute their limited advertising resources over a set of social…
This paper investigates the optimal control problem for a class of parabolic equations where the diffusion coefficient is influenced by a control function acting nonlocally. Specifically, we consider the optimization of a cost functional…
Differential equations on metric graphs can describe many phenomena in the physical world but also the spread of information on social media. To efficiently compute the solution is a hard task in numerical analysis. Solving a design…
Consider a species whose population density solves the steady diffusive logistic equation in a heterogeneous environment modeled with the help of a spatially non constant coefficient standing for a resources distribution in a given box. We…
This paper is concerned with the determination of pricing strategies for a firm that in each period of a finite horizon receives replenishment quantities of a single product which it sells in two markets, e.g., a long-distance market and an…
The dual risk model is a popular model in finance and insurance, which is often used to model the wealth process of a venture capital or high tech company. Optimal dividends have been extensively studied in the literature for a dual risk…
We consider a deterministic continuous time model of monopolistic firm, which chooses production and pricing strategies of a single good. Firm's goal is to maximize the discounted profit over infinite time horizon. The no-backlogging…
This paper addresses optimal design problems governed by multi-state stationary diffusion equations, aiming at the simultaneous optimization of the domain shape and the distribution of two isotropic materials in prescribed proportions.…
In this paper, we consider optimal control problems derived by stochastic systems with delay, where control domains are non-convex and the diffusion coefficients depend on control variables. By an estimate of the integral of…
In this paper, we consider the robustness of a basic model of a dynamical distribution network. In the first problem, i.e., optimal weight allocation, we minimize the H-inf- norm of the dynamical distribution network subject to allocation…
We investigate constrained optimal control problems for linear stochastic dynamical systems evolving in discrete time. We consider minimization of an expected value cost over a finite horizon. Hard constraints are introduced first, and then…
We study deterministic optimal control problems for differential games with finite horizon. We propose new approximations of the strategies in feedback form, and show error estimates and a convergence result of the value in some weak sense…