相关论文: Optimal supply against fluctuating demand

Bayesian optimal design is a well-established approach to planning experiments. A distribution for the responses, i.e. a statistical model, is assumed which is dependent on unknown parameters. A utility function is then specified giving…

In this work we develop on the recently suggested concept of superstatistics [C. Beck and E.G.D. Cohen, Physica A {\bf 322}, 267 (2003)], face the problem of devising a viable way for estimating the correct statistics for a system in…

We study the revenue maximization problem with an imprecisely estimated distribution of a single buyer or several independent and identically distributed buyers given that this estimation is not far away from the true distribution. We use…

This paper develops a new model of business cycles. The model is economical in that it is solved with an aggregate demand-aggregate supply diagram, and the effects of shocks and policies are obtained by comparative statics. The model builds…

This paper considers a distributionally robust chance constraint model with a general ambiguity set. We show that a sample based approximation of this model converges under suitable sufficient conditions. We also show that upper and lower…

General equilibrium equations in economics play the same role with many-body Newtonian equations in physics. Accordingly, each solution of the general equilibrium equations can be regarded as a possible microstate of the economic system.…

I study the optimal pricing process for selling a unit good to a buyer with prospect theory preferences. In the presence of probability weighting, the buyer is dynamically inconsistent and can be either sophisticated or naive about her own…

The aim of this paper is to solve an optimal investment, consumption and life insurance problem when the investor is restricted to capital guarantee. We consider an incomplete market described by a jump-diffusion model with stochastic…

Several problems arising in Economics and Finance are analyzed using concepts and quantitative methods from Physics. Here is the abridged abstact: Chapter 1: By analogy with energy, the equilibrium probability distribution of money must…

We obtain distribution-free bounds for various fundamental quantities used in probability theory by solving optimization problems that search for extreme distributions among all distributions with the same mean and dispersion. These…

We consider the problem of optimal consumption from labor income and investment in a general incomplete semimartingale market. The economic agent cannot borrow against future income, so the total wealth is required to be positive at (all or…

One of the problems faced by a firm that sells certain commodities is to determine the number of products that it must supply in order to maximize its profit. In this article, the authors give an answer to this problem of economic interest.…

In this paper, we study a stochastic optimal control problem with stochastic volatility. We prove the sufficient and necessary maximum principle for the proposed problem. Then we apply the results to solve an investment, consumption and…

This paper considers the constrained portfolio optimization in a generalized life-cycle model. The individual with a stochastic income manages a portfolio consisting of stocks, a bond, and life insurance to maximize his or her consumption…

This paper studies the optimal extraction policy of an oil field as well as the efficient taxation of the revenues generated. Taking into account the fact that the oil price in worldwide commodity markets fluctuates randomly following…

Many statistical methods require solutions to optimization problems. When the global solution is hard to attain, statisticians always use the better if there are two solutions for chosen, where the word "better" is understood in the sense…

We propose flexible Gaussian representations for conditional cumulative distribution functions and give a concave likelihood criterion for their estimation. Optimal representations satisfy the monotonicity property of conditional cumulative…

The problem of load balancing in a distribution network under unknown time- varying demand and supply is studied. A set of distributed controllers which regulate the amount of flow through the edges is designed to guarantee convergence of…

In this paper we investigate a dynamic pricing model for constant demand elasticity where customers have a probability distribution on the number of items they order. This is a generalization from standard models which restrict customers to…

The dynamics of a one-dimensional stochastic model is studied in presence of an absorbing boundary. The distribution of fluctuations is analytically characterized within the generalized van Kampen expansion, accounting for higher order…