The Minimum Power Multicast Problem arises in wireless sensor networks and consists in assigning a transmission power to each node of a network in such a way that the total power consumption over the network is minimized, while a source node is connected to a set of destination nodes, toward...

In this paper, we consider the problem of making simultaneous decisions on the location, service rate (capacity) and the price of providing service for facilities on a network. We assume that the demand for service from each node of the network follows a Poisson process. The demand is assumed to...

We consider the problem of an optimal stochastic impulse control of non-Markovian Processes when the expression of the cost functional integrates sensitiveness with respect to the risk. For this class, we try to establish the existence of an optimal strategy. We prove that our impulse control...

We are interested in structures and efficient methods for mixed-integer nonlinear programs (MINLP) that arise from a first discretize, then optimize approach to time-dependent mixed-integer optimal control problems (MIOCPs). In this study we focus on combinatorial constraints, in particular on...

A fruitful idea, when providing subdifferential formulae and dual representations for convex risk measures, is to make use of the conjugate duality theory in convex optimization. In this paper we underline the outstanding role played by the qualification conditions in the context of different...

We consider a point process i + ξ i , where $${i\in \mathbb{Z}}$$ and the ξ i ’s are i.i.d. random variables with compact support and variance σ 2 . This process, with a suitable rescaling of the distribution of ξ i ’s, is well known to converge weakly, for large σ, to the Poisson...

We consider a stochastic model of a financial market with long-lived dividend-paying assets and endogenous asset prices. The model was initially developed and analyzed in the context of evolutionary finance, with the main focus on questions of “survival and extinction” of investment...

We present a model for the dynamics of discrete deterministic systems, based on an extension of the Petri nets framework. Our model relies on the definition of a priority relation between conflicting transitions, which is encoded by orienting the edges of a transition conflict graph. We provide...

We use Malliavin calculus and the Clark–Ocone formula to derive the hedging strategy of an arithmetic Asian Call option in general terms. Furthermore we derive an expression for the density of the integral over time of a geometric Brownian motion, which allows us to express hedging strategy...