We analyze a W-configuration assemble-to-order system with random lead times, random arrival of demand, and lost sales, in continuous time. Specifically, we assume exponentially distributed production and demand inter-arrival times. We formulate the problem as an infinite-horizon Markov decision...

The synthetic control method (SCM) is a popular approach for estimating the impact of a treatment on a single unit in panel data settings. The "synthetic control" is a weighted average of control units that balances the treated unit's pre-treatment outcomes and other covariates as closely as...

This paper deals with a nonlinear filtering problem in which a multi-dimensional signal process is additively affected by a process v whose components have paths of bounded variation. The presence of the process v prevents from directly applying classical results and novel estimates need to be...

This paper proposes and solves an optimal dividend problem in which a two-state regimeswitching environment affects the dynamics of the company's cash surplus and, as a novel feature, also the bankruptcy level. The aim is to maximize the total expected profits from dividends until bankruptcy....

Consider an insurance company whose surplus is modelled by an arithmetic Brownian motion of not necessarily positive drift. Additionally, the insurer has the possibility to invest in a stock modelled by a geometric Brownian motion independent of the surplus. Our key variable is the (absolute)...

Most nations have responded to the COVID-19 pandemic by locking down parts of their economies to reduce infectious spread. The optimal timing of the beginning and end of the lockdown, together with its intensity, is determined by the tradeoff between economic losses and improved health outcomes....

An elementary approach to a class of optimal control problems with pathwise state constraint is proposed. Based on spike variations of control, it yields simple proofs and constructive necessary conditions, including some new characterizations of optimal control. Two examples are discussed.

A model of production funds acquisition, which includes two differential links of the zero order and two series-connected inertial links, is considered in a one-sector economy. Zero-order differential links correspond to the equations of the Ramsey model. These equations contain scalar bounded...