Search Results - subject:"Control theory"

Peitz, Martin - 2015

We study optimal experimentation by a monopolistic platform in a two-sided market. The platform provider is uncertain about the strength of the externality each side is exerting on the other. Setting participation fees on both sides, it gradually learns about these externalities by observing...

Persistent link: https://www.econbiz.de/10013037492

ERM in an Optimal Control Framework

Taylor, Greg - 2015

control theory. Here there is a defined objective, which would usually include some aspect of profit, and a set of constraints … (the risk controls). Optimal control theory provides a framework for balancing the one against the other, and also for … associated ERM Integrated Framework. After definitions, preliminary discussion and establishment of the control theory set …

Persistent link: https://www.econbiz.de/10013015535

Necessary and Sufficient Conditions for Optimal Control Problems with Linear State, Semicontinuous Lagrangians

Martimort, David; Stole, Lars - 2015

We present a set of necessary and sufficient conditions for a class of optimal control problems with pure state constraints for which the objective function is linear in the state variable but the objective function is otherwise only restricted to be upper semi-continuous in the control variable

Persistent link: https://www.econbiz.de/10014148619

Valuation of Variable Annuities with Guaranteed Minimum Withdrawal and Death Benefits via Stochastic Control Optimization

Luo, Xiaolin - 2015

In this paper we present a numerical valuation of variable annuities with combined Guaranteed Minimum Withdrawal Benefit (GMWB) and Guaranteed Minimum Death Benefit (GMDB) under optimal policyholder behavior solved as an optimal stochastic control problem. This product simultaneously deals with...

Persistent link: https://www.econbiz.de/10013031777

Experimentation in Two-Sided Markets

Peitz, Martin - 2015

Persistent link: https://www.econbiz.de/10013022496

Norwegian Rhapsody? The Political Economy Benefits of Regional Integration

Campos, Nauro - 2015

This paper investigates whether joint economic and political integration leads to larger economic benefits than just economic integration. The identification strategy rests on the fact that Norway, at the time of the 1995 Enlargement of the European Union (EU), had successfully completed...

Persistent link: https://www.econbiz.de/10013016399

Operational Research in education

Johnes, Jill - In: European journal of operational research : EJOR 243 (2015) 3, pp. 683-696

Persistent link: https://www.econbiz.de/10010513941

Organizational control as antidote to politics in the pursuit of strategic initiatives

Kreutzer, Markus; Walter, Jorge; Cardinal, Laura B. - In: Strategic management journal 36 (2015) 9, pp. 1317-1337

Persistent link: https://www.econbiz.de/10011418146

A General Verification Result for Stochastic Impulse Control Problems

Belak, Christoph - 2019

This paper establishes existence of optimal controls for a general stochastic impulse control problem. For this, the value function is characterized as the pointwise minimum of a set of superharmonic functions, as the unique continuous viscosity solution of the quasi-variational inequalities,...

Persistent link: https://www.econbiz.de/10012903177

Sufficient Conditions for the Optimal Control of a Class of Systems with Continuous Lags

Sethi, Suresh - 2019

Sufficient conditions in the form of a maximum principle are obtained for the optimal control of a system described by integro-differential equations and subject to some specified path constraints. The conditions are relaxed to allow for jumps in the adjoint variables at the junction points,...

Persistent link: https://www.econbiz.de/10012906228