Search Results - subject:"OPTIMAL control"

A stochastic maximum principle for Markov chains of mean-field type

Choutri, Salah Eddine; Hamidou, Tembine - In: Games 9 (2018) 4/84, pp. 1-24

We derive sufficient and necessary optimality conditions in terms of a stochastic maximum principle (SMP) for controls associated with cost functionals of mean-field type, under dynamics driven by a class of Markov chains of mean-field type which are pure jump processes obtained as solutions of...

Persistent link: https://www.econbiz.de/10011993336

The Italian pension gap : a stochastic optimal control approach

Milazzo, Alessandro; Vigna, Elena - In: Risks : open access journal 6 (2018) 2, pp. 1-20

We study the gap between the state pension provided by the Italian pension system pre-Dini reform and post-Dini reform. The goal is to fill the gap between the old and the new pension by joining a defined contribution pension scheme and adopting an optimal investment strategy that is...

Persistent link: https://www.econbiz.de/10011866511

The role of inflation-indexed bond in optimal management of defined contribution pension plan during the decumulation phase

Zhang, Xiaoyi; Guo, Junyi - In: Risks : open access journal 6 (2018) 2, pp. 1-16

This paper investigates the optimal investment strategy for a defined contribution (DC) pension plan during the decumulation phase which is risk-averse and pays close attention to inflation risk. The plan aims to maximize the expected constant relative risk aversion (CRRA) utility from the...

Persistent link: https://www.econbiz.de/10011811720

Optimal control of heterogeneous mutating viruses

Gubar, Elena; Taynitskiy, Vladislav; Zhu, Quanyan - In: Games 9 (2018) 4/103, pp. 1-18

viruses, which couples the SIR model with replicator dynamics used for describing virus mutations. We formulated an optimal … control problem to study the optimal strategies for medical treatment and quarantine decisions. We obtained structural results …

Persistent link: https://www.econbiz.de/10012014996

A nonlinear optimal control approach to stabilization of a macroeconomic development model

Rigatos, Gerasimos G.; Siano, Pierluigi; Ghosh, Taniya; … - In: Quantitative finance and economics 2 (2018) 2, pp. 373-387

Persistent link: https://www.econbiz.de/10012156666

Optimal control of a global model of climate change with adaptation and mitigation

Atolia, Manoj; Loungani, Prakash; Maurer, Helmut; … - 2018

atmospheric CO2 concentration on households. Formally, the model gives rise to an optimal control problem of finite horizon …

Persistent link: https://www.econbiz.de/10011978566

Partial information games and competitive advertising

Singh, Vartika; Kavitha, Veeraruna - In: Dynamic games and applications : DGA 14 (2024) 4, pp. 888-920

Persistent link: https://www.econbiz.de/10015191135

Robustness of stochastic optimal control to approximate diffusion models under several cost evaluation criteria

Pradhan, Somnath; Yüksel, Serdar - In: Mathematics of operations research 49 (2024) 4, pp. 2049-2077

Persistent link: https://www.econbiz.de/10015197730

Sequential search with acquisition uncertainty

Brown, David B.; Uru, Cagin - In: Management science : journal of the Institute for … 70 (2024) 11, pp. 7712-7729

Persistent link: https://www.econbiz.de/10015144299

Forecast and decision horizons in a commodity trading model

Sethi, Suresh P.; Chutani, Anshuman - In: International journal of production research 62 (2024) 1/2, pp. 245-259

Persistent link: https://www.econbiz.de/10014454726