Search Results - subject:"OPTIMAL control"

Optimal dividends under Markov-Modulated Bankruptcy Level

Ferrari, Giorgio; Schuhmann, Patrick; Zhu, Shihao - 2021

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....

Persistent link: https://www.econbiz.de/10012670176

Minimal expected time in drawdown through investment for an insurance diffusion model

Brinker, Leonie Violetta - In: Risks : open access journal 9 (2021) 1/17, pp. 1-18

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)...

Persistent link: https://www.econbiz.de/10012423032

COVID-19 and optimal lockdown strategies : the effect of new and more virulent strains

Caulkins, Jonathan P.; Grass, Dieter; Feichtinger, Gustav; … - 2021

tradeoff between economic losses and improved health outcomes. These choices can be modeled within the framework of an optimal … control model that recognizes the nonlinear dynamics of epidemic spread and the increased risks when infection rates surge …

Persistent link: https://www.econbiz.de/10012428077

Optimal control and positional controllability in a one-sector economy

Grigorenko, Nikolai; Luk'yanova, Lilia - In: Games 12 (2021) 1/11, pp. 1-12

maximize the average consumption value over a given time interval. The properties of optimal control are analytically …

Persistent link: https://www.econbiz.de/10012432548

Two-sided singular control of an inventory with unknown demand trend

Federico, Salvatore; Ferrari, Giorgio; Rodosthenous, … - 2021

version of) the value function, we construct an optimal control rule, and we show that the free boundaries delineating …

Persistent link: https://www.econbiz.de/10012436809

Optimal surplus-dependent reinsurance under regime-switching in a Brownian risk model

Eisenberg, Julia; Fabrykowski, Lukas; Schmeck, Maren Diane - In: Risks : open access journal 9 (2021) 4, pp. 1-25

In this paper, we consider a company that wishes to determine the optimal reinsurance strategy minimising the total expected discounted amount of capital injections needed to prevent the ruin. The company's surplus process is assumed to follow a Brownian motion with drift, and the reinsurance...

Persistent link: https://www.econbiz.de/10012508723

Optimal Harvest with Multiple Fishing Zones, Endogenous Price and Global Uncertainty

Pizarro, Jose; Schwartz, Eduardo S. - National Bureau of Economic Research - 2021

and to a lesser degree also with price uncertainty. We develop and implement a stochastic optimal control approach to …

Persistent link: https://www.econbiz.de/10012510611

Multidimensional singular control and related Skorokhod problem : sufficient conditions for the characterization of optimal controls

Dianetti, Jodi; Ferrari, Giorgio - 2021

We characterize the optimal control for a class of singular stochastic control problems as the unique solution to a … prove that the optimal control acts only when the underlying diffusion attempts to exit the so-called waiting region, and … the optimal control in degenerate and non degenerate settings considered in the literature, where this important aspect …

Persistent link: https://www.econbiz.de/10012488056

Applications of Markov chain approximation methods to optimal control problems in economics

Phelan, Thomas; Eslami, Keyvan - 2021

Persistent link: https://www.econbiz.de/10012489813

Optimal control theory : introduction to the special issue

Grigorieva, Ellina - In: Games 12 (2021) 1/29, pp. 1-4

Persistent link: https://www.econbiz.de/10012493328