Search Results - subject:"Stochastic Control"

A unified pricing of variable annuity guarantees under the optimal stochastic control framework

Shevchenko, Pavel V.; Luo, Xiaolin - In: Risks : open access journal 4 (2016) 3, pp. 1-31

pricing of these products via an optimal stochastic control framework and review the existing numerical methods. We also …

Persistent link: https://www.econbiz.de/10011507624

A solvable two-dimensional singular stochastic control problem with non convex costs

De Angelis, Tiziano; Ferrari, Giorgio; Moriarty, John - 2016

In this paper we provide a complete theoretical analysis of a two-dimensional degenerate non convex singular stochastic … control problem. The optimisation is motivated by a storage-consumption model in an electricity market, and features a …

Persistent link: https://www.econbiz.de/10011517458

On an optimal extraction problem with regime switching

Ferrari, Giorgio; Yang, Shuzhen - 2016

finite-fuel two-dimensional degenerate singular stochastic control problem over an infinite time-horizon. We provide explicit …

Persistent link: https://www.econbiz.de/10011517462

Controlling public debt without forgetting inflation

Ferrari, Giorgio - 2016

the total expected cost of interventions on debt ratio. We model such problem as a two-dimensional singular stochastic … control problem over an infinite time-horizon. We show that it is optimal for the government to adopt a policy that keeps the …

Persistent link: https://www.econbiz.de/10011517467

Optimal entry to an irreversible investment plan with non convex costs

De Angelis, Tiziano; Ferrari, Giorgio; Martyr, Randall; … - 2016

A problem of optimally purchasing electricity at a real-valued spot price (that is, with potentially negative cost) has been recently addressed in De Angelis, Ferrari and Moriarty (2015) [SIAM J. Control Optim. 53(3)]. This problem can be considered one of irreversible investment with a cost...

Persistent link: https://www.econbiz.de/10011517478

Attaining stochastic optimal control over debt ratios in U.S. markets

Liu, Wei-han - In: Review of quantitative finance and accounting 61 (2023) 3, pp. 967-993

Persistent link: https://www.econbiz.de/10014342125

Technical note: optimal procurement in remanufacturing systems with uncertain used-item condition

Nadar, Emre; Akan, Mustafa; Debo, Laurens; … - In: Operations research 71 (2023) 5, pp. 1441-1453

Persistent link: https://www.econbiz.de/10014393144

Efficient resource allocation contracts to reduce adverse events

Liang, Yong; Sun, Peng; Tang, Runyu; Zhang, Chong - In: Operations research 71 (2023) 5, pp. 1889-1907

Persistent link: https://www.econbiz.de/10014393286

Risk-averse stochastic optimal control : An efficiently computable statistical upper bound

Guigues, Vincent; Shapiro, Alexander; Cheng, Yi - In: Operations research letters 51 (2023) 4, pp. 393-400

Persistent link: https://www.econbiz.de/10014426574

Application of robust control for CSR formalization and stakeholders interest

Ben Abdallah, Sana; Saïdane, Dhafer; Petreczky, Mihaly - In: Computational economics 62 (2023) 3, pp. 891-934

Persistent link: https://www.econbiz.de/10014382846