Search Results - subject:"Stochastic Control"

Company value with ruin constraint in Lundberg models

Hipp, Christian - In: Risks 6 (2018) 3, pp. 1-15

In this note we study the problem of company values with a ruin constraint in classical continuous time Lundberg models. For this, we adapt the methods and results for discrete de Finetti models to time and state continuous Lundberg models. The policy improvement method works also in continuous...

Persistent link: https://www.econbiz.de/10011996631

Optimal management of debt-to-GDP ratio with regime-switching interest rate

Ferrari, Giorgio; Rodosthenous, Neofytos - 2018

policies, counterbalanced by the total expected gain from public investments. We model this as a bounded-variation stochastic … control problem over an infinite time-horizon with regime switching, and we provide its explicit solution. To the best of our …

Persistent link: https://www.econbiz.de/10012042127

An optimal dividend problem with capital injections over a finite horizon

Ferrari, Giorgio; Schuhmann, Patrick - 2018

In this paper we propose and solve an optimal dividend problem with capital injections over a finite time horizon. The surplus dynamics obeys a linearly controlled drifted Brownian motion that is reflected at zero, dividends give rise to time-dependent instantaneous marginal profits, whereas...

Persistent link: https://www.econbiz.de/10012042134

Security from the adversary's inertia-controlling convergence speed when playing mixed strategy equilibria

Wachter, Jasmin; Rass, Stefan; König, Sandra - In: Games 9 (2018) 3, pp. 1-15

Game-theoretic models are a convenient tool to systematically analyze competitive situations. This makes them particularly handy in the field of security where a company or a critical infrastructure wants to defend against an attacker. When the optimal solution of the security game involves...

Persistent link: https://www.econbiz.de/10012227714

Mean-field type games between two players driven by backward stochastic differential equations

Aurell, Alexander - In: Games 9 (2018) 4, pp. 1-26

In this paper, mean-field type games between two players with backward stochastic dynamics are defined and studied. They make up a class of non-zero-sum, non-cooperating, differential games where the players' state dynamics solve backward stochastic differential equations (BSDE) that depend on...

Persistent link: https://www.econbiz.de/10012227731

Optimal contracts under competition when uncertainty from adverse selection and moral hazard are present

Packham, Natalie - 2018

In a continuous-time setting where a risk-averse agent controls the drift of an output process driven by a Brownian motion, optimal contracts are linear in the terminal output; this result is well-known in a setting with moral hazard and under stronger assumptions adverse selection. We show that...

Persistent link: https://www.econbiz.de/10012433182

Optimal Control Policy for Stochastic Inventory Models with Two Substitutable Products

Chen, Tianxiao; Gong, Xiting - 2018

In this paper, we consider a stochastic inventory system of two products where a fi xed proportion of the unsatisfied ed demand for one product purchases the other product as a substitute. We formulate the optimal inventory control problem as a dynamic program; and by developing two key...

Persistent link: https://www.econbiz.de/10014112491

On the Formulation of the Problem of Optimal Control of Production Parameters Using a Two-Level Model of the Production Process

Pihnastyi, Oleh - 2018

Using a statistical approach, widespread in natural sciences, a two-level model to control the parameters of the flow line production system has been built. The state of the system is given by the amounts of sets of the objects of labour. The state of the subject of labour is given by a point in...

Persistent link: https://www.econbiz.de/10012911861

Bias-Corrected Least-Squares Monte Carlo for Utility Based Optimal Stochastic Control Problems

Andreasson, Johan - 2018

-dimensional stochastic control problems without restrictions on the state dynamics, including problems with state variables affected by … control. However, when applied to stochastic control problems in the multiperiod expected utility models, the regression t … transform the value function of stochastic control problems to improve the regression t, and then using either the 'Smearing …

Persistent link: https://www.econbiz.de/10012916373

On Heckits, LATE, and Numerical Equivalence

Kline, Patrick - 2018

Structural econometric methods are often criticized for being sensitive to functional form assumptions. We study parametric estimators of the local average treatment effect (LATE) derived from a widely used class of latent threshold crossing models and show they yield LATE estimates...

Persistent link: https://www.econbiz.de/10012916571