We consider a general class of price-based network revenue management problems that a firm aims to maximize revenue from multiple products produced with multiple types of resources endowed with limited inventory over a finite selling season. A salient feature of our problem is that the firm does...

We consider the optimal dividend problem in the so-called degenerate bivariate risk model under the assumption that the surplus of one branch may become negative. More specific, we solve the stochastic control problem of maximizing discounted dividends until simultaneous ruin of both branches of...

This paper develops an approximate closed-form optimal portfolio allocation formula for a spot asset whose variance follows a GARCH(1,1) process. We consider an investor with constant relative risk aversion (CRRA) utility who wants to maximize the expected utility from terminal wealth under a...

This paper proposes a new approach to dynamic programming in continuous time using adaptive sparse grids. The standard finite-difference method, used to solve differential equations on uniform grids, fails on sparse grids. Our paper presents a sparse finite-difference method that leads to...

This paper introduces a flexible method based on dynamic programming to calculate the quantitative value of any approach to managing the innovation process. The quantification lets managers precisely compare the values of different approaches, and so identify those that are optimised for their...

We adopt deep neural networks and reinforcement learning towards dynamic bottom-up portfolio construction by directly optimizing the weight of each asset conditioning on a large set of stock characteristics and macroeconomic indicators. Our model offers flexibility in the dynamics of returns,...

Problem definition: We consider a production system where a certain resource is used as the key raw material. The firm needs to decide the production quantity in each period facing stochastic demand and subject to the resource capacity constraint. The resource is self-renewable, and the growth...

Agents attempt to maximize expected profits earned by selling multiple units of a perishable product where their revenue streams are affected by the prices they quote as well as the distribution of other prices quoted in the market by other agents. We propose a model which captures this...