In this paper, we treat an optimal control problem of a stochastic two-machine flowshop with machines subject to random breakdown and repair. While the problem is difficult to solve, it can be approximated by a deterministic problem when the rates of machine failure and repair become large....

This paper presents an asymptotic analysis of control models governed by stochastic ordinary differential equations. A sufficient condition of near-optimal controls is given based on Ekeland's principle. It is shown that, under some concavity assumptions, the e-maximum condition in terms of the...

We study optimal investment strategies under the objective of maximizing the Omega ratio, proposed by Keating and Shadwick (2002) as an alternative to the Sharpe ratio for performance assessment of investment strategies. We show that in a standard set-up of the financial market the problem is...