We consider a class of stochastic mathematical programs with complementarity constraints, in which both the objective and the constraints involve limit functions or expectations that need to be estimated or approximated.Such programs can be used for modeling average or steady-state behavior of...

Abstract: In this article we analyze how the presence of thresholds influences multi agent decision making situations. We introduce a class of discounted autonomous optimal control problems with threshold effects and discuss tools to analyze these problems. Later, using these results we...

AMS classification: 90C22, 20Cxx, 70-08

In this note we present both necessary and sufficient conditions for the existence of a linear static state feedback controller if the system is described by an index one descriptor system. A priori no definiteness restrictions are made w.r.t. the quadratic performance criterium. It is shown...

Abstract Introducing a ceiling on total carbon dioxide (CO2) emissions and allowing polluting industries to buy and sell permits to meet it (known as a cap-and-trade system) affects investment strategies, generation quantities, and prices in electricity markets. In this paper we analyze these...

This paper considers the impact of investment cost asymmetry on the value and optimal real option exercise strategies of firms under imperfect competition.Both firms have an opportunity to invest in a project enhancing (ceteris paribus) the profit now.We show that three types of equilibria exist...

We study the optimal capacity and lifetime of landfills taking into account their sequential nature.Such an optimal capacity is characterized by the so-called Optimal Capacity Condition.Particular versions of this condition are obtained for two alternative settings: first, if all the landfills...

AMS classifications: 47H10; 54H25; 55M20; 90C33; 91B50

In this note we consider the cooperative linear quadratic control problem. That is, the problem where a number of players, all facing a (different) linear quadratic control problem, decide to cooperate in order to optimize their performance. It is well-known, in case the performance criteria are...

In this paper we propose a new rule to allocate risk capital to portfolios or divisions within a firm. Specifically, we determine the capital allocation that minimizes the excesses of sets of portfolios in lexicographical sense. The excess of a set of portfolios is defined as the expected loss...