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12 papers · 1 filter
Operational Research: Methods and Applications
Fotios Petropoulos, Gilbert Laporte, Emel Aktas +79
Throughout its history, Operational Research has evolved to include a variety of methods, models and algorithms that have been applied to a diverse and wide range of contexts. This…
A Structured Optimal Controller with Feed-Forward for Transportation
Martin Heyden, Richard Pates, Anders Rantzer
We study an optimal control problem for a simple transportation model on a path graph. We give a closed form solution for the optimal controller, which can also account for planned…
Pricing of European options in incomplete jump diffusion markets
Nacira Agram, Bernt Øksendal
We study option prices in financial markets where the risky asset prices are modelled by jump diffusions. It was proposed by Schweizer (1996) in a general semimartingale setting, f…
Stochastic Maximum Principle with Default
Khalida Bachir Cherif, Nacira Agram, Kristina Dahl
In this paper, we derive sufficient and necessary maximum principles for a stochastic optimal control problem where the system state is given by a controlled stochastic differentia…
Discrete-time risk-aware optimal switching with non-adapted costs
Randall Martyr, John Moriarty, Magnus Perninge
We solve non-Markovian optimal switching problems in discrete time on an infinite horizon, when the decision maker is risk aware and the filtration is general, and establish existe…
Singular optimal control of stochastic Volterra integral equations
Nacira Agram, Saloua Labed, Bernt Øksendal +1
This paper deals with optimal combined singular and regular controls for stochastic Volterra integral equations, where the solution X^{u,ξ}(t)=X(t) is given by X(t) =ϕ(t)+\int_{0}^…