3 citations · 3 across the 2 of their papers we have counts for
2 papers
math.OC2022★ 3 cited
Linearisation Techniques and the Dual Algorithm for a Class of Mixed Singular/Continuous Control Problems in Reinsurance. Part I: Theoretical Aspects
Dan Goreac, Juan Li, Boxiang Xu
This paper focuses on linearisation techniques for a class of mixed singular/continuous control problems and ensuing algorithms. The motivation comes from (re)insurance problems wi…
math.OC2021
SIR Epidemics With State-Dependent Costs and ICU Constraints: A Hamilton-Jacobi Verification Argument and Dual LP Algorithms
Lorenzo Freddi, Dan Goreac, Juan Li +1
The aim of this paper is twofold. On one hand, we strive to give a simpler proof of the optimality of greedy controls when the cost of interventions is control-affine and the dynam…