Impulse Control of Brownian Motion

Existence of an Infinite-horizon Optimal Impulse Consumption of a Geometric Brownian Motion with Variable Coefficients

We consider the problem of maximizing expected lifetime utility from consumption of a geometric Brownian motion with variable coefficients, in the presence of controlling costs with a fixed component. Under general assumptions on the utility function and the intervention costs our main result is to show that, if the discount rate is large enough, there always exists an optimal Markovian impulse...

Brownian Inventory Models with Convex

We consider an inventory system in which inventory level fluctuates as a Brownian motion in the absence of control. The inventory continuously accumulates cost at a rate that is a general convex function of the inventory level, which can be negative when there is a backlog. At any time, the inventory level can be adjusted by a positive or negative amount, which incurs a fixed cost and a proport...

Existence and Measurability of the Solution of the Stochastic Differential Equations Driven by Fractional Brownian Motion

Optimal cash management using impulse control

We consider the impulse control of Levy processes under the infinite horizon, discounted cost criterion. Our motivating example is the cash management problem in which a controller is charged a fixed plus proportional cost for adding to or withdrawing from her reserve, plus an opportunity cost for keeping any cash on hand. Our main result is to provide a verification theorem for the optimality ...

CFD simulations on natural convection heat transfer of alumina-water nanofluid with Brownian motion effect in a 3-D enclosure

The CFD simulation has been undertaken concerning natural convection heat transfer of a nanofluid in vertical square enclosure, whose dimension, width height length (mm), is 40 40 90, respectively. The nanofluid used in the present study is -water with various volumetric fractions of the alumina nanoparticles ranging from 0-3%. The Rayleigh number is . Fluent v6.3 is used to simulate nanofluid ...