Optimal Stochastic Control in Continuous Time with Wiener Processes: General Results and Applications to Optimal Wildlife Management

Variance optimal hedging for continuous time additive processes and applications

For a large class of vanilla contingent claims, we establish an explicit Föllmer-Schweizer decomposition when the underlying is an exponential of an additive process. This allows to provide an efficient algorithm for solving the mean variance hedging problem. Applications to models derived from the electricity market are performed.

Stochastic Optimal Control in Continuous Space-Time Multi-Agent Systems

Recently, a theory for stochastic optimal control in non-linear dynamical systems in continuous space-time has been developed (Kappen, 2005). We apply this theory to collaborative multi-agent systems. The agents evolve according to a given non-linear dynamics with additive Wiener noise. Each agent can control its own dynamics. The goal is to minimize the accumulated joint cost, which consists o...

Stochastic Dynamic Programming with Markov Chains for Optimal Sustainable Control of the Forest Sector with Continuous Cover Forestry

We present a stochastic dynamic programming approach with Markov chains for optimal control of the forest sector. The forest is managed via continuous cover forestry and the complete system is sustainable. Forest industry production, logistic solutions and harvest levels are optimized based on the sequentially revealed states of the markets. Adaptive full system optimization is necessary for co...

Optimal Relief Order Quantity under Stochastic Demand and Lead-time

In this paper, a newsboy model is developed under uniformly distributed lead-time and demand that is an appropriate assumption in obtaining optimal relief inventory of humanitarian disasters. It is noteworthy that limited historical data are in hand on relief operations. Hence, analytical and approximate solutions for optimal relief order quan­tity were derived. The effect of lead-time uncertai...

Quantitative Determination Of Optimal Fiscal And Monetary Policies: A Stochastic Optimal Control Analysis For Iran

Variance Optimal Hedging for continuous time processes with independent increments and applications

For a large class of vanilla contingent claims, we establish an explicit Föllmer-Schweizer decomposition when the underlying is a process with independent increments (PII) and an exponential of a PII process. This allows to provide an efficient algorithm for solving the mean variance hedging problem. Applications to models derived from the electricity market are performed.