Stochastic programs are usually hard to solve when applied to real-world problems; a common approach is to consider the simpler deterministic program in which random parameters are replaced by their expected values, with a loss in terms of quality of the solution. The Value of the Stochastic Solution—VSS—is normally used to measure the importance of using a stochastic model. But what if VSS is ...

We present a stochastic optimal control approach to wildlife management. The objective value is the present value of hunting and meat, reduced by the present value of the costs of plant damages and traffic accidents caused by the wildlife population. First, general optimal control functions and value functions are derived. Then, numerically specified optimal control functions and value func...

In this Note, assuming that the generator is uniform Lipschitz in the unknown variables, we relate the solution of a one dimensional backward stochastic differential equation with the value process of a stochastic differential game. Under a domination condition, an Fconsistent evaluations is also related to a stochastic differential game. This relation comes out of a min-max representation for ...

We adapt the Stochastic Perron’s method in [1] to the case of double obstacle problems associated to Dynkin games. We construct, symmetrically, a viscosity sub-solution which dominates the upper value of the game and a viscosity super-solution lying below the lower value of the game. If the double obstacle problem satisfies the viscosity comparison property, then the game has a value which is e...

In today’s competitive business environment, the design and management of supply chainnetwork is one of the most important challenges that managers encounter. The supply chain network shouldbe designed for satisfying of customer demands as well as minizing the total system costs. This paper presentsa multi-period multi-stage supply chain network design problem under demand uncertainty. The prob...