In this article we study an optimal stopping/optimal control problem which models the decision facing a risk averse agent over when to sell an asset. The market is incomplete so that the asset exposure cannot be hedged. In addition to the decision over when to sell, the agent has to choose a control strategy which corresponds to a feasible wealth process. We formulate this problem as one involv...

We consider a collective insurance risk model with a compound Cox claim process, in which the evolution of a claim intensity is described by a stochastic differential equation driven by a Brownian motion. The insurer operates in a financial market consisting of a risk-free asset with a constant force of interest and a risky asset which price is driven by a Lévy noise. We investigate two optimiz...

Cox & Leland (2000) use techniques from the field of stochastic control theory to show that in the particular case of a Brownian motion for the asset returns all risk averse decision makers with a fixed investment horizon prefer path-independent pay-offs over path-dependent ones. We will provide a novel and simple proof for the Cox & Leland result and we will extend it to general, not necessari...

This paper presents a video-based system methodology for automatic red light runner detection on an image sequence. It extracts information regarding the state of the traffic light and vehicle motions without any physical or electronic connections to the traffic light control system or the buried loop detectors. The new methodology detects vehicle motions based on the virtual loop detector conc...

The paper provides a review of the basics of financial engineering, with a few examples. We emphasize connections with control theory in a broad sense rather than with stochastic control theory in particular, and the reader is not assumed to be versed in stochastic processes. After a discussion of the main methods of financial risk management, a state-space framework for modeling financial mark...

Notice: Changes introduced as a result of publishing processes such as copy-editing and formatting may not be reflected in this document. For a definitive version of this work, please refer to the published source: Abstract. This paper will examine how legal considerations arising from the aggregation of data impact upon technical access control mechanisms. Research findings are based on a mult...

This paper clariies the relationship between risk-sensitive and robust control. This topic has received attention in the recent literature. We show that the formulations are related through an appropriate limit that is more natural than the small noise limit considered previously. The relationship we discuss is more closely related to that which has been shown in the linear systems setting. 1 S...

Building an accelerator at six geographically dispersed sites is quite mad, but politically expedient. The Spallation Neutron Source (SNS), currently under construction in Oak Ridge, Tennessee, combines a pulsed 1 Gev H superconducting linac with a compressor ring to deliver 2MW of beam power to a liquid mercury target for neutron production [1]. Accelerator components, target and experimental ...

A model is proposed to study optimal trading strategies in a limit order book, as typically arise when a trader has a block of shares to liquidate and she submits limit orders. The execution of limit orders is uncertain, which leads to a stochastic control problem. In contrast to previous literature, we allow the trader to choose both the quotes and the sizes of her submitted orders. Great atte...

Risk assessment and access control are important issues in cloud computing. In this paper, we propose a formal approach to risk assessment for RBAC Systems, in which access control decisions are taken after consideration of risk assessment. The risk assessment method considers partial orderings on objects and actions, which allow us to effectively capture the notions of importance of objects an...