Titlebook: Optimal Control and Dynamic Games; Applications in Fina Christophe Deissenberg,Richard F. Hartl Book 2005 Springer-Verlag US 2005 Applicati

animated

Volatility Forecasts and the Profitability of Automated Trading Strategiese a different approach. Based on conditional variance models of the GARCH type they forecast volatility and use these forecasts to predict future option prices. In combination with simple trading rules Noh et al. evaluate the profitability of these forecasts for the S&P 500 index. In this paper we t

花爭(zhēng)吵

Two-Part Tariff Pricing in a Dynamic Environmentper unit of consumption. Compared to linear pricing, this methodology leads to higher profits by allowing a firm more freedom in extracting the consumer surplus. It is widely used in telecommunication services..This chapter documents recent developments on non-linear pricing in a dynamic and competi

Customary

Numerical Solutions to Lump-Sum Pension Fund Problems That Can Yield Left-Skewed Fund Return Distribms admit an analytical solution for specific, rather unrealistic formulations. Several practical pension fund problems are converted in the paper into Markov decision chains solvable through approximations. In particular, a couple of problems with a non-differentiable asymmetric (with respect to ris

GRAZE

Differentiated Capital and the Distribution of Wealth the type of capital supplied to firms. There is monopolistic competition on the capital market and perfect competition on all other markets. We show that there exists a unique stationary equilibrium and that all households have strictly positive wealth in this equilibrium. We study how the stationa

Schlemms-Canal

Optimal Firm Contributions to Open Source Softwareontributions by firms and users. A firm’s decision to contribute is interesting because it also augments competitors’ software quality in future periods subject to compatibility considerations with their existing software. A differential game model is developed to understand why firms are increasing

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Thyroxine

Hibernation Durations for Chain of Machines with Maintenance under Uncertaintyial replacement opportunities is considered. Using the Kamien-Schwartz optimal control model for maintenance, allowance for ceasing of production until installation of a new machine is studied with respect to regeneration points.

analogous

Self-Organized Control of Irregular or Perturbed Network Traffic one to efficiently simulate the transitions between free and congested traffic, taking into account congestion-responsive traffic assignment and adaptive traffic control. We observe dynamic traffic patterns which significantly depend on the respective network topology. Synchronization is only one i

不透氣

A Stochastic Optimal Control Policy for A Manufacturing System on A Finite Time Horizontive is to minimize linear inventory/backlog costs over a finite time horizon. Using the necessary conditions of optimality, which are expressed in terms of co-state dynamics, we develop an optimal control policy. The policy is parameterized and its parameters are calculated from a computational pro

podiatrist

On A State-Constrained Control Problem in Optimal Production and Maintenancedel”. For a quadratic production cost function we present a detailed numerical study of optimal control policies for different final times. The maintenance control is either composed by bang-bang and singular arcs or is purely bang-bang. In the case of a linear production cost, we show that both pro