Browsing Bensoussan, Alain by Issue Date
Now showing items 1-12 of 12
-
A Paradox in Time-Consistency in the Mean-Variance Problem?
(Springer Heidelberg, 2018-12-19)We establish new conditions under which a constrained (no short-selling) time-consistent equilibrium strategy, starting at a certain time, will beat the unconstrained counterpart, as measured by the magnitude of their ... -
Joint Inventory-Pricing Optimization with General Demands: An Alternative Approach for Concavity Preservation
(Wiley-Blackwell, 2019-05-23)In this study, we provide an alternative approach for proving the preservation of concavity together with submodularity, and apply it to finite-horizon non-stationary joint inventory-pricing models with general demands. ... -
Stochastic Differential Games with a Varying Number of Players
We consider a non zero sum stochastic differential game with a maximum n players, where the players control a diffusion in order to minimisena certain cost functional. During the game it is possible that present players ... -
Mean Field Stackelberg Games: Aggregation of Delayed Instructions
In this paper, we consider an N-player interacting strategic game in the presence of a (endogenous) dominating player, who gives direct influence on individual agents, through its impact on their control in the sense of ... -
The Maximum Principle for Global Solutions of Stochastic Stackelberg Differential Games
For stochastic Stackelberg differential games played by a leader and a follower, there are several solution concepts in terms of the players' information sets. In this paper we derive the maximum principle for the leader's ... -
Time-Consistent Portfolio Selection Under Short-Selling Prohibition: From Discrete to Continuous Setting
In this paper, we study the time consistent strategies in the mean-variance portfolio selection with short-selling prohibition in both discrete and continuous time settings. Recently, [T. Björk, A. Murgoci, and X. Y. Zhou, ... -
Threshold-type Policies for Real Options Using Regime-Switching Models
To investigate the impact of macroeconomic conditions on irreversible investments under a regime switching model, our main effort in this work is to rigorously justify the existence and uniqueness of optimal threshold-type ... -
Existence and compactness for weak solutions to bellman systems with critical growth
We deal with nonlinear elliptic and parabolic systems that are the Bellman systems associated to stochastic differential games as a main motivation. We establish the existence of weak solutions in any dimension for an ... -
Parabolic Bellman Equations with Risk Control
We consider stochastic optimal control problems with an additional term representing the variance of the control functions. The latter one may serve as a risk control. We present and treat the problem in a purely analytical ... -
Inventory Control with Fixed Cost and Price Optimization in Continuous Time
We continue to study the problem of inventory control, with simultaneous pricing optimization in continuous time. In our previous paper [8], we considered the case without set up cost, and established the optimality of the ... -
A Mean-Variance Approach to Capital Investment Optimization
We develop an improved model of capital investment under uncertainty that incorporates the variance of the capital stock in the payoff functional to manage risk. Our model results in a mean field type control problem that ... -
The Impact of Competitive Advantage on the Investment Timing in Stackelberg Leader–Follower Game
This short note clarifies how the Stackelberg leader’s competitive advantage after the follower’s entry affects the leader’s optimal market entry decision and Stackelberg strategic interactions under uncertainty. Although ...