In this paper we formulate the Risk Management Control problem in the interest rate area as a constrained stochastic portfolio optimization problem. The utility that we use can be any continuous function and based on the viscosity theory, the unique solution of the problem is guaranteed. The...

In this paper, we present a stochastic optimal control model to optimize an insurance firm problem in the case where its cash-balance process is assumed to be described by a stochastic differential equation driven by Teugels martingales. Noticing that the insurance firm is able to control its...

Due to recent technical progress, battery energy storages are becoming a viable option in the power sector. Their optimal operational management focuses on load shift and shaving of price spikes. However, this requires optimally responding to electricity demand, intermittent generation, and...

We present the Forest of Stochastic Trees (FOST) method for pricing multiple exercise options by simulation. The proposed method uses stochastic trees in place of binomial trees in the Forest of Trees algorithm originally proposed to value swing options, hence extending that method to allow for...

CAR T-cell immunotherapy is a new development in the treatment of leukemia, promising a new era in oncology. Although so far, this procedure only helps 50-90% of patients and, like other cancer treatments, has serious side effects. In this work, we have proposed a controlled model for leukemia...

An elementary approach to a class of optimal control problems with pathwise state constraint is proposed. Based on spike variations of control, it yields simple proofs and constructive necessary conditions, including some new characterizations of optimal control. Two examples are discussed.

A model of production funds acquisition, which includes two differential links of the zero order and two series-connected inertial links, is considered in a one-sector economy. Zero-order differential links correspond to the equations of the Ramsey model. These equations contain scalar bounded...