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Investment/consumption problem in illiquid markets with regimes switching
Optimal consumption liquidity effects regime-switching models viscosity solutions integro-differential system
2011/10/9
Abstract: We consider an illiquid financial market with different regimes modeled by a continuous-time finite-state Markov chain. The investor can trade a stock only at the discrete arrival times of a...
On Investment-Consumption with Regime-Switching
Portfolio optimization time inconsistency equilibrium policies regime-switching discounting
2011/8/31
Abstract: In a continuous time stochastic economy, this paper considers the problem of consumption and investment in a financial market in which the representative investor exhibits a change in the di...
Voltage Collapse and ODE Approach to Power Flows: Analysis of a Feeder Line with Static Disorder in Consumption/Production
ODE Voltage Collapse Feeder Line Power Flows Static Disorder
2011/7/6
We consider a model of a distribution feeder connecting multiple loads to the sub-station. Voltage is controlled directly at the head of the line (sub-station), however, voltage anywhere further down ...
Optimal consumption and investment with bounded downside risk for power utility functions
Portfolio optimization Stochastic optimal control Risk constraints Value-at-Risk Expected Shortfall
2010/4/27
We investigate optimal consumption and investment problems for a Black-Scholes market under uniform restrictions on Value-at-Risk and Expected Shortfall. We formulate various utility maximization prob...
Optimal consumption and investment with bounded downside risk measures for logarithmic utility functions
Black-Scholes model Capital-at-Risk Expected Shortfall logarithmic utility optimal consumption portfolio optimization utility maximization Value-at-Risk
2010/4/27
We investigate optimal consumption problems for a Black-Scholes market under uniform restrictions on Value-at-Risk and Expected Shortfall for logarithmic utility functions. We find the solutions in te...
Application of the dynamic linearization technique to the reduction of the energy consumption of induction motors
Input-output linearization dynamic extension
2010/9/15
This paper deals with the application of feedback linearization techniques to the problem of maximizing the efficiency of the induction motor by minimizing the energy losses. We address the problem of...