In this paper,we study mulit-dimensional oblique reflected backward stochastic differential equations(RBSDEs)in a more general framework over finite or infinite time horizon,corresponding to the pricing problem for a ...In this paper,we study mulit-dimensional oblique reflected backward stochastic differential equations(RBSDEs)in a more general framework over finite or infinite time horizon,corresponding to the pricing problem for a type of real option.We prove that the equation can be solved uniquely in L^(p)(1<p≤2)-space,when the generators are uniformly continuous but each component taking values independently.Furthermore,if the generator of this equation fulfills the infinite time version of Lipschitzian continuity,we can also conclude that the solution to the oblique RBSDE exists and is unique,despite the fact that the values of some generator components may affect one another.展开更多
This paper aims to derive the optimal switching strategy for production system considering efficiency, delivery time and green evaluation. Nowadays more and more manufacturing and logistics systems not only pursue bet...This paper aims to derive the optimal switching strategy for production system considering efficiency, delivery time and green evaluation. Nowadays more and more manufacturing and logistics systems not only pursue better work efficiency, but also focus on green energy evaluation issues. Cost reduction and shortening of delivery time are always important management issues in pursuit of efficiency and optimization of the entire production system because of global production competition. In a market situation where customer needs change in various ways, in particular, due to inadequate quality, changes in the local environment, natural disasters and so on. Therefore, prompt planning of management measures such as switching work processes and changing production methods has become an important issue. On the other hand, since the Paris Agreement came into effect, the construction of an environment-friendly production system has been required as an approach to environmental problems such as global warming. In this paper, we propose an optimum switching model of production systems considering efficiency, delivery time and green evaluation using a green evaluation index (GEC: Green Energy Coefficient). We also discuss the optimal switching strategy by numerical observation.展开更多
A switched linear quadratic（LQ） differential game over finite-horizon is investigated in this paper. The switching signal is regarded as a non-conventional player, afterwards the definition of Pareto efficiency is e...A switched linear quadratic（LQ） differential game over finite-horizon is investigated in this paper. The switching signal is regarded as a non-conventional player, afterwards the definition of Pareto efficiency is extended to dynamics switching situations to characterize the solutions of this multi-objective problem. Furthermore, the switched differential game is equivalently transformed into a family of parameterized single-objective optimal problems by introducing preference information and auxiliary variables. This transformation reduces the computing complexity such that the Pareto frontier of the switched LQ differential game can be constructed by dynamic programming. Finally, a numerical example is provided to illustrate the effectiveness.展开更多
基金supported by the Natural Science Foundation of Shandong Province(Grant Nos.ZR2022MA079 and ZR2021MG049)the National Social Science Funding of China(Grant No.21CJY027)the TianYuan Special Funds of the National Natural Science Foundation of China(Grant No.11626146)。
文摘In this paper,we study mulit-dimensional oblique reflected backward stochastic differential equations(RBSDEs)in a more general framework over finite or infinite time horizon,corresponding to the pricing problem for a type of real option.We prove that the equation can be solved uniquely in L^(p)(1<p≤2)-space,when the generators are uniformly continuous but each component taking values independently.Furthermore,if the generator of this equation fulfills the infinite time version of Lipschitzian continuity,we can also conclude that the solution to the oblique RBSDE exists and is unique,despite the fact that the values of some generator components may affect one another.
文摘This paper aims to derive the optimal switching strategy for production system considering efficiency, delivery time and green evaluation. Nowadays more and more manufacturing and logistics systems not only pursue better work efficiency, but also focus on green energy evaluation issues. Cost reduction and shortening of delivery time are always important management issues in pursuit of efficiency and optimization of the entire production system because of global production competition. In a market situation where customer needs change in various ways, in particular, due to inadequate quality, changes in the local environment, natural disasters and so on. Therefore, prompt planning of management measures such as switching work processes and changing production methods has become an important issue. On the other hand, since the Paris Agreement came into effect, the construction of an environment-friendly production system has been required as an approach to environmental problems such as global warming. In this paper, we propose an optimum switching model of production systems considering efficiency, delivery time and green evaluation using a green evaluation index (GEC: Green Energy Coefficient). We also discuss the optimal switching strategy by numerical observation.
基金supported by the National Natural Science Foundation of China under Grant No.61773098the 111 Project under Grant No.B16009
文摘A switched linear quadratic（LQ） differential game over finite-horizon is investigated in this paper. The switching signal is regarded as a non-conventional player, afterwards the definition of Pareto efficiency is extended to dynamics switching situations to characterize the solutions of this multi-objective problem. Furthermore, the switched differential game is equivalently transformed into a family of parameterized single-objective optimal problems by introducing preference information and auxiliary variables. This transformation reduces the computing complexity such that the Pareto frontier of the switched LQ differential game can be constructed by dynamic programming. Finally, a numerical example is provided to illustrate the effectiveness.
