基于不确定控制理论的最优策略研究

本文在不确定理论的框架下,研究一类带背景状态变量的最优控制模型.在乐观值准则下,利用不确定动态规划的方法,证明了不确定最优性原则,得到最优性方程.作为应用,求解一个固定缴费(DC)型养老金的最优投资策略问题,在乐观值准则下,以工资变量为背景状态变量,建立养老金模型.通过求解不确定最优性方程得到最优投资策略和最优支付率.     

The value function of a transportation problem

We investigate the value of an optimal transportation problem with the maximization objective as a function of costs and vectors of production and consumption. The value is concave in production. For generic costs, the numbers of linearity domains and peak points are independent of costs and consumption. The peak points are determined by an auxiliary assignment problem. The volumes of the linearity domains are independent of costs while their dependence on consumption can be expressed via the multinomial distribution.     

Optimal intervention under stress scenarios: A case of the Korean financial system

We consider optimal intervention methods under budget constraints when financial systems face economic shocks. We propose two policies formulated by mixed-integer linear programs where regulators inject cash into institutions. One is to minimize systemic losses, and the other is to minimize the number of defaulting institutions. Using publicly available data on the Korean financial system, we construct its entire network and apply stress scenarios to the system to compare the performances of intervention strategies and derive insights on their workings.     

A variational problem determined by probability measures

ABSTRACT

An optimization problem of maximizing an integral of a function over a family of probability measures is considered. The problem is a generalization of a well-studied variational problem in mathematical economics, concerning optimal allocations. The specific generalization that we examine arises also in the limit of singularly perturbed optimal control problems. We examine the mathematical problem and allude to the singular perturbation motivation.     

生产率差异与企业对外直接投资进入模式选择

基于企业异质性视角,借鉴演化博弈理论探究企业通过OFDI“走出去”时的跨国并购方和标的方在全要素生产率上的差异对企业OFDI进入策略选择的影响机制。利用Hotelling模型构造资本密集型企业与劳动密集型企业OFDI进入策略选择博弈模型,讨论两类企业OFDI进入方式决策在并购双方生产率差异变化之下的变迁机理。研究发现:当并购方和被并购方生产率差异较小时,市场达到两类企业都倾向于跨国并购策略的演化稳定状态;当并购双方生产率差异较大时,企业的生产要素密集度及其结构对其OFDI进入模式决策具有重要的作用,知识或技术密集度较高的资本密集型企业与综合实力强势的部分劳动密集型企业采取跨国并购战略,而另一部分劳动密集型企业选择绿地新建方式进入国际市场。即企业OFDI进入策略选择因其所属的行业生产要素密集度及其结构不同而具有差异性。研究结论在一定程度上弥补了现有研究的不足,为以后的研究工作提供一定的理论参考。     

Interior gradient estimate for steady flows of electrorheological fluids

In this paper, we consider the equations of stationary motion of electrorheological fluids in any dimension $n\ge 2$. We show that the first gradient of local solutions to the system has optimal $L^q$-regularity with some $q>1$ with respect to the one of the external force. This is achieved by comparison principle and a good $\lambda$-estimate.