Explicit solutions for some simple decentralized detection problems

Explicit Solutions for Queueing Problems

Explicit solutions to some optimal variance stopping problems

The stopping problem with variance as the optimality criterion is introduced. Due to the variance criterion, smooth fit cannot be applied directly. The problem is solved by embedding it into tractable auxiliary optimal stopping problems, where smooth fit is used to obtain explicit, optimal solutions. Optimal strategies are presented in closed form for several examples. A characteristic feature ...

Explicit solutions of some utility maximization problems in incomplete markets

In this note we prove H0 older-type inequalities for products of certain functionals of correlated Brownian motions. These estimates are applied to the study of optimal portfolio choice in incomplete markets when the investor’s utility is of the form U (X; Y ) = g(X )h(Y ), where X is the investor’s wealth and Y is a random factor not perfectly correlated with the market. Explicit solutions are...

Some Solutions , Some Problems , and Some

This is a slightly expanded written version of a plenary lecture given at the 20th IEEE Conference on Decision and Control, December 198 1, San Diego, CA. This talk is intended to help spark discussion among researchers in decision, control and estimation about the status of research in the field and of promising new directions for research. One such direction, model-based signal processing, is...

Some Explicit Solutions for a Class of One-Phase Stefan Problems

Salva and Tarzia, [N.N. Salva, D.A. Tarzia, J. Math. Anal. Appl. 379 (2011) 240 244], gave explicit solutions of a similarity type for a class of free boundary problem for a semi-infinite material. In this paper, through an elementary approach and less stringent assumption on data, we obtain more general results than those given by their central result, and thereby construct explicit solutions ...