Optimal decentralized control of a discrete-time stochastic system is considered under a periodic sharing information pattern. In this scenario, controllers share information with one-step delay every K time steps. The periodic sharing pattern is a generalization of the previously studied one-step delay sharing pattern, which is known to possess a nonclassical separation property. It is proven ...

This report discusses problems and methodologies that lie in the broad scope of systems and signals, with special focus on modeling, identification and signal processing; adaptation and learning; discrete event and hybrid systems; and stochastic systems. A common theme underlying all these areas is that problems in control systems and signals are usually defined and best studied in the framewor...

Abstract: This paper studies the approximate controllability issue of an abstract semilinear stochastic control system with nonlocal conditions. Sufficient conditions are formulated and proved for the approximate controllability of such systems by splitting the given semilinear system into two systems, namely a semilinear deterministic system and a linear stochastic system. To prove the approxi...

We consider investment problems where an investor can invest in a savings account, stocks and bonds and tries to maximize her utility from terminal wealth. In contrast to the classical Merton problem we assume a stochastic interest rate. To solve the corresponding control problems it is necessary to prove a veri cation theorem without the usual Lipschitz assumptions.

In this paper, we examine the research and results of dynamic pricing policies and their relation to revenue management. The survey is based on a generic revenue management problem in which a perishable and nonrenewable set of resources satisfy stochastic pricesensitive demand processes over a finite period of time. In this class of problems, the owner (or the seller) of these resources uses th...