Résumé/Abstract: We consider a risk minimization problem in a continuous-time Markovian regimeswitching financial model modulated by a continuous-time, observable and finitestate Markov chain whose states represent different market regimes. We adopt a particular form of convex risk measure, which includes the entropic risk measure as a particular case, as a proxy of risk. The riskminimization p...

Despite the growing urgency to curb carbon emissions worldwide, healthcare industry, particularly pharmaceutical has received little attention from sustainability community in terms of its contribution global footprint. This paper constructs a differential game model secondary supply chain consisting enterprises and medical institutions context centralized drug procurement policy, considering e...

The goal of this paper is to study a stochastic game connected to a system of forward backward stochastic differential equations (FBSDEs) involving delay and noisy memory. We derive sufficient and necessary maximum principles for a set of controls for the players to be a Nash equilibrium in the game. Furthermore, we study a corresponding FBSDE involving Malliavin derivatives. This kind of equat...

We evaluated several variants of a variable biofuel subsidy and compared them with the fixed subsidy and Renewable Fuel Standard. We used two different modeling approaches. First we used a partial equilibrium model encompassing crude oil, gasoline, ethanol, corn, and ethanol by-products. Second, we used a stochastic simulation model of a prototypical ethanol plant. From the partial equilibrium ...

We define two models of hysteresis that generalize the Preisach model. The first model is deterministic, the second model is stochastic and it utilizes discontinuous transition probabilities that satisfy impulsive differential equations. For the first model we prove, among other things, a local version of the "wiping out" property; for the stochastic model, we give methods for the construction ...

Industrial subsidy is one of the important tools in support of the national production that plays a crucial role in the realization of a resilient economy. Regarding limited financial resources, it is important to determine how these subsidies can be distributed efficiently. Accordingly, the purpose of this study is to provide a model for allocating industrial subsidy among 22 manufacturing ind...