Alain Bensoussan

University of Texas at Dallas - Naveen Jindal School of Management

Alain Bensoussan Director, International Center

800 West Campbell Rd

SM 30

Richardson, TX 75080-3021

United States

http://www.utdallas.edu/~axb046100/

Hong Kong Polytechnic University - Faculty of Business

Chair Professor of Risk and Decision Analysis

Dept SEEM

Systems Engr * Engr Mgmt

Hong Kong, Hong Kong

China

Ajou University

Distinguished Professor

Ajou

France

SCHOLARLY PAPERS

39

DOWNLOADS
Rank 8,716

SSRN RANKINGS

Top 8,716

in Total Papers Downloads

5,139

SSRN RANKINGS

Top 5,115

in Total Papers Citations

101

!

Under construction: SSRN citations will be offline until July when we will launch a brand new and improved citations service, check here for more details.

For more information

Scholarly Papers (39)

1.

Optimal Cash Management under Uncertainty

Operations Research Letters, Vol. 37, pp. 425-429, 2009
Number of pages: 15 Posted: 28 Feb 2009 Last Revised: 27 Mar 2014
Alain Bensoussan, Anshuman Chutani and Suresh Sethi
University of Texas at Dallas - Naveen Jindal School of Management, University of Texas at Dallas - Naveen Jindal School of Management and University of Texas at Dallas - Naveen Jindal School of Management
Downloads 427 (66,033)

Abstract:

Loading...

Cash management, stochastic control, maximum principle, risky assets

2.

Optimal Ordering Policies for Stochastic Inventory Problems with Observed Information Delays

Production and Operations Management, Vol. 18, No. 5, pp. 546-559, 2009
Number of pages: 14 Posted: 28 Feb 2008 Last Revised: 26 Oct 2009
Alain Bensoussan, M. Çakanyıldırım, Qi Feng and Suresh Sethi
University of Texas at Dallas - Naveen Jindal School of Management, University of Texas at Dallas - Naveen Jindal School of Management, Purdue University - Krannert School of Management and University of Texas at Dallas - Naveen Jindal School of Management
Downloads 297 (100,111)

Abstract:

Loading...

Information delay, partial observations, stochastic inventory problem, incomplete information, base-stock policy, dynamic programming, sufficient statistic, destination and origin determined dynamic delays, Information flow crossing

3.

A Two-Stage Newsvendor Problem with a Service Constraint

Number of pages: 37 Posted: 06 Jul 2008
Alain Bensoussan, Qi Feng and Suresh Sethi
University of Texas at Dallas - Naveen Jindal School of Management, Purdue University - Krannert School of Management and University of Texas at Dallas - Naveen Jindal School of Management
Downloads 254 (118,158)

Abstract:

Loading...

Inventory, newsvendor problem, service constraint, forecast update, two-stage ordering

4.

Filtering for Discrete-Time Markov Processes and Applications to Inventory Control with Incomplete Information

THE OXFORD HANDBOOK OF NONLINEAR FILTERING, D. Crisan and B. Rozovsky, eds., Chapter 18, pp. 500-525, Oxford University Press, 2011
Number of pages: 20 Posted: 30 Jan 2008 Last Revised: 25 Apr 2012
Alain Bensoussan, M. Çakanyıldırım and Suresh Sethi
University of Texas at Dallas - Naveen Jindal School of Management, University of Texas at Dallas - Naveen Jindal School of Management and University of Texas at Dallas - Naveen Jindal School of Management
Downloads 202 (147,813)

Abstract:

Loading...

Filtering, inventory control, optimal control, adaptive control, unnormalized probability, Kalman filter, Zakai equation, partial observations, incomplete information

Optimal Consumption and Portfolio Decisions with Partially Observed Real Prices

Mathematical Finance, Vol. 19, No. 2, pp. 215-236, 2009
Number of pages: 33 Posted: 30 Apr 2007 Last Revised: 13 Apr 2009
Alain Bensoussan, Jussi Keppo and Suresh Sethi
University of Texas at Dallas - Naveen Jindal School of Management, National University of Singapore - NUS Business School and University of Texas at Dallas - Naveen Jindal School of Management
Downloads 200 (149,001)

Abstract:

Loading...

Optimal Consumption and Investment, Inflation, Stochastic Control with partial observations, Separation Principle, Zakai Equation

Optimal Consumption and Portfolio Decisions with Partially Observed Real Prices

Mathematical Finance, Vol. 19, Issue 2, pp. 215-236, April 2009
Number of pages: 22 Posted: 27 Apr 2009
Alain Bensoussan, Jussi Keppo and Suresh Sethi
University of Texas at Dallas - Naveen Jindal School of Management, National University of Singapore - NUS Business School and University of Texas at Dallas - Naveen Jindal School of Management
Downloads 2 (656,219)
  • Add to Cart

Abstract:

Loading...

6.

Achieving a Long-Term Service Target with Periodic Demand Signals: A Newsvendor Framework

Manufacturing & Service Operations Management, Forthcoming, McCombs Research Paper Series No. IROM-10-09
Number of pages: 42 Posted: 25 Feb 2009 Last Revised: 28 May 2010
Alain Bensoussan, Qi Feng and Suresh Sethi
University of Texas at Dallas - Naveen Jindal School of Management, Purdue University - Krannert School of Management and University of Texas at Dallas - Naveen Jindal School of Management
Downloads 198 (150,542)

Abstract:

Loading...

Inventory models, newsvendor problem, service constraint, Kuhn-Tucker conditions, Two-stage newsvendor, forecast updates, aggregate service target, long-term service level, infinite-dimensional problem, Chance constraints

7.

Integrating Equipment Investment Strategy with Maintenance Operations under Uncertain Failures

McCombs Research Paper Series No. IROM-12-09
Number of pages: 47 Posted: 16 Apr 2009 Last Revised: 17 Oct 2011
Alain Bensoussan, Qi Feng and Suresh Sethi
University of Texas at Dallas - Naveen Jindal School of Management, Purdue University - Krannert School of Management and University of Texas at Dallas - Naveen Jindal School of Management
Downloads 189 (157,179)

Abstract:

Loading...

Maintenance and replacement, optimal control, impulse control, equipment investment; stopping time; variational inequality, reliability, hazard rate, the Kamien-Schwartz model, dynamic programming, chain of machines model

8.

Partially Observed Inventory Systems: The Case of Zero-Balance Walk

SIAM Journal on Control & Optimization, Vol. 46, No. 1, pp. 176-209, 2007
Number of pages: 37 Posted: 12 Jan 2008 Last Revised: 29 Oct 2009
Alain Bensoussan, M. Çakanyıldırım and Suresh Sethi
University of Texas at Dallas - Naveen Jindal School of Management, University of Texas at Dallas - Naveen Jindal School of Management and University of Texas at Dallas - Naveen Jindal School of Management
Downloads 187 (158,715)

Abstract:

Loading...

inventory models, incomplete information, partially observed systems, optima control, zero-balance walk, inventory control, feedback policy, lost sales case

9.

The Genuine Savings Criterion and the Value of Population in an Economy with Endogenous Fertility Rate

OPTIMAL CONTROL OF AGE-STRUCTURED POPULATIONS IN ECONOMY, DEMOGRAPHY, AND THE ENVIRONMENT, R. Boucekkine, pp. 20-44, N. Hritonenko, Y. Yatsenko, eds., Taylor & Francis, UK, 2011
Number of pages: 26 Posted: 09 Feb 2008 Last Revised: 30 Mar 2014
Kenneth J. Arrow, Alain Bensoussan, Qi Feng and Suresh Sethi
Stanford University - Department of Economics, University of Texas at Dallas - Naveen Jindal School of Management, Purdue University - Krannert School of Management and University of Texas at Dallas - Naveen Jindal School of Management
Downloads 174 (169,323)

Abstract:

Loading...

savings, genuine savings, green gross national product, population policy, value of the population, economic growth, optimal control, phase diagram, dynamic programming, Maximum principle

10.

A Multiperiod Newsvendor Problem with Partially Observed Demand

Mathematics of Operations Research, Vol. 32, No. 2, pp. 322-344, May 2007
Number of pages: 23 Posted: 04 Feb 2008 Last Revised: 29 Apr 2014
Alain Bensoussan, M. Çakanyıldırım and Suresh Sethi
University of Texas at Dallas - Naveen Jindal School of Management, University of Texas at Dallas - Naveen Jindal School of Management and University of Texas at Dallas - Naveen Jindal School of Management
Downloads 173 (170,216)

Abstract:

Loading...

unobserved unmet demand; Markovian demand; newsvendor problem, dynamic programming, inventroy models, partially observed systems, incomplete information, base stock policy, myopic policy

11.

Feedback Stackelberg Solutions of Infinite-Horizon Stochastic Differential Games

In Models and Methods in Economics and Management Sciences, Essays in Honor of Charles S. Tapiero, Fouad El Ouardighi and Konstantin Kogan (Eds.), Series 6161, Vol. 198, Springer International Publishing Switzerland, 2014, 3-15.
Number of pages: 13 Posted: 25 Sep 2012 Last Revised: 16 Apr 2014
Alain Bensoussan, Shaokuan Chen and Suresh Sethi
University of Texas at Dallas - Naveen Jindal School of Management, University of Texas at Dallas and University of Texas at Dallas - Naveen Jindal School of Management
Downloads 168 (174,650)

Abstract:

Loading...

Differential games, feedback Stackelberg equilibrium, Riccati equation, infinite horizon

12.

Evaluating Long-Term Service Performance in Two-Stage Newsvendor Models

Number of pages: 30 Posted: 30 Jan 2008 Last Revised: 10 Apr 2014
Alain Bensoussan, Qi Feng and Suresh Sethi
University of Texas at Dallas - Naveen Jindal School of Management, Purdue University - Krannert School of Management and University of Texas at Dallas - Naveen Jindal School of Management
Downloads 164 (178,254)

Abstract:

Loading...

Newsvendor Model, inventory model, service measures, forecast updates, Two-stage newsvendor model, fill rate

13.

Optimality of an (s, S) Policy with Compound Poisson and Diffusion Demands: A Quasi-Variational Inequalities Approach

SIAM Journal on Control & Optimization, Vol. 44, No. 5, pp. 1650-1676, 2006
Number of pages: 28 Posted: 26 Feb 2008 Last Revised: 14 Apr 2008
Alain Bensoussan, R. H. Liu and Suresh Sethi
University of Texas at Dallas - Naveen Jindal School of Management, University of Dayton - Department of Mathematics and University of Texas at Dallas - Naveen Jindal School of Management
Downloads 160 (181,993)

Abstract:

Loading...

(s, S) policy, compound Poisson process, diffusion process, economic order quantity model, impulse control, quasi-variational inequalities, stochastic inventory model, EOQ Model

14.

Bayesian and Adaptive Controls for a Newsvendor Facing Exponential Demand

Risk and Decision Analysis, Vol. 1, No. 4, pp. 197-210, 2009
Number of pages: 14 Posted: 30 Jan 2008 Last Revised: 01 May 2014
University of Texas at Dallas - Naveen Jindal School of Management, University of Texas at Dallas - Naveen Jindal School of Management, University of Texas at Dallas and University of Texas at Dallas - Naveen Jindal School of Management
Downloads 156 (185,922)

Abstract:

Loading...

Consistent estimators, censored data, Bayesian control, adaptive control, Newsvendor model, unnormalized probability, optimal control, incomplete information, partial observations

15.

A Mechanism Design Approach to Vendor Managed Inventory

Management Science, Forthcoming
Number of pages: 52 Posted: 10 Feb 2018 Last Revised: 10 May 2019
Bharadwaj Kadiyala, Özalp Özer and Alain Bensoussan
Hong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics and Operations Management, Jindal School of Management - The University of Texas at Dallas and University of Texas at Dallas - Naveen Jindal School of Management
Downloads 154 (187,982)

Abstract:

Loading...

Value of information sharing, vendor managed inventory, incentives of information sharing, Bayesian inventory management, mechanism design, censored demand

16.

An Incomplete Information Inventory Model with Presence of Inventories or Backorders as Only Observations

Journal of Optimization Theory and Applications, Forthcoming
Number of pages: 60 Posted: 07 Mar 2008 Last Revised: 16 Mar 2010
University of Texas at Dallas - Naveen Jindal School of Management, University of Texas at Dallas - Naveen Jindal School of Management, University of Sonora - Department of Mathematics, University of Texas at Dallas - Naveen Jindal School of Management and University of Richmond - Robins School of Business, Management Department
Downloads 153 (189,030)

Abstract:

Loading...

Inventory model, partial observations, incomplete information, stochastic control, dynamic programming, infinite dimensioanl spaces, contraction mapping, fixed point

17.

Censored Newsvendor Model Revisited with Unnormalized Probabilities

Journal of Industrial Management and Optimization, Vol. 5, No. 2, 2009
Number of pages: 12 Posted: 06 Feb 2008 Last Revised: 16 Mar 2009
Alain Bensoussan, M. Çakanyıldırım and Suresh Sethi
University of Texas at Dallas - Naveen Jindal School of Management, University of Texas at Dallas - Naveen Jindal School of Management and University of Texas at Dallas - Naveen Jindal School of Management
Downloads 136 (207,974)

Abstract:

Loading...

Unnormalized probabilities, Unobserved unmet demand, Newsvendor problem, dynamic programming, infinite dimensional spaces, incomplete information, partially obsereved systems, optimal control

18.

Inventory Control with a Cash Register: Sales Recorded but Not Demand or Shrinkage

Number of pages: 34 Posted: 10 Jul 2011
Alain Bensoussan, M. Çakanyıldırım, Suresh Sethi and Meng Li
University of Texas at Dallas - Naveen Jindal School of Management, University of Texas at Dallas - Naveen Jindal School of Management, University of Texas at Dallas - Naveen Jindal School of Management and Rutgers, The State University of New Jersey - Management
Downloads 135 (209,236)

Abstract:

Loading...

inventory/production, uncertainty, dynamic programming/optimal control, Markov, Stochastic Models

19.

Average Cost Optimality in Inventory Models with Dynamic Information Delays

IEEE Transactions on Automatic Control, Forthcoming
Number of pages: 14 Posted: 18 Apr 2008 Last Revised: 14 Mar 2011
University of Texas at Dallas - Naveen Jindal School of Management, University of Texas at Dallas - Naveen Jindal School of Management, University of Texas at Dallas - Naveen Jindal School of Management, Zhejiang University--School of Management and Chinese Academy of Sciences (CAS) - Academy of Mathematics and Systems Sciences
Downloads 130 (215,682)

Abstract:

Loading...

dynamic information delays, partial observations, stochastic inventory, base stock policies, average cost optimality, ergodic problem, vanishing discount approach

20.

Differential Games with Mixed Leadership: The Open-Loop Solution

Applied Mathematics and Computation, 217, 2010, 972-979.
Number of pages: 17 Posted: 31 Aug 2009 Last Revised: 22 Mar 2014
Tamer Basar, Alain Bensoussan and Suresh Sethi
University of Illinois at Urbana-Champaign, University of Texas at Dallas - Naveen Jindal School of Management and University of Texas at Dallas - Naveen Jindal School of Management
Downloads 114 (237,936)

Abstract:

Loading...

Differential games, Stackelberg-Nash solution, mixed leadership games, two-point boundary value problems, Stackelberg games, multi-leader multi follower games, hierarchical games, open-loop solution, linear-qudratic differential games

21.

Optimal Ordering Policies for Inventory Problems with Dynamic Information Delays

Production and Operations Management,Vol. 16, No. 2, pp. 241-256, March-April 2007
Number of pages: 16 Posted: 12 Feb 2008 Last Revised: 10 Apr 2014
Alain Bensoussan, M. Çakanyıldırım and Suresh Sethi
University of Texas at Dallas - Naveen Jindal School of Management, University of Texas at Dallas - Naveen Jindal School of Management and University of Texas at Dallas - Naveen Jindal School of Management
Downloads 114 (237,936)

Abstract:

Loading...

dynamic information delays, partial observations, stochastic inventory problem, base-stock policy, (s, S) policy, inventory models, incomplete information, sufficient statistics

22.

Linear Quadratic Differential Games with Mixed Leadership: The Open-Loop Solution

Numerical Algebra, Control and Optimization, Volume 3, Number 1, March 2013, pp. 95-108
Number of pages: 15 Posted: 27 Mar 2014
Alain Bensoussan, Shaokuan Chen and Suresh Sethi
University of Texas at Dallas - Naveen Jindal School of Management, University of Texas at Dallas and University of Texas at Dallas - Naveen Jindal School of Management
Downloads 109 (245,673)

Abstract:

Loading...

Differential games, Stackelberg equilibria, mixed leadership, Riccati equations, two-point boundary value problems

23.

Optimal Savings and the Value of Population

Proceedings of The National Academy of Sciences, Vol. 104, No. 47, pp.18421-18426, November 20, 2007
Number of pages: 36 Posted: 15 Jan 2008 Last Revised: 12 Feb 2008
Kenneth J. Arrow, Alain Bensoussan, Qi Feng and Suresh Sethi
Stanford University - Department of Economics, University of Texas at Dallas - Naveen Jindal School of Management, Purdue University - Krannert School of Management and University of Texas at Dallas - Naveen Jindal School of Management
Downloads 109 (245,673)

Abstract:

Loading...

economic growth, optimal control, phase diagram, dynamic programming, optimal savings, genuine savings

24.

A Note on 'The Censored Newsvendor and the Optimal Acquisition of Information'

Operations Research, Vol. 57, No. 3, pp. 791-794, May-June 2009
Number of pages: 5 Posted: 17 Jan 2008 Last Revised: 18 Jul 2009
Alain Bensoussan, M. Çakanyıldırım and Suresh Sethi
University of Texas at Dallas - Naveen Jindal School of Management, University of Texas at Dallas - Naveen Jindal School of Management and University of Texas at Dallas - Naveen Jindal School of Management
Downloads 106 (250,443)

Abstract:

Loading...

Inventory/production: unknown demand, lost sales, censoring, optimal policies, partial observations, incomplete demand information, Bayesian approach, myopic policy, unnormalized probability, dynamic programming, infinite dimensional state space, optimal control

25.

Economic Evaluation of Systems that Expedite Inventory Information

Production and Operations Management Society, Vol. 16, No. 3, pp. 360-368, May-June 2007
Number of pages: 9 Posted: 12 Feb 2008
Alain Bensoussan, M. Çakanyıldırım and Suresh Sethi
University of Texas at Dallas - Naveen Jindal School of Management, University of Texas at Dallas - Naveen Jindal School of Management and University of Texas at Dallas - Naveen Jindal School of Management
Downloads 102 (257,218)

Abstract:

Loading...

economic evaluation, information delays,delay evaluation,base-stock policy, partially observed inventory, incomplete information, sufficient statistics, RFID, radio frequency identification tags

26.

The Maximum Principle for Global Solutions of Stochastic Stackelberg Differential Games

SIAM Control and Optimization, Forthcoming
Number of pages: 25 Posted: 25 Mar 2014 Last Revised: 27 Jan 2015
Alain Bensoussan, Shaokuan Chen and Suresh Sethi
University of Texas at Dallas - Naveen Jindal School of Management, University of Texas at Dallas and University of Texas at Dallas - Naveen Jindal School of Management
Downloads 101 (258,963)

Abstract:

Loading...

Stackelberg differential game, maximum principle, forward-backward stochastic differential equation, Riccati equation

27.

Inventory Problems with Partially Observed Demands and Lost Sales

Journal of Optimization Theory & Applications, Vol. 136, No. 1, January 2008
Number of pages: 33 Posted: 24 Dec 2007 Last Revised: 10 Apr 2014
University of Texas at Dallas - Naveen Jindal School of Management, University of Texas at Dallas - Naveen Jindal School of Management, University of Sonora - Department of Mathematics, University of Texas at Dallas and University of Texas at Dallas - Naveen Jindal School of Management
Downloads 99 (262,442)

Abstract:

Loading...

inventory models, partially observed systems, incomplete information, lost sales

28.

On the Optimal Control of Partially Observed Inventory Systems

Comptes Rendus de l'Academié des Sciences, Ser. Paris, Ser. I 341, pp. 419-426, 2005
Number of pages: 9 Posted: 30 Jan 2008 Last Revised: 07 Nov 2008
Alain Bensoussan, M. Çakanyıldırım and Suresh Sethi
University of Texas at Dallas - Naveen Jindal School of Management, University of Texas at Dallas - Naveen Jindal School of Management and University of Texas at Dallas - Naveen Jindal School of Management
Downloads 98 (264,150)

Abstract:

Loading...

Optimal Control, Inventory models, Partially Observed Systems, unnormalized probabilities, infinite dimensional systems, conditional distributions, incomplete information

29.

Partially Observed Inventory Systems: The Case of Rain Checks

SIAM Journal on Control and Optimization, Forthcoming
Number of pages: 27 Posted: 30 Jan 2008 Last Revised: 14 May 2008
University of Texas at Dallas - Naveen Jindal School of Management, University of Texas at Dallas - Naveen Jindal School of Management, University of Sonora - Department of Mathematics, University of Texas at Dallas - Naveen Jindal School of Management and University of Richmond - Robins School of Business, Management Department
Downloads 98 (264,150)

Abstract:

Loading...

Partially Observed Systems, inventroy control, Rain Checks, incomplete information, lost sales, optimal control, incomplete information, feedback policy, dynamic programming, unnormalized probability, infinite dimensional space

30.

Optimal Ordering Policy and Value of Information under Delayed Lost Sales Observations

McCombs Research Paper Series No. IROM-05-09
Number of pages: 30 Posted: 05 Nov 2008 Last Revised: 18 Jan 2009
Alain Bensoussan, M. Çakanyıldırım, Qi Feng and Suresh Sethi
University of Texas at Dallas - Naveen Jindal School of Management, University of Texas at Dallas - Naveen Jindal School of Management, Purdue University - Krannert School of Management and University of Texas at Dallas - Naveen Jindal School of Management
Downloads 94 (271,355)

Abstract:

Loading...

Inventory, newsvendor problem, partial observation, lost sales, incomplete demand information, dynamic programming, delayed observations

31.

Optimality of Base-Stock and (s, S) Policies for Inventory Problems with Information Delays

Journal of Optimization Theory and Applications, Vol. 130, No. 2, pp. 153-172, August 2006
Number of pages: 36 Posted: 19 Feb 2008 Last Revised: 14 Apr 2008
Alain Bensoussan, M. Çakanyıldırım and Suresh Sethi
University of Texas at Dallas - Naveen Jindal School of Management, University of Texas at Dallas - Naveen Jindal School of Management and University of Texas at Dallas - Naveen Jindal School of Management
Downloads 77 (306,738)

Abstract:

Loading...

Information delay, partial observations, stochastic inventory problem, incomplete information, base-stock policy, dynamic programming, sufficient statistic

32.

The Machine Maintenance and Sale Age Model of Kamien and Schwartz Revisited

Management Science, Vol. 53, No. 12, pp. 1964-1976, December 2007
Number of pages: 36 Posted: 25 Jan 2008 Last Revised: 23 Jan 2009
Alain Bensoussan and Suresh Sethi
University of Texas at Dallas - Naveen Jindal School of Management and University of Texas at Dallas - Naveen Jindal School of Management
Downloads 71 (321,172)

Abstract:

Loading...

Maintenance and replacement, optimal control, variational inequality, stochastic processes, the Kamien-Scwwartz model, machine replacement

33.

Existence and Uniqueness of a Solution of a Partially Observed Stochastic Control Problem

Number of pages: 17 Posted: 10 Jul 2011 Last Revised: 17 Jul 2011
Alain Bensoussan, M. Çakanyıldırım, Suresh Sethi and Meng Li
University of Texas at Dallas - Naveen Jindal School of Management, University of Texas at Dallas - Naveen Jindal School of Management, University of Texas at Dallas - Naveen Jindal School of Management and Rutgers, The State University of New Jersey - Management
Downloads 66 (334,016)

Abstract:

Loading...

inventory/production, uncertainty, dynamic programming/optimal control, Markov, Stochastic Models

34.

Computation of Approximate Optimal Policies in a Partially Observed Inventory Model with Rain Checks

Automatica, Forthcoming
Number of pages: 36 Posted: 10 Sep 2009 Last Revised: 23 Jan 2011
University of Texas at Dallas - Naveen Jindal School of Management, University of Texas at Dallas - Naveen Jindal School of Management, University of Texas at Dallas - Naveen Jindal School of Management and University of Richmond - Robins School of Business, Management Department
Downloads 50 (381,491)

Abstract:

Loading...

partially observed inventory, rain checks, Chebyshev polynomials, Fast Fourier Transforms, incomplete inventory information. rain checks, inventory models, partially observed systems, dynamic programming

35.

Capacity Expansion Options and Optimal Performance-Sensitive Debt

Number of pages: 59 Posted: 22 Apr 2019 Last Revised: 02 Jun 2019
University of Texas at Dallas - Naveen Jindal School of Management, Cranfield School of Management and University of Texas at Dallas - School of Management - Department of Finance & Managerial Economics
Downloads 35 (437,073)

Abstract:

Loading...

Performance-Sensitive Debt, Real Options, Capital Structure

36.

Impulse Control with Random Reaction Periods: A Central Bank Intervention Problem

Operations Research Letters, 40, 425-430, 2012
Number of pages: 14 Posted: 24 Apr 2012 Last Revised: 27 Mar 2014
Alain Bensoussan, Hongwei Long, Sandun Perera and Suresh Sethi
University of Texas at Dallas - Naveen Jindal School of Management, Department of Mathematics, Florida Atlantic University, University of Texas at Dallas - Naveen Jindal School of Management and University of Texas at Dallas - Naveen Jindal School of Management
Downloads 32 (449,753)

Abstract:

Loading...

impulse control, central bank interventions, market reactions, variational inequality

37.

Stochastic Production Planning with Production Constraints

SIAM Journal on Control and Optimization, Vol. 22, No. 6, pp. 920-935, 1984
Number of pages: 16 Posted: 30 Jan 2019
Alain Bensoussan, Suresh Sethi, Raymond Vickson and N. A. Derzko
University of Texas at Dallas - Naveen Jindal School of Management, University of Texas at Dallas - Naveen Jindal School of Management, University of Waterloo - Department of Management Sciences and University of Toronto
Downloads 4 (608,861)

Abstract:

Loading...

production-inventory model, aggregate planning, stochastic optimal control, dynamic programming, control constraints,policy iteration, HMMS Model

38.

Real Options with Competition and Regime Switching

Mathematical Finance, Vol. 27, Issue 1, pp. 224-250, 2017
Number of pages: 27 Posted: 15 Jan 2017
Alain Bensoussan, SingRu Hoe, Zhongfeng Yan and G. George Yin
University of Texas at Dallas - Naveen Jindal School of Management, University of Texas at Arlington - Department of Finance and Real Estate, Jinan University and Wayne State University
Downloads 1 (638,846)
  • Add to Cart

Abstract:

Loading...

variational inequality, irreversible investment, real option, regime switching, game theory, optimal stopping problem

39.

Unemployment Risks and Optimal Retirement in an Incomplete Market

Operations Research, Forthcoming
Posted: 20 Jan 2013 Last Revised: 06 Mar 2016
Alain Bensoussan, Bong-Gyu Jang and Seyoung Park
University of Texas at Dallas - Naveen Jindal School of Management, Pohang University of Science and Technology (POSTECH) and Loughborough University - School of Business and Economics

Abstract:

Loading...

unemployment risk, optimal retirement, optimal investment, portfolio theory, dynamic programming, convex duality