Alain Bensoussan

According to our database1, Alain Bensoussan authored at least 53 papers between 2004 and 2019.

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Bibliography

2019
A Mean-Variance Approach to Capital Investment Optimization.
SIAM J. Financial Math., 2019

Sequential Capacity Expansion Options.
Operations Research, 2019

A paradox in time-consistency in the mean-variance problem?
Finance and Stochastics, 2019

2017
Linear-Quadratic Mean Field Stackelberg Games with State and Control Delays.
SIAM J. Control and Optimization, 2017

Optimal Security Investments in a Prevention and Detection Game.
Proceedings of the Hot Topics in Science of Security: Symposium and Bootcamp, HoTSoS 2017, 2017

Risk-sensitive mean-field-type control.
Proceedings of the 56th IEEE Annual Conference on Decision and Control, 2017

2016
Optimal Cable Laying Across an Earthquake Fault Line Considering Elliptical Failures.
IEEE Trans. Reliability, 2016

NonLocal Boundary Value Problems of a Stochastic Variational Inequality Modeling an Elasto-Plastic Oscillator Excited by a Filtered Noise.
SIAM J. Math. Analysis, 2016

Linear-Quadratic Mean Field Games.
J. Optimization Theory and Applications, 2016

2015
Mean Field Stackelberg Games: Aggregation of Delayed Instructions.
SIAM J. Control and Optimization, 2015

The Maximum Principle for Global Solutions of Stochastic Stackelberg Differential Games.
SIAM J. Control and Optimization, 2015

Entrepreneurial Decisions on Effort and Project with a Nonconcave Objective Function.
Math. Oper. Res., 2015

Technical Note - Managing Nonperishable Inventories with Learning About Demand Arrival Rate Through Stockout Times.
Operations Research, 2015

2014
Optimal Control of Hidden Markov Models With Binary Observations.
IEEE Trans. Automat. Contr., 2014

Time-Consistent Portfolio Selection under Short-Selling Prohibition: From Discrete to Continuous Setting.
SIAM J. Financial Math., 2014

A trust-score-based access control in assured information sharing systems: An application of financial credit risk score models.
Risk and Decision Analysis, 2014

Inventory management with overlapping shrinkages and demands.
Risk and Decision Analysis, 2014

Optimal decision making in multi-product dual sourcing procurement with demand forecast updating.
Computers & OR, 2014

A class of non-zero-sum stochastic differential investment and reinsurance games.
Automatica, 2014

2013
Linear-Quadratic Time-Inconsistent Mean Field Games.
Dynamic Games and Applications, 2013

Optimizing production and inventory decisions in a supply chain with lot size, production rate and lead time interactions.
Applied Mathematics and Computation, 2013

2012
Impulse control with random reaction periods: A central bank intervention problem.
Oper. Res. Lett., 2012

Asymptotic analysis of stochastic variational inequalities modeling an elasto-plastic problem with vanishing jumps.
Asymptotic Analysis, 2012

A Game Theoretical Analysis of Lemonizing Cybercriminal Black Markets.
Proceedings of the Decision and Game Theory for Security - Third International Conference, 2012

Studying dynamic equilibrium of cloud computing adoption with application of Mean Field Games.
Proceedings of the 50th Annual Allerton Conference on Communication, 2012

2011
Average Cost Optimality in Inventory Models With Dynamic Information Delays.
IEEE Trans. Automat. Contr., 2011

Achieving a Long-Term Service Target with Periodic Demand Signals: A Newsvendor Framework.
Manufacturing & Service Operations Management, 2011

When Hackers Talk: Managing Information Security Under Variable Attack Rates and Knowledge Dissemination.
Information Systems Research, 2011

Computation of approximate optimal policies in a partially observed inventory model with rain checks.
Automatica, 2011

Investment in Privacy-Preserving Technologies under Uncertainty.
Proceedings of the Decision and Game Theory for Security - Second International Conference, 2011

Impact of security risks on cloud computing adoption.
Proceedings of the 49th Annual Allerton Conference on Communication, 2011

2010
Real Options Games in Complete and Incomplete Markets with Several Decision Makers.
SIAM J. Financial Math., 2010

Inventory control with an order-time constraint: optimality, uniqueness and significance.
Annals OR, 2010

Differential games with mixed leadership: The open-loop solution.
Applied Mathematics and Computation, 2010

When Do Firms Invest in Privacy-Preserving Technologies?
Proceedings of the Decision and Game Theory for Security, 2010

A Game-Theoretical Approach for Finding Optimal Strategies in a Botnet Defense Model.
Proceedings of the Decision and Game Theory for Security, 2010

2009
An Ultra Weak Finite Element Method as an Alternative to a Monte Carlo Method for an Elasto-Plastic Problem with Noise.
SIAM J. Numerical Analysis, 2009

Optimality of an (s, S) Policy with Compound Poisson and Diffusion Demands: A Quasi-Variational Inequalities Approach.
SIAM J. Control and Optimization, 2009

Risk and Decision Analysis.
Risk and Decision Analysis, 2009

Bayesian and adaptive controls for a newsvendor facing exponential demand.
Risk and Decision Analysis, 2009

Optimal cash management under uncertainty.
Oper. Res. Lett., 2009

Maintaining Diagnostic Knowledge-Based Systems: A Control-Theoretic Approach.
Management Science, 2009

Technical Note - A Note on "The Censored Newsvendor and the Optimal Acquisition of Information".
Operations Research, 2009


Singular control and impulse control with application to mutual insurance optimization.
Proceedings of the 48th IEEE Conference on Decision and Control, 2009

2008
Partially Observed Inventory Systems: The Case of Rain Checks.
SIAM J. Control and Optimization, 2008

Observation noise-gain detection for Markov chains observed through scaled Brownian motion.
Proceedings of the 47th IEEE Conference on Decision and Control, 2008

2007
Partially Observed Inventory Systems: The Case of Zero-Balance Walk.
SIAM J. Control and Optimization, 2007

A Multiperiod Newsvendor Problem with Partially Observed Demand.
Math. Oper. Res., 2007

The Machine Maintenance and Sale Age Model of Kamien and Schwartz Revisited.
Management Science, 2007

Representation and Control of Infinite Dimensional Systems, 2nd Edition.
Systems and control, Birkhäuser, ISBN: 978-0-8176-4461-1, 2007

2005
Optimality of an (s, S) Policy with Compound Poisson and Diffusion Demands: A Quasi-variational Inequalities Approach.
SIAM J. Control and Optimization, 2005

2004
Remarks on the pricing of contingent claims under constraints.
IEEE Trans. Automat. Contr., 2004


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