Related papers: Equilibrium points for Optimal Investment with Vin…
In this paper we propose and solve an optimal dividend problem with capital injections over a finite time horizon. The surplus dynamics obeys a linearly controlled drifted Brownian motion that is reflected at the origin, dividends give rise…
We discuss a mathematical framework for analysis of optimal control problems on infinite-dimensional manifolds. Such problems arise in study of optimization for partial differential equations with some symmetry. It is shown that some…
The aim of this paper is to solve an optimal investment, consumption and life insurance problem when the investor is restricted to capital guarantee. We consider an incomplete market described by a jump-diffusion model with stochastic…
In this paper we deal with infinite horizon optimal control problems. Basing on weak variations in an extremal problem in weighted function spaces we prove necessary conditions in form of the adjoint equation and a variational inequality.…
An optimal control problem driven by an ordinary differential equation under continuous state constraints is considered in this study. From an operational point of view, we introduce a discrete state constraints optimal control problem and…
This paper studies a {\it reversible} investment problem where a social planner aims to control its capacity production in order to fit optimally the random demand of a good. Our model allows for general diffusion dynamics on the demand as…
Infinite-dimensional linear conic formulations are described for nonlinear optimal control problems. The primal linear problem consists of finding occupation measures supported on optimal relaxed controlled trajectories, whereas the dual…
We study a boundary-value quasilinear elliptic problem on a generic time scale. Making use of the fixed-point index theory, sufficient conditions are given to obtain existence, multiplicity, and infinite solvability of positive solutions.
In this paper, we investigate solution stability for control problems of partial differential equations with the cost functional not involving the usual quadratic term for the control. We first establish a sufficient optimality condition…
In this paper we investigate the optimal control problem for a class of stochastic Cauchy evolution problem with non standard boundary dynamic and control. The model is composed by an infinite dimensional dynamical system coupled with a…
In this paper, we study the optimal control problem for steering the state covariance of a discrete-time linear stochastic system over a finite time horizon. First, we establish the existence and uniqueness of the optimal control law for a…
We focus on optimal control problems governed by elliptic, quasilinear PDEs. Though there are various examples of such problems in the literature, we make an attempt at describing some general principles by dealing with three basic…
In this work, we study a boundary control problem for the evolutionary Navier-Stokes equations, under mixed boundary conditions, in two dimensions. The cost functional here considered is of quadratic type, depending on both state and…
The extremum value theorem for function spaces plays the central role in optimal control. It is known that computation of optimal control actions and policies is often prone to numerical errors which may be related to computability issues.…
We study the optimal investment-consumption problem for a member of defined contribution plan during the decumulation phase. For a fixed annuitization time, to achieve higher final annuity, we consider a variable consumption rate. Moreover,…
We consider a stochastic control problem where the set of controls is not necessarily convex and the system is governed by a nonlinear backward stochastic differential equation. We establish necessary as well as sufficient conditions of…
In this paper, a finite-horizon optimal control problem involving a dynamical system described by a linear Caputo fractional differential equation and a quadratic cost functional is considered. An explicit formula for the value functional…
An optimal control problem is considered for a stochastic differential equation containing a state-dependent regime switching, with a recursive cost functional. Due to the non-exponential discounting in the cost functional, the problem is…
In this paper, we study a class of stochastic time-inconsistent linear-quadratic (LQ) control problems with control input constraints. These problems are investigated within the more general framework associated with random coefficients.…
This paper is dedicated to the elementary proof of Pontryagin's maximum principle for problems with free right end point. The proof for the standard problem is taken from the monography of Ioffe and Tichomirov. We assume piecewise…