Related papers: Equilibrium points for Optimal Investment with Vin…
We study the problem of optimal control of a coupled system of forward-backward stochastic Volterra equations. We use Hida-Malliavin calculus to prove a sufficient and a necessary maximum principle for the optimal control of such systems.…
We establish existence, uniqueness and regularity of solution results for a class of backward stochastic partial differential equations with singular terminal condition. The equation describes the value function of non-Markovian stochastic…
This paper studies oligopolistic irreversible investment with closed-loop strategies. These permit fully dynamic interactions that result in much richer strategic behavior than previous studies with open-loop strategies allow. The tradeoff…
In this work, we will investigate the question of optimal control for bilinear systems with constrained endpoint. The optimal control will be characterized through a set of unconstrained minimization problems that approximate the former.…
In this paper we extend dynamic programming techniques to the study of discrete-time infinite horizon optimal control problems on compact control invariant sets with state-independent best asymptotic average cost. To this end we analyse the…
We consider irreversible and coupled reversible-irreversible nonlinear port-Hamiltonian systems and the respective sets of thermodynamic equilibria. In particular, we are concerned with optimal state transitions and output stabilization on…
In this paper we examine a mutual control problem for systems of two abstract evolution equations subject to a proportionality final condition. Related observability and semi-observability problems are discussed. The analysis employs a…
An effective form of the Variation Evolving Method (VEM), which originates from the continuous-time dynamics stability theory, is developed for the classic time-optimal control problem with control constraint. Within the mathematic…
In this paper we study the problem of designing periodic orbits for a special class of hybrid systems, namely mechanical systems with underactuated continuous dynamics and impulse events. We approach the problem by means of optimal control.…
We consider a real options model for the optimal irreversible investment problem of a profit maximizing company. The company has the opportunity to invest into a production plant capable of producing two products, of which the prices follow…
A method is devised for numerically solving a class of finite-horizon optimal control problems subject to cascade linear discrete-time dynamics. It is assumed that the linear state and input inequality constraints, and the quadratic measure…
We investigate the growth optimal strategy over a finite time horizon for a stock and bond portfolio in an analytically solvable multiplicative Markovian market model. We show that the optimal strategy consists in holding the amount of…
We study a single risky financial asset model subject to price impact and transaction cost over an finite time horizon. An investor needs to execute a long position in the asset affecting the price of the asset and possibly incurring in…
In this paper, problems of optimal control are considered where in the objective function, in addition to the control cost there is a tracking term that measures the distance to a desired stationary state. The tracking term is given by some…
This paper is concerned with a boundary control problem for the Cahn--Hilliard equation coupled with dynamic boundary conditions. In order to handle the control problem, we restrict our analysis to the case of regular potentials defined on…
This paper analyzes a problem of optimal static hedging using derivatives in incomplete markets. The investor is assumed to have a risk exposure to two underlying assets. The hedging instruments are vanilla options written on a single…
In this manuscript we consider a class optimal control problem for stochastic differential delay equations. First, we rewrite the problem in a suitable infinite-dimensional Hilbert space. Then, using the dynamic programming approach, we…
In this paper we study an optimal control problem (OCP) associated to a linear elliptic equation {on a bounded domain $\Omega$}. The matrix-valued coefficients A of such systems is our control taken in L2 which in particular may comprise…
We study a control problem where the state equation is a nonlinear partial differential equation of the calculus of variation in a bounded domain, perturbed by noise. We allow the control to act on the boundary and set stochastic boundary…
This paper considers two different problems in trajectory tracking control for linear systems. First, if the control is not unique which is most input energy efficient. Second, if exact tracking is infeasible which control performs most…