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In hybrid force-velocity control, the robot can use velocity control in some directions to follow a trajectory, while performing force control in other directions to maintain contacts with the environment regardless of positional errors. We…
We study the regularity properties of the value function associated with an affine optimal control problem with quadratic cost plus a potential, for a fixed final time and initial point. Without assuming any condition on singular…
We study the optimal stopping problem for a monotonous dynamic risk measure induced by a BSDE with jumps in the Markovian case. We show that the value function is a viscosity solution of an obstacle problem for a partial…
We consider controlled martingales with bounded steps where the controller is allowed at each step to choose the distribution of the next step, and where the goal is to hit a fixed ball at the origin at time $n$. We show that the algebraic…
This study aims at characterizing a reachable set of a hybrid dynamical system with a lag constraint in the switch control. The setting does not consider any controllability assumptions and uses a level-set approach. The approach consists…
The linear transport equation allows to advect level-set functions to represent moving sharp interfaces in multiphase flows as zero level-sets. A recent development in computational fluid dynamics is to modify the linear transport equation…
This paper deals with an initial and boundary value problem for a system coupling equation and boundary condition both of Cahn-Hilliard type; an additional convective term with a forced velocity field, which could act as a control on the…
Relying on the careful study of a related problem in the calculus of variations, we study a class of optimal control problems in which the control lies on the acceleration, with state constraints on the position variable. In dimension one,…
We consider two linearly coupled masses, where one mass can have inelastic impacts with a fixed, rigid stop. This leads to the study of a two degree of freedom, piecewise linear, frictionless, unforced, constrained mechanical system. The…
We study a specific class of finite-horizon mean field optimal stopping problems by means of the dynamic programming approach. In particular, we consider problems where the state process is not affected by the stopping time. Such problems…
We consider the value function originating from an expected utility maximization problem with finite fuel constraint and show its close relation to a nonlinear parabolic degenerated Hamilton-Jacobi-Bellman (HJB) equation with singularity.…
We consider the problem of finite-horizon optimal control design under uncertainty for imperfectly observed discrete-time systems with convex costs and constraints. It is known that this problem can be cast as an infinite-dimensional convex…
We consider a class of stochastic control problems where the state process is a probability measure-valued process satisfying an additional martingale condition on its dynamics, called measure-valued martingales (MVMs). We establish the…
Controlled one-dimensional diffusion processes, with infinitesimal variance (instead of the infinitesimal mean) depending on the control variable, are considered in an interval located on the positive half-line. The process is controlled…
Optimal control and the associated second-order path-dependent Hamilton-Jacobi-Bellman (PHJB) equation are studied for unbounded functional stochastic evolution systems in Hilbert spaces. The notion of viscosity solution without…
This paper is devoted to studying an infinite time horizon stochastic recursive control problem with jumps, where infinite time horizon stochastic differential equation and backward stochastic differential equation with jumps describe the…
We consider a general class of stochastic optimal control problems, where the state process lives in a real separable Hilbert space and is driven by a cylindrical Brownian motion and a Poisson random measure; no special structure is imposed…
We study the controllability of a Partial Differential Equation of transport type, that arises in crowd models. We are interested in controlling it with a control being a vector field, representing a perturbation of the velocity, localized…
In the first part of this thesis, we focus on American options in the Heston model. We first give an analytical characterization of the value function of an American option as the unique solution of the associated (degenerate) parabolic…
The present paper is devoted to the study of the asymptotic behavior of the value functions of both finite and infinite horizon stochastic control problems and to the investigation of their relation with suitable stochastic ergodic control…