Related papers: Stochastic Impulse Control of Non-Markovian Proces…
In this paper we study backward stochastic differential equations (BSDEs) driven by the compensated random measure associated to a given pure jump Markov process X on a general state space K. We apply these results to prove well-posedness…
In this paper we study the approximate controllability and existence of optimal control of impulsive fractional semilinear delay differential equations with non-local conditions. We use Sadovskii's fixed point theorem, semigroup theory of…
This paper considers optimal control of dynamical systems which are represented by nonlinear stochastic differential equations. It is well-known that the optimal control policy for this problem can be obtained as a function of a value…
We consider particles that are conditioned to initial and final states. The trajectory of these particles is uniquely shaped by the intricate interplay of internal and external sources of randomness. The internal randomness is aptly…
We study a class of optimal control problems governed by nonlinear stochastic equations of monotone type under certain coercivity and linear growth conditions. We give first order necessary conditions of optimality. A stochastic Pontryagin…
The maximum principle for optimal control problems of fully coupled forward-backward doubly stochastic differential equations (FBDSDEs in short) in the global form is obtained, under the assumptions that the diffusion coefficients do not…
This paper studies maximisation of an average-cost-per-unit-time ergodic functional over impulse strategies controlling a Feller-Markov process. The uncontrolled process is assumed to be ergodic but, unlike the extant literature, the…
We consider a pathwise stochastic optimal control problem and study the associated (not necessarily adapted) Hamilton-Jacobi-Bellman stochastic partial differential equation. We show that the value process is the unique solution of this…
We investigated a cost-constrained static ergodic control problem of the variance of measure-valued affine processes and its application in streamflow management. The controlled system is a jump-driven mixed moving average process that…
Control theory plays a pivotal role in understanding and optimizing the behavior of complex dynamical systems across various scientific and engineering disciplines. Two key frameworks that have emerged for modeling and solving control…
We discuss the problem of optimal impulse control representing the preventive maintenance of a simple reparable system. The system model is governed by coupled transport and integro-differential equations in a nonreflexive Banach space. The…
This paper deals with a stochastic recursive optimal control problem, where the diffusion coefficient depends on the control variable and the control domain is not necessarily convex. We focus on the connection between the general maximum…
We consider a discrete time stochastic Markovian control problem under model uncertainty. Such uncertainty not only comes from the fact that the true probability law of the underlying stochastic process is unknown, but the parametric family…
In this paper we study optimal stopping problems for nonlinear Markov processes driven by a McKean-Vlasov SDE and aim at solving them numerically by Monte Carlo. To this end we propose a novel regression algorithm based on the corresponding…
In this work we show that one can solve a finite horizon non-Markovian impulse control problem with control dependant dynamics. This dynamic satisfies certain functional Lipschitz conditions and is path dependent in such a way that the…
In this paper, we address a social planner's optimal control problem for a partially observable stochastic epidemic model. The control measures include social distancing, testing, and vaccination. Using a diffusion approximation for the…
In this article we present a general framework for non-concave robust stochastic control problems under model uncertainty in a discrete time finite horizon setting. Our framework allows to consider a variety of different path-dependent…
In this article, we consider the deterministic impulsively controlled system with infinite horizon and several discounted objective functionals. The constructed optimal control problem with functional constraints is reformulated as a Markov…
The paper proposes a new stochastic intervention control model conducted in various commodity and stock markets. The essence of the phenomenon of intervention is described in accordance with current economic theory. A review of papers on…
In this paper, we consider the stochastic optimal control problem for the interacting particle system. We obtain the stochastic maximum principle of the optimal control system by introducing a generalized backward stochastic differential…