Related papers: Optimal stopping and free boundary characterizatio…
We solve two stochastic control problems in which a player tries to minimize or maximize the exit time from an interval of a Brownian particle, by controlling its drift. The player can change from one drift to another but is subject to a…
We study the problem of optimally managing an inventory with unknown demand trend. Our formulation leads to a stochastic control problem under partial observation, in which a Brownian motion with non-observable drift can be singularly…
In this paper we provide a complete theoretical analysis of a two-dimensional degenerate non convex singular stochastic control problem. The optimisation is motivated by a storage-consumption model in an electricity market, and features a…
We characterize the optimal control for a class of singular stochastic control problems as the unique solution to a related Skorokhod reflection problem. The considered optimization problems concern the minimization of a discounted cost…
We study optimal control problems governed by abstract infinite dimensional stochastic differential equations using the dynamic programming approach. In the first part, we prove Lipschitz continuity, semiconcavity and semiconvexity of the…
We will investigate the value and inactive region of optimal stopping and one-sided singular control problems by focusing on two fundamental ratios. We shall see that these ratios unambiguously characterize the solution, although usually…
The present paper considers a stochastic optimal control problem, in which the cost function is defined through a backward stochastic differential equation with infinite horizon driven by G-Brownian motion. Then we study the regularities of…
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,…
In this paper we study a utility maximization problem with both optimal control and optimal stopping in a finite time horizon. The value function can be characterized by a variational equation that involves a free boundary problem of a…
This paper concerns the regularity and geometry of the free boundary in the optimal partial transport problem for general cost functions. More specifically, we prove that a $C^1$ cost implies a locally Lipschitz free boundary. As an…
We study the optimal value function for control problems on Banach spaces that involve both continuous and discrete control decisions. For problems involving semilinear dynamics subject to mixed control inequality constraints, one can show…
We study a family of optimal control problems in which one aims at minimizing a cost that mixes a quadratic control penalization and the variance of the system, both for finitely many agents and for the mean-field dynamics as their number…
An asymptotic framework for optimal control of multiclass stochastic processing networks, using formal diffusion approximations under suitable temporal and spatial scaling, by Brownian control problems (BCP) and their equivalent workload…
In this paper we investigate a kind of optimal control problem of coupled forward-backward stochastic system with jumps whose cost functional is defined through a coupled forward-backward stochastic differential equation with Brownian…
We analyze the state constrained inverse Stefan type parabolic free boundary problem as an optimal control problem in the Sobolev-Besov spaces framework. Boundary heat flux, density of heat sources, and free boundary are components of the…
We investigate an optimal stopping problem for the expected value of a discounted payoff on a regime-switching geometric Brownian motion under two constraints on the possible stopping times: only at exogenous random times and only during a…
We consider a singular stochastic control problem, which is called the Monotone Follower Stochastic Control Problem and give sufficient conditions for the existence and uniqueness of a local-time type optimal control. To establish this…
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…
We investigate propagation of convexity and convex ordering on a typical discrete-time stochastic optimal control problem, namely the pricing of swing option. The dynamics of the underlying asset is modelled by the Euler scheme of a…
We analyze an optimal stopping problem with a constraint on the expected cost. When the reward function and cost function are Lipschitz continuous in state variable, we show that the value of such an optimal stopping problem is a continuous…