Related papers: Optimal stopping and free boundary characterizatio…
We consider a vibrating string that is fixed at one end with Neumann control action at the other end. We investigate the optimal control problem of steering this system from given initial data to rest, in time T , by minimizing an objective…
In this paper, we study the optimal singular controls for stochastic recursive systems, in which the control has two components: the regular control, and the singular control. Under certain assumptions, we establish the dynamic programming…
We establish structural properties of optimal stopping problems under time-consistent dynamic (coherent) risk measures, focusing on value function monotonicity and the existence of control limit (threshold) optimal policies. While such…
We consider an infinite horizon optimal control problem for a continuous-time Markov chain $X$ in a finite set $I$ with noise-free partial observation. The observation process is defined as $Y_t = h(X_t)$, $t \geq 0$, where $h$ is a given…
We investigate conditions of optimality for an infinite horizon control problem and consider their correspondence with the value function. Assuming Lipschitz continuity of the value function, we prove that sensitivity relations plus the…
We study an optimal control problem on infinite time horizon with semimartingale strategies, random coefficients and regime switching. The value function and the optimal strategy can be characterized in terms of three systems of backward…
This paper is concerned with optimal control problems for systems governed by mean-field stochastic differential equation, in which the control enters both the drift and the diffusion coefficient. We prove that the relaxed state process,…
We investigate the asymptotic properties of a finite-time horizon linear-quadratic optimal control problem driven by a multiscale stochastic process with multiplicative Brownian noise. We approach the problem by considering the associated…
In this paper, we investigate a sparse optimal control of continuous-time stochastic systems. We adopt the dynamic programming approach and analyze the optimal control via the value function. Due to the non-smoothness of the $L^0$ cost…
We give a new proof of the fact that the value function of the finite time horizon American put option for a jump diffusion, when the jumps are from a compound Poisson process, is the classical solution of a free boundary equation. We also…
We study a finite-horizon stochastic control criterion for non-convex optimization in which Brownian exploration is balanced against a quadratic control cost. Rather than emphasizing the classical Hopf--Cole representation, we isolate the…
A numerical study of an optimal control formulation for a shape optimization problem governed by an elliptic variational inequality is performed. The shape optimization problem is reformulated as a boundary control problem in a fixed…
We study a stochastic control problem for continuous multidimensional martingales with fixed quadratic variation. In a radially symmetric environment, we are able to find an explicit solution to the control problem and find an optimal…
The Markowitz problem consists of finding in a financial market a self-financing trading strategy whose final wealth has maximal mean and minimal variance. We study this in continuous time in a general semimartingale model and under cone…
We consider the stochastic Landau-Lifshitz-Bloch equation in dimensions 1,2,3, perturbed by a real-valued Wiener process. We consider a Suslin space-valued control process with a general control operator, which can depend on both the…
This paper examines a Markovian model for the optimal irreversible investment problem of a firm aiming at minimizing total expected costs of production. We model market uncertainty and the cost of investment per unit of production capacity…
We consider an optimal control problem for a dynamical system described by a Caputo fractional differential equation and a terminal cost functional. We prove that, under certain assumptions, the (non-smooth, in general) value functional of…
We solve an optimal stopping problem where the underlying diffusion is Brownian motion on $\bf R$ with a positive drift changing at zero. It is assumed that the drift $\mu_1$ on the negative side is smaller than the drift $\mu_2$ on the…
We consider a parabolic optimal control problem with an initial measure control. The cost functional consists of a tracking term corresponding to the observation of the state at final time. Instead of a regularization term in the cost…
State-of-the-art approaches to optimal control use smooth approximations of value and policy functions and gradient-based algorithms for improving approximator parameters. Unfortunately, we show that value and policy functions that arise in…