Related papers: Optimal stopping and free boundary characterizatio…
We investigate a mean field optimal control problem obtained in the limit of the optimal control of large particle systems with forcing and terminal data which are not assumed to be convex. We prove that the value function, which is known…
This paper concerns state constrained optimal control problems, in which the dynamic constraint takes the form of a differential inclusion. If the differential inclusion does not depend on time, then the Hamiltonian, evaluated along the…
We consider a class of optimal control problems, with finite or infinite horizon, for a continuous-time Markov chain with finite state space. In this case, the control process affects the transition rates. We suppose that the controlled…
We consider optimal control of an elliptic two-point boundary value problem governed by functions of bounded variation (BV). The cost functional is composed of a tracking term for the state and the BV-seminorm of the control. We use the…
For a control system two major issues can be considered: the stabilizability with respect to a given target, and the minimization of an integral functional (while the trajectories reach this target). Here we consider a problem where…
This paper studies an optimal dividend problem with a drawdown constraint in a Brownian motion model, requiring the dividend payout rate to remain above a fixed proportion of its historical maximum. This leads to a path-dependent stochastic…
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…
We consider an optimal stochastic impulse control problem over an infinite time horizon motivated by a model of irreversible investment choices with fixed adjustment costs. By employing techniques of viscosity solutions and relying on…
In this paper we investigate the optimal control problem for a class of stochastic Cauchy evolution problem with non standard boundary dynamic and control. The model is composed by an infinite dimensional dynamical system coupled with a…
We consider an inventory system whose state is modeled by a L\'{e}vy process. There are two types of costs--the running costs and the inventory control costs. The running costs (also known as the holding/penalty costs) are incurred…
We consider some boundary value tracking optimal control problem constrained by a Neumann boundary value problem for some elliptic partial differential equation where the control acts as right-hand side. This optimal control problem can be…
We consider a kind of stochastic exit time optimal control problems, in which the cost function is defined through a nonlinear backward stochastic differential equation. We study the regularity of the value function for such a control…
We study an optimal boundary control problem associated to the boundary obstacle problem for the couple conformal Laplacian and conformal Robin operator on n-dimensional compact Riemannian manifolds with boundary and with n\geq 3. When the…
Classical stability theory for stochastic programming relies on the Wasserstein-Fortet-Mourier duality, which requires the ground cost to be a distance. When using problem-dependent costs instead of metrics, this duality no longer yields…
We analyze the consequences that the so-called turnpike property has on the long-time behavior of the value function corresponding to a finite-dimensional linear-quadratic optimal control problem with general terminal cost and constrained…
This paper addresses the inverse optimal control problem of finding the state weighting function that leads to a quadratic value function when the cost on the input is fixed to be quadratic. The paper focuses on a class of infinite horizon…
In this article, we study a finite horizon linear-quadratic stochastic control problem for Brownian particles, where the cost functions depend on the state and the occupation measure of the particles. To address this problem, we develop an…
This paper investigates optimal consumption in the stochastic Ramsey problem with the Cobb-Douglas production function. Contrary to prior studies, we allow for general consumption processes, without any a priori boundedness constraint. A…
Bernoulli free boundary problem is numerically solved via shape optimization that minimizes a cost functional subject to state problems constraints. In \cite{1}, an energy-gap cost functional was formulated based on two auxiliary state…
We study a stochastic optimal control problem with the state constrained to a smooth, compact domain. The control influences both the drift and a possibly degenerate, control-dependent dispersion matrix, leading to a fully nonlinear,…