Related papers: Optimal Multi-Modes Switching Problem in Infinite …
This paper studies a discrete-time optimal switching problem on a finite horizon. The underlying model has a running reward, terminal reward and signed (positive and negative) switching costs. Using the martingale approach to optimal…
This paper investigates the necessary optimality conditions for uniformly overtaking optimal control on infinite horizon in the free end case. %with free right endpoint. In the papers of S.M.Aseev, A.V.Kryazhimskii, V.M.Veliov, K.O.Besov…
These notes present preliminary results regarding two different approximations of linear infinite-horizon optimal control problems arising in model predictive control. Input and state trajectories are parametrized with basis functions and a…
We consider the problem of optimally stopping a general one-dimensional stochastic differential equation (SDE) with generalised drift over an infinite time horizon. First, we derive a complete characterisation of the solution to this…
We study a finite horizon optimal control problem for the continuity equation under a weighted integral state constraint on the mass outside a fixed set. The model is cast in a Hilbert framework for densities. On a suitable invariant…
In this paper, we consider the infinite horizon optimal control problem for nonlinear systems. Under the conditions of controllability of the linearized system around the origin, and nonlinear controllability of the system to a terminal set…
Deterministic optimal impulse control problem with terminal state constraint is considered. Due to the appearance of the terminal state constraint, the value function might be discontinuous in general. The main contribution of this paper is…
This paper introduces a new class of optimal switching problems, where the player is allowed to switch at a sequence of exogenous Poisson arrival times, and the underlying switching system is governed by an infinite horizon backward…
This paper is concerned with the problem of finding the optimal of extraction policies of an oil field in light of various financial and economical restrictions and constraints. Taking into account the fact that the oil price in worldwide…
In ergodic singular stochastic control problems, a decision-maker can instantaneously adjust the evolution of a state variable using a control of bounded variation, with the goal of minimizing a long-term average cost functional. The cost…
We find the variance-optimal equivalent martingale measure when multivariate assets are modeled by a regime-switching geometric Brownian motion, and the regimes are represented by a homogeneous continuous time Markov chain. Under this new…
This paper investigates a singular stochastic control problem for a multi-dimensional regime-switching diffusion process confined in an unbounded domain. The objective is to maximize the total expected discounted rewards from exerting the…
We extend the classical setting of an optimal stopping problem under full information to include for problems with an unknown state. The framework allows the unknown state to influence (i) the drift of the underlying process, (ii) the…
We consider an infinite horizon control problem for dynamics constrained to remain on a multidimensional junction with entry costs. We derive the associated system of Hamilton-Jacobi equations (HJ), prove the comparison principle and that…
This paper is concerned with cost optimization of an insurance company. The surplus of the insurance company is modeled by a controlled regime switching diffusion, where the regime switching mechanism provides the fluctuations of the random…
In this paper, we consider the portfolio optimization problem in a financial market under a general utility function. Empirical results suggest that if a significant market fluctuation occurs, invested wealth tends to have a notable change…
A general problem in optimal control consists of finding a terminal reward that makes the value function independent of the horizon. Such a terminal reward can be interpreted as a max-plus eigenvector of the associated Lax-Oleinik…
In optimal control problems defined on stratified domains, the dynamics and the running cost may have discontinuities on a finite union of submanifolds of RN. In [8, 5], the corresponding value function is characterized as the unique…
This paper is concerned with a discounted optimal control problem of partially observed forward-backward stochastic systems with jumps on infinite horizon. The control domain is convex and a kind of infinite horizon observation equation is…
We study viscosity solutions to a system of nonlinear degenerate parabolic partial integro-differential equations with interconnected obstacles. This type of problem occurs in the context of optimal switching problems when the dynamics of…