Related papers: Impulse Control of Multidimensional Jump Diffusion…
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…
This paper investigates the robustness of stochastic optimal control for controlled regime switching diffusions. We consider systems driven by both continuous fluctuations and discrete regime changes, allowing for model misspecification in…
We investigate the stability of the equilibrium-induced optimal value in one-dimensional diffusion setting for a time-inconsistent stopping problem under non-exponential discounting. We show that the optimal value is semi-continuous with…
We consider extended mean-field control problems with multi-dimensional singular controls. A key challenge when analysing singular controls are jump costs. When controls are one-dimensional, jump costs are most naturally computed by linear…
We study optimal control problems for interacting branching diffusion processes, a class of measure-valued dynamics capturing both spatial motion and branching mechanisms. From the perspective of the dynamic programming principle, we…
We study the optimal control of mean-field systems with heterogeneous and asymmetric interactions. This leads to considering a family of controlled Brownian diffusion processes with dynamics depending on the whole collection of marginal…
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…
This paper establishes a verification theorem for impulse control problems involving conditional McKean-Vlasov jump diffusions. We obtain a Markovian system by combining the state equation of the problem with the stochastic Fokker-Planck…
Scheduling control problems for a family of unitary networks under heavy traffic with general interarrival and service times, probabilistic routing and an infinite horizon discounted linear holding cost are studied. Diffusion control…
The stochastic $H_2/H_\infty$ control problem for continuous-time mean-field stochastic differential equations with Poisson jumps over finite horizon is investigated in this paper. Continuous and jump diffusion terms in the system depend…
We study the regularity of the stochastic representation of the solution of a class of initial-boundary value problems related to a regime-switching diffusion. This representation is related to the value function of a finite-horizon optimal…
Consider a set of discounted optimal stopping problems for a one-parameter family of objective functions and a fixed diffusion process, started at a fixed point. A standard problem in stochastic control/optimal stopping is to solve for the…
This paper analyzes and explicitly solves a class of long-term average impulse control problems and a related class of singular control problems. The underlying process is a general one-dimensional diffusion with appropriate boundary…
Time-inhomogeneous controlled diffusion processes in both cylindrical and noncylindrical domains are considered. Bellman's principle and its applications to proving the continuity of value functions are investigated.
We consider the value function of a stochastic optimal control of degenerate diffusion processes in a domain $D$. We study the smoothness of the value function, under the assumption of the non-degeneracy of the diffusion term along the…
We consider a rate control problem for an $N$-particle weakly interacting finite state Markov process. The process models the state evolution of a large collection of particles and allows for multiple particles to change state…
We study a single risky financial asset model subject to price impact and transaction cost over an finite time horizon. An investor needs to execute a long position in the asset affecting the price of the asset and possibly incurring in…
We study a stochastic optimal control problem for jump-diffusion systems whose drift coefficient is piecewise Lipschitz continuous and exhibits threshold-induced discontinuities. Such dynamics naturally arise in applications with…
The focus of this article is studying an optimal control problem for branching diffusion processes. Initially, we introduce the problem in its strong formulation and expand it to include linearly growing drifts. Then, we present a relaxed…
The hybrid optimal control problem with reach time to a target set is addressed and the continuity and uniqueness of the associated value function is proved. Hybrid systems involves interaction of different types of dynamics: continuous and…