Related papers: Deterministic Minimax Impulse Control in Finite Ho…
We consider an illiquid financial market with different regimes modeled by a continuous-time finite-state Markov chain. The investor can trade a stock only at the discrete arrival times of a Cox process with intensity depending on the…
Regularity of the impulse control problem for a non-degenerate $n$-dimensional jump diffusion with infinite activity and finite variation jumps was recently examined by Davis, Guo, and Wu (SICON 2010). Here we extend the analysis to include…
We study a problem of optimal investment/consumption over an infinite horizon in a market consisting of two possibly correlated assets: one liquid and one illiquid. The liquid asset is observed and can be traded continuously, while the…
A finite horizon optimal stopping problem for an infinite dimensional diffusion $X$ is analyzed by means of variational techniques. The diffusion is driven by a SDE on a Hilbert space $\mathcal{H}$ with a non-linear diffusion coefficient…
We study stochastic optimal control problems for (possibly degenerate) McKean-Vlasov controlled diffusions and obtain discrete-time as well as finite interacting particle approximations. (i) Under mild assumptions, we first prove the…
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 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…
We study the stochastic control-stopping problem when the data are of polynomial growth. The approach is based on backward stochastic dierential equations (BSDEs for short). The problem turns into the study of a specic reected BSDE with a…
In this paper we study the optimal m-states switching problem in finite horizon as well as infinite horizon with risk of default. We allow the switching cost functionals and cost of default to be of polynomial growth and arbitrary. We show…
The classical optimal investment and consumption problem with infinite horizon is studied in the presence of transaction costs. Both proportional and fixed costs as well as general utility functions are considered. Weak dynamic programming…
We study the optimal portfolio liquidation problem over a finite horizon in a limit order book with bid-ask spread and temporary market price impact penalizing speedy execution trades. We use a continuous-time modeling framework, but in…
We investigate the large-time behavior of the value functions of the optimal control problems on the $n$-dimensional torus which appear in the dynamic programming for the system whose states are governed by random changes. From the point of…
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…
This paper is concerned with a finite-horizon inverse control problem, which has the goal of reconstructing, from observations, the possibly non-convex and non-stationary cost driving the actions of an agent. In this context, we present a…
The notion of Inertial Balanced Viscosity (IBV) solution to rate-independent evolutionary processes is introduced. Such solutions are characterized by an energy balance where a suitable, rate-dependent, dissipation cost is optimized at jump…
We consider a risk-sensitive continuous-time Markov decision process over a finite time duration. Under the conditions that can be satisfied by unbounded transition and cost rates, we show the existence of an optimal policy, and the…
This paper revolves around a newly introduced weak solvability concept for rate-independent systems, alternative to the notions of Energetic and Balanced Viscosity solutions. Visco-Energetic solutions have been recently obtained by passing…
We address the infinite-horizon minimum energy control problem for linear time-invariant finite-dimensional systems $(A, B)$. We show that the problem admits a solution if and only if $(A, B)$ is stabilizable and $A$ does not have imaginary…
We prove the continuity of the value function of the sparse optimal control problem. The sparse optimal control is a control whose support is minimum among all admissible controls. Under the normality assumption, it is known that a sparse…
Equivalences are known between problems of singular stochastic control (SSC) with convex performance criteria and related questions of optimal stopping, see for example Karatzas and Shreve [SIAM J. Control Optim. 22 (1984)]. The aim of this…