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We consider the optimal control problem associated with a general version of the well known shallow lake model, and we prove the existence of an optimum in the class $L_{loc}^{1}\left(0,+\infty\right)$. Any direct proof seems to be missing…
We construct the law of L\'{e}vy processes conditioned to stay positive under general hypotheses. We obtain a Williams type path decomposition at the minimum of these processes. This result is then applied to prove the weak convergence of…
We consider the passage time problem for L\'evy processes, emphasising heavy tailed cases. Results are obtained under quite mild assumptions, namely, drift to $-\infty$ a.s. of the process, possibly at a linear rate (the finite mean case),…
A compound Poisson process whose parameters are all unknown is observed at finitely many equispaced times. Nonparametric estimators of the jump and L\'evy distributions are proposed and functional central limit theorems using the uniform…
The concept of a controlled flow of a dynamical system, especially when the controlling process feeds information back about the system, is of central importance in control engineering. In this paper we build on the ideas presented by…
Last passage times arise in a number of areas of applied probability, including risk theory and degradation models. Such times are obviously not stopping times since they depend on the whole path of the underlying process. We consider the…
The two main contributions of this paper are a proof of concept of the recent novel idea in the area of long-time average cost control, and a new method of overcoming the well-known difficulty of non-convexity of simultaneous optimization…
Assumed having axial symmetry, the streamer discharge is often described by a fluid model in cylindrical coordinate system, which consists of convection dominated (diffusion) equations with source terms, coupled with a Poisson's equation.…
This paper considers an optimal impulse control problem of dynamical systems generated by a flow. The performance criteria are total costs over the infinite time horizon. Apart from the main performance to be minimized, there are multiple…
Research on active control for the delay of laminar-turbulent transition in boundary layers has made a significant progress in the last two decades, but the employed strategies have been many and dispersed. Using one framework, we review…
We consider the stochastic control problem of the shallow lake and continue the work of G. T. Kossioris, Loulakis, and Souganidis (2019) in three directions. First, we generalise the characterisation of the value function as the viscosity…
This paper focuses on the optimal control of weak (i.e. in general non smooth) solutions to the continuity equation with non local flow. Our driving examples are a supply chain model and an equation for the description of pedestrian flows.…
We study the finite element formulation of general boundary conditions for incompressible flow problems. Distinguishing between the contributions from the inviscid and viscid parts of the equations, we use Nitsche's method to develop a…
In the Wiener disorder problem, the drift of a Wiener process changes suddenly at some unknown and unobservable disorder time. The objective is to detect this change as quickly as possible after it happens. Earlier work on the Bayesian…
In this article, we present a general methodology for control problems driven by the Brownian motion filtration including non-Markovian and non-semimartingale state processes controlled by mutually singular measures. The main result of this…
We consider a financial contract that delivers a single cash flow given by the terminal value of a cumulative gains process. The problem of modelling and pricing such an asset and associated derivatives is important, for example, in the…
In this paper we prove a version of the maximum principle, in the sense of Pontryagin, for the optimal control of a finite dimensional stochastic differential equation, driven by a multidimensional Wiener process. We drop the usual…
We study the problem of optimal risk policies and dividend strategies for an insurance company operating under the constraint that the timing of shareholder payouts is governed by the arrival times of a Poisson process. Concurrently, risk…
We consider the optimal dividend problem for the insurance risk process in a general Levy process setting. The objective is to find a strategy which maximizes the expected total discounted dividends until the time of ruin. We give…
Optimal control theory deals with finding protocols to steer a system between assigned initial and final states, such that a trajectory-dependent cost function is minimized. The application of optimal control to stochastic systems is an…