Related papers: On approximative solutions of multistopping proble…
We investigate a singular-optimal stopping stochastic control problem driven by self-exciting dynamics governed by a Hawkes process. In the continuous-time setting, we show that the optimization problem reduces to solving a variational…
We propose a model in which dividend payments occur at regular, deterministic intervals in an otherwise continuous model. This contrasts traditional models where either the payment of continuous dividends is controlled or the dynamics are…
For optimal stopping problems with time-inconsistent preference, we measure the inherent level of time-inconsistency by taking the time needed to turn the naive strategies into the sophisticated ones. In particular, when in a repeated…
Motivated by applications to the dynamic control of queueing networks, we develop a simulation-based scheme, the so-called multilevel Picard (MLP) approximation, for solving high-dimensional drift control problems whose states are…
Time-optimal control of a multi-rotor remains an open problem due to the under-actuation and nonlinearity of its dynamics, which make it difficult to solve this problem directly. In this paper, the time-optimal control problem of the…
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…
We propose a new method for solving optimal stopping problems (such as American option pricing in finance) under minimal assumptions on the underlying stochastic process $X$. We consider classic and randomized stopping times represented by…
In this paper we consider a parabolic optimal control problem with a Dirac type control with moving point source in two space dimensions. We discretize the problem with piecewise constant functions in time and continuous piecewise linear…
In this brief, we consider the constrained optimization problem underpinning model predictive control (MPC). We show that this problem can be decomposed into an unconstrained optimization problem with the same cost function as the original…
We consider initial value problems of nonlinear dynamical systems, which include physical parameters. A quantity of interest depending on the solution is observed. A discretisation yields the trajectories of the quantity of interest in many…
In this work we consider optimal stopping problems with conditional convex risk measures called optimised certainty equivalents. Without assuming any kind of time-consistency for the underlying family of risk measures, we derive a novel…
In this paper, we consider a class of time-optimal control problems governed by linear parabolic equations with mixed control-state constraints and end-point constraints, and without Tikhonov regularization term in the objective function.…
This paper focuses on finding approximate solutions to stochastic optimal control problems with control domains being not necessarily convex, where the state trajectory is subject to controlled stochastic differential equations. The…
We study a multiscale stochastic optimal control problem subject to state constraints on the slow variable. To address this class of problems, we develop a rigorous theoretical framework based on singular perturbation analysis, tailored to…
We consider the determination of the optimal stationary singular stochastic control of a linear diffusion for a class of average cumulative cost minimization problems arising in various financial and economic applications of stochastic…
We use probabilistic methods to characterise time dependent optimal stopping boundaries in a problem of multiple optimal stopping on a finite time horizon. Motivated by financial applications we consider a payoff of immediate stopping of…
We introduce a parallel machine scheduling problem in which the processing times of jobs are not given in advance but are determined by a system of linear constraints. The objective is to minimize the makespan, i.e., the maximum job…
This work is motivated by the need to study the impact of data uncertainties and material imperfections on the solution to optimal control problems constrained by partial differential equations. We consider a pathwise optimal control…
This paper addresses a new class of optimal control problems for perturbed sweeping processes with measurable controls in additive perturbations of the dynamics and smooth controls in polyhedral moving sets. We develop a constructive…
Three notions of random stopping times exist in the literature. We introduce two concepts of equivalence of random stopping times, motivated by optimal stopping problems and stopping games respectively. We prove that these two concepts…