Related papers: On the Impulse Control of Jump Diffusions
We study existence of probability measure valued jump-diffusions described by martingale problems. We develop a simple device that allows us to embed Wasserstein spaces and other similar spaces of probability measures into locally compact…
This paper studies indefinite stochastic linear-quadratic (LQ) optimal control for jump-diffusion systems with random coefficients. We construct an algebraic inverse flow from the zero-control base system, extract the semimartingale kernel…
In this article, we study the classical finite-horizon optimal stopping problem for multidimensional diffusions through an approach that differs from what is typically found in the literature. More specifically, we first prove a key…
In this paper, a characterization of the solution of impulse control problems in terms of superharmonic functions is given. In a general Markovian framework, the value function of the impulse control problem is shown to be the minimal…
In this article, we study the existence of insensitizing controls for a nonlinear reaction-diffusion equation with dynamic boundary conditions. Here, we have a partially unknown data of the system, and the problem consists in finding…
In this paper we investigate a kind of optimal control problem of coupled forward-backward stochastic system with jumps whose cost functional is defined through a coupled forward-backward stochastic differential equation with Brownian…
We consider a class of zero-sum stopper vs. singular-controller games in which the controller can only act on a subset $d_0<d$ of the $d$ coordinates of a controlled diffusion. Due to the constraint on the control directions these games…
In this paper, a quasi-linear parabolic equation with a diffusion term dependent on the gradient to the state with Dirichlet boundary conditions is considered. The goal of this paper is to prove the existence of control that insensitizes…
In this work we show that one can solve a finite horizon non-Markovian impulse control problem with control dependant dynamics. This dynamic satisfies certain functional Lipschitz conditions and is path dependent in such a way that the…
We consider a nonlinear control system with vector-valued measures as controls and with dynamics depending on time delayed states. First, we introduce a notion of discontinuous, bounded variation solution associated with this system and…
Following Demidovich's concept and definition of convergent systems, we analyze the optimal nonlinear damping control, recently proposed [1] for the second-order systems. Targeting the problem of output regulation, correspondingly tracking…
We characterize the optimal control for a class of singular stochastic control problems as the unique solution to a related Skorokhod reflection problem. The considered optimization problems concern the minimization of a discounted cost…
We introduce a notion of bounded variation solution for a new class of nonlinear control systems with ordinary and impulsive controls, in which the drift function depends not only on the state, but also on its past history, through a finite…
This paper studies open-loop equilibriums for a general class of time-inconsistent stochastic control problems under jump-diffusion SDEs with deterministic coefficients. Inspired by the idea of Four-Step-Scheme for forward-backward…
We consider stochastic impulse control problems when the impulses cost functions are arbitrary. We use the dynamic programming principle and viscosity solutions approach to show that the value function is a unique viscosity solution for the…
We investigate the two-points correlation function for several boundary-driven interacting particle systems. Our goal is to show that the time evolution of that correlation function is solution to a partial differential equation that can be…
We establish a link between stability estimates for a hyperbolic inverse problem via the Boundary Control method and the blowup of a constant appearing in the contexts of optimal unique continuation and cost of approximate controllability.
The general context of this work is the feedback control of an infinite-dimensional system so that the closed-loop system satisfies a fading-memory property and achieves the setpoint tracking of a given reference signal. More specifically,…
Existing models for droplet impact prescribe the spreading contact time and effective spreading velocity from asymptotic arguments, which prevents a self-consistent prediction of the maximum spreading ratio across regimes. Here, the total…
In this paper, we study the optimal control problem for a company whose surplus process evolves as an upward jump diffusion with random return on investment. Three types of practical optimization problems faced by a company that can control…