Related papers: Maximum principles for jump diffusion processes wi…
Diffusion on complex networks is often modeled as a stochastic process. Yet, recent work on strategic diffusion emphasizes the decision power of agents and treats diffusion as a strategic problem. Here we study the computational aspects of…
We generalize a Maximum Principle for optimal control problems involving sweeping systems previously derived in ``Necessary conditions for optimal control problems with sweeping systems and end point constraints'', by de Pinho, Ferreira and…
We consider the problem of computing optimal linear control policies for linear systems in finite-horizon. The states and the inputs are required to remain inside pre-specified safety sets at all times despite unknown disturbances. In this…
The maximum entropy principle, as applied to quantum systems, is a fundamental prescript positing that for a quantum system for which we only have partial knowledge, the maximum entropy state consistent with the partial knowledge is a…
We consider an optimal control problem that entails the minimization of a nondifferentiable cost functional, fractional diffusion as state equation and constraints on the control variable. We provide existence, uniqueness and regularity…
We study a class of infinite horizon impulse control problems with execution delay when the dynamics of the system is described by a general adapted stochastic process. The problem is solved by means of probabilistic tools relying on the…
The paper addresses an existence problem for infinite horizon optimal control when the system under control is exponentially stabilizable or stable. Classes of nonlinear control systems for which infinite horizon optimal controls exist are…
In this paper, we consider how to construct the optimal solutions for a general discrete time infinite horizon optimal control problem. We establish necessary and sufficient conditions for optimality in the sense of a modified optimality…
In this paper, we consider a general time-inconsistent optimal control problem for a non homogeneous linear system, in which its state evolves according to a stochastic differential equation with deterministic coefficients, when the noise…
We discuss utility based pricing and hedging of jump diffusion processes with emphasis on the practical applicability of the framework. We point out two difficulties that seem to limit this applicability, namely drift dependence and…
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…
In this paper we prove necessary conditions for optimality of a stochastic control problem for a class of stochastic partial differential equations that is controlled through the boundary. This kind of problems can be interpreted as a…
This paper deals with the optimal control of systems governed by nonlinear systems of conservation laws at junctions. The applications considered range from gas compressors in pipelines to open channels management. The existence of an…
In this paper, we study a stochastic optimal control problem under a type of consistent convex expectation dominated by G-expectation. By the separation theorem for convex sets, we get the representation theorems for this convex expectation…
This paper solves a Bayes sequential impulse control problem for a diffusion, whose drift has an unobservable parameter with a change point. The partially-observed problem is reformulated into one with full observations, via a change of…
We consider the problem of finite-horizon optimal control of a discrete linear time-varying system subject to a stochastic disturbance and fully observable state. The initial state of the system is drawn from a known Gaussian distribution,…
We consider the classical problem of maximizing the expected utility of terminal net wealth with a final random liability in a simple jump-diffusion model. In the spirit of Horst et al. (2014) and Santacroce-Trivellato (2014), under…
We study the ergodic control problem for a class of jump diffusions in $\mathbb{R}^d$, which are controlled through the drift with bounded controls. The Levy measure is finite, but has no particular structure; it can be anisotropic and…
A general result on the method of randomized stopping is proved. It is applied to optimal stopping of controlled diffusion processes with unbounded coefficients to reduce it to an optimal control problem without stopping. This is motivated…
In this paper, we aim to explore optimal regional trajectory tracking control problems of the anomalous subdiffusion processes governed by time-fractional diffusion systems under the Neumann boundary conditions. Using eigenvalue theory of…