Related papers: Minimax Impulse Control Problems in Finite Horizon
A new class of control problems is discussed - homeostasis control. Homeostasis control problems can be considered as control problems with a given target set, in particular, as a problem of stabilizing the values of some target function,…
We study an optimal execution problem in a continuous-time market model that considers market impact. We formulate the problem as a stochastic control problem and investigate properties of the corresponding value function. We find that…
The present paper is devoted to the study of the asymptotic behavior of the value functions of both finite and infinite horizon stochastic control problems and to the investigation of their relation with suitable stochastic ergodic control…
A singular stochastic control problem with state constraints in two-dimensions is studied. We show that the value function is $C^1$ and its directional derivatives are the value functions of certain optimal stopping problems. Guided by the…
Control Barrier Functions (CBFs) have become a popular tool for enforcing set invariance in safety-critical control systems. While guaranteeing safety, most CBF approaches are myopic in the sense that they solve an optimization problem at…
The main purpose of this article is to prove a logarithmic convexity estimate for the solution of a linear heat equation subject to dynamic boundary conditions in a bounded convex domain. As an application, we prove the impulsive null…
We consider the impulse control of Levy processes under the infinite horizon, discounted cost criterion. Our motivating example is the cash management problem in which a controller is charged a fixed plus proportional cost for adding to or…
We consider a class of stochastic control problems where the state process is a probability measure-valued process satisfying an additional martingale condition on its dynamics, called measure-valued martingales (MVMs). We establish the…
An optimal control problem with a time-parameter is considered. The functional to be optimized includes the maximum over time-horizon reached by a function of the state variable, and so an $L^\infty$-term. In addition to the classical…
We study an optimal control problem of McKean--Vlasov branching diffusion processes, in which the interaction term is determined by the marginal measure induced by all alive particles in the system. Accordingly, the value function is…
This paper is dedicated to the analysis of infinite horizon optimal control problems subject to semilinear parabolic equations with constraints on the controls and discounted cost functionals. The discount factors on the cost and the state…
We develop the dynamic programming approach for a family of infinite horizon boundary control problems with linear state equation and convex cost. We prove that the value function of the problem is the unique regular solution of the…
This paper investigates a singular stochastic control problem for a multi-dimensional regime-switching diffusion process confined in an unbounded domain. The objective is to maximize the total expected discounted rewards from exerting the…
We investigate a mean field optimal control problem obtained in the limit of the optimal control of large particle systems with forcing and terminal data which are not assumed to be convex. We prove that the value function, which is known…
The main objective of this paper is the construction of the solution of an impulsive stochastic differential equation, subject to control conditions in the pulse-times and give sufficient conditions for them to be random variables with…
In this paper we study a class of risk-sensitive Markovian control problems in discrete time subject to model uncertainty. We consider a risk-sensitive discounted cost criterion with finite time horizon. The used methodology is the one of…
In this paper, infinite horizon stochastic difference equations and backward stochastic difference equations with fractional noises are studied. The main difficulty comes from fractional noises on infinite horizon. Motivated by…
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…
For linear time-invariant systems having a state matrix with uncertain sign, we formulate a minimax adaptive control problem as a zero sum dynamic game. Explicit expressions for the optimal value function and the optimal control law are…
A general backward stochastic linear-quadratic optimal control problem is studied, in which both the state equation and the cost functional contain the nonhomogeneous terms. The main feature of the problem is that the weighting matrices in…