Related papers: Minimax Impulse Control Problems in Finite Horizon
In this paper, motivated by the study of optimal control problems for infinite dimensional systems with endpoint state constraints, we introduce the notion of finite codimensional (exact/approximate) controllability. Some equivalent…
The extremum value theorem for function spaces plays the central role in optimal control. It is known that computation of optimal control actions and policies is often prone to numerical errors which may be related to computability issues.…
We study the optimal portfolio liquidation problem over a finite horizon in a limit order book with bid-ask spread and temporary market price impact penalizing speedy execution trades. We use a continuous-time modeling framework, but in…
In recent years, an approach to extremum seeking control made it possible to design control vector fields that lead to asymptotic stability of the minimum point provided that the minimum value of the function is known a priori. In this…
Necessary optimality conditions in the form of the maximum principle for control problems with infinite time horizon are considered. Both finite and infinite values of objective functional are allowed since the concept of overtaking or…
This paper is concerned with cost optimization of an insurance company. The surplus of the insurance company is modeled by a controlled regime switching diffusion, where the regime switching mechanism provides the fluctuations of the random…
Infinite horizon open loop optimal control problems for semilinear parabolic equations are investigated. The controls are subject to a cost-functional which promotes sparsity in time. The focus is put on deriving first order optimality…
The aim of this paper is to answer the question: Do the controls of a vanishing viscosity approximation of the one dimensional linear wave equation converge to a control of the conservative limit equation? Our viscous term contains the…
We study a problem of optimal investment/consumption over an infinite horizon in a market consisting of two possibly correlated assets: one liquid and one illiquid. The liquid asset is observed and can be traded continuously, while the…
In this paper, we consider the infinite horizon optimal control problem for nonlinear systems. Under the conditions of controllability of the linearized system around the origin, and nonlinear controllability of the system to a terminal set…
In the paper, we consider a path-dependent Hamilton-Jacobi equation with coinvariant derivatives over the space of continuous functions. Such equations arise from optimal control problems and differential games for time-delay systems. We…
We study a class of zero-sum stochastic games between a stopper and a singular-controller, previously considered in [Bovo and De Angelis (2025)]. The underlying singularly-controlled dynamics takes values in…
Existing results on finite-time model predictive control (MPC) often rely on terminal equality constraint, switching inside one-step region, or terminal cost with short control horizon, leading to limited initial feasibility. This paper…
We study optimality conditions for various types of control problems like the standard optimal control problem, optimal multiprocesses, problems with infinite horizon or the control of Volterra integral equations. To derive necessary…
This paper addresses an open problem in the area of linear quadratic optimal control. We consider the regular, infinite-horizon, stability-modulo-a-subspace, indefinite linear quadratic problem under the assumption that the dynamics are…
In this paper we study a utility maximization problem with both optimal control and optimal stopping in a finite time horizon. The value function can be characterized by a variational equation that involves a free boundary problem of a…
We consider a two-player zero-sum deterministic differential game where each player uses both continuous and impulse controls in infinite-time horizon. We assume that the impulses supposed to be of general term and the costs depend on the…
This paper establishes a verification theorem for impulse control problems involving conditional McKean-Vlasov jump diffusions. We obtain a Markovian system by combining the state equation of the problem with the stochastic Fokker-Planck…
This paper addresses the study of the hierarchical control for the one-dimensional wave equation in intervals with a moving boundary. This equation models the motion of a string where an endpoint is fixed and the other one is moving. When…
We consider an optimal control problem for a system governed by a Volterra integral equation with impulsive terms. The impulses act on both the state and the control; the control consists of switchings at discrete times. The cost functional…