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We consider optimal control problems governed by systems describing the unsteady flows of an incompressible second grade fluid with Navier-slip boundary conditions. We prove the existence of an optimal solution and derive the corresponding…
Simulating the conditioned dynamics of diffusion processes, given their initial and terminal states, is an important but challenging problem in the sciences. The difficulty is particularly pronounced for rare events, for which the…
The dynamic problem of enclosing an expanding fire can be modelled by a discrete variant in a grid graph. While the fire expands to all neighbouring cells in any time step, the fire fighter is allowed to block $c$ cells in the average…
This paper analyzes the problem of starting and stopping a Cox-Ingersoll-Ross (CIR) process with fixed costs. In addition, we also study a related optimal switching problem that involves an infinite sequence of starts and stops. We…
In a classical optimal stopping problem in continuous time, the agent can choose any stopping time without constraint. Dupuis and Wang (Optimal stopping with random intervention times, Advances in Applied Probability, 34, 141--157, 2002)…
We adapt ideas and concepts developed in optimal transport (and its martingale variant) to give a geometric description of optimal stopping times of Brownian motion subject to the constraint that the distribution of the stopping time is a…
In this article we study an optimal stopping/optimal control problem which models the decision facing a risk-averse agent over when to sell an asset. The market is incomplete so that the asset exposure cannot be hedged. In addition to the…
In this paper we study the optimal dividend problem for a company whose surplus process evolves as a spectrally positive Levy process. This model including the dual model of the classical risk model and the dual model with diffusion as…
We consider a stochastic impulse control problem that is motivated by applications such as the optimal exploitation of a natural resource. In particular, we consider a stochastic system whose uncontrolled state dynamics are modelled by a…
We study a practical optimization problems for venture capital investments and/or Research and Development (R&D) investments. The first problem is that, given the amount of the initial investment and the reward function at the initial…
Diffusion models have attained prominence for their ability to synthesize a probability distribution for a given dataset via a diffusion process, enabling the generation of new data points with high fidelity. However, diffusion processes…
A class of semilinear parabolic reaction diffusion equations with multiple time delays is considered. These time delays and corresponding weights are to be optimized such that the associated solution of the delay equation is the best…
In this paper, an open problem is solved, for the stochastic optimal control problem with delay where the control domain is nonconvex and the diffusion term contains both control and its delayed term. Inspired by previous results by \O…
In this paper, we solve explicitly the optimal stopping problem with random discounting and an additive functional as cost of observations for a regular linear diffusion. We also extend the results to the class of one-sided regular Feller…
This is part II of our study on the free boundary problems with nonlocal and local diffusions. In part I, we obtained the existence, uniqueness, regularity and estimates of global solution. In part II here, we show a spreading-vanishing…
We propose certain approach of solving two-dimensional non-stationary and stationary advection-diffusion-reaction boundary value problems through their reduction to the set of corresponding one-dimensional problems. This method leverages…
Inspired by Strotz's consistent planning strategy, we formulate the infinite horizon mean-variance stopping problem as a subgame perfect Nash equilibrium in order to determine time consistent strategies with no regret. Equilibria among…
A solution to the optimal problem for determining vector fields which maximize (resp. minimize) the transition probabilities from one location to another for a class of reflecting diffusion processes is obtained in the present paper. The…
Preservation of the maximum principle is studied for the combination of the linear finite element method in space and the $\theta$-method in time for solving time dependent anisotropic diffusion problems. It is shown that the numerical…
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…