Related papers: Optimal stopping and control near boundaries
This contribution considers optimal control problems subject to nonlocal conservation laws -- those in which the velocity depends nonlocally (i.e., via a convolution) on the solution -- and the so-called singular limit. First, the existence…
The basic module for the solution of the minimum time optimal control of a car-like vehicle is herein presented. The vehicle is subject to the effect of laminar (linear) and aerodynamic (quadratic) drag, taking into account the asymmetric…
Motivated by applications in natural resource management, risk management, and finance, this paper is focused on an ergodic two-sided singular control problem for a general one-dimensional diffusion process. The control is given by a…
Within this chapter, we discuss control in the coefficients of an obstacle problem. Utilizing tools from H-convergence, we show existence of optimal solutions. First order necessary optimality conditions are obtained after deriving…
We study methods for solving stochastic control problems of systems of forward-backward mean-field equations with delay, in finite or infinite horizon. Necessary and sufficient maximum principles under partial information are given. The…
We consider an optimal stopping time problem related with many models found in real options problems. The main goal of this work is to bring for the field of real options, different and more realistic pay-off functions, and negative…
The paper deals with an optimal control problem in a dynamical system described by a linear differential equation with the Caputo fractional derivative. The goal of control is to minimize a Bolza-type cost functional, which consists of two…
In this paper, we analyse control affine optimal control problems with a cost functional involving the absolute value of the control. The Pontryagin extremals associated with such systems are given by (possible) concatenations of bang arcs…
We consider an optimal control problem $\cQ$ governed by an elliptic quasivariational inequality with unilateral constraints. The existence of optimal pairs of the problem is a well known result, see \cite{SS}, for instance. We associate to…
We study an optimal stopping problem with an unbounded, time-dependent and discontinuous reward function. This problem is motivated by the pricing of a variable annuity contract with guaranteed minimum maturity benefit, under the assumption…
In this work, we formulate the problem of achieving in minimum-time perfect chiral resolution with bounded control fields, as an optimal control problem on two non-interacting spins-$1/2$. We assume the same control bound for the two Raman…
In ergodic singular stochastic control problems, a decision-maker can instantaneously adjust the evolution of a state variable using a control of bounded variation, with the goal of minimizing a long-term average cost functional. The cost…
We study the problem of optimally managing an inventory with unknown demand trend. Our formulation leads to a stochastic control problem under partial observation, in which a Brownian motion with non-observable drift can be singularly…
A continuous optimal control problem governed by an elliptic variational inequality was considered in Boukrouche-Tarzia, Comput. Optim. Appl., 53 (2012), 375-392 where the control variable is the internal energy $g$. It was proved the…
We calculate arbitrarily tight upper and lower bounds on an unconstrained control, linear-quadratic, singularly perturbed optimal control problem whose exact solution is computationally intractable. It is well known that for the…
In this paper we provide a complete theoretical analysis of a two-dimensional degenerate non convex singular stochastic control problem. The optimisation is motivated by a storage-consumption model in an electricity market, and features a…
In the present work we deal with the existence of solutions for optimal control problems associated to transport equations. The behaviour of a population of individuals will be influenced by the presence of a population of control agents…
In this paper, we first investigate necessary optimality conditions for problems governed by systems describing the flow of an incompressible second grade fluid. Next, we study the asymptotic behavior of the optimal solution when the…
This paper investigates the relations between three different properties, which are of importance in optimal control problems: dissipativity of the underlying dynamics with respect to a specific supply rate, optimal operation at steady…
We consider optimal stopping problems, in which a sequence of independent random variables is drawn from a known continuous density. The objective of such problems is to find a procedure which maximizes the expected reward; this is often…