Related papers: Optimal stopping and control near boundaries
We present stability conditions for deterministic time-varying nonlinear discrete-time systems whose inputs aim to minimize an infinite-horizon time-dependent cost. Global asymptotic and exponential stability properties for general…
In this article a special class of nonlinear optimal control problems involving a bilinear term in the boundary condition is studied. These kind of problems arise for instance in the identification of an unknown space-dependent Robin…
The turnpike principle is a fundamental concept in optimal control theory, stating that for a wide class of long-horizon optimal control problems, the optimal trajectory spends most of its time near a steady-state solution (the…
We study an optimal control problem on infinite time horizon with semimartingale strategies, random coefficients and regime switching. The value function and the optimal strategy can be characterized in terms of three systems of backward…
In recent papers it has been suggested that human locomotion may be modeled as an inverse optimal control problem. In this paradigm, the trajectories are assumed to be solutions of an optimal control problem that has to be determined. We…
A general setup for deterministic system identification problems on graphs with Dirichlet and Neumann boundary conditions is introduced. When control nodes are available along the boundary, we apply a discretize-then-optimize method to…
We consider a control problem constrained by the unsteady stochastic Stokes equations with nonhomogeneous boundary conditions in connected and bounded domains. In this paper, controls are defined inside the domain as well as on the…
We consider optimal stopping problems for a Brownian motion and a geometric Brownian motion with a "disorder", assuming that the moment of a disorder is uniformly distributed on a finite interval. Optimal stopping rules are found as the…
We consider an optimal stopping problem where a constraint is placed on the distribution of the stopping time. Reformulating the problem in terms of so-called measure-valued martingales allows us to transform the marginal constraint into an…
In this paper we consider a parabolic optimal control problem with a Dirac type control with moving point source in two space dimensions. We discretize the problem with piecewise constant functions in time and continuous piecewise linear…
We establish a link between stability estimates for a hyperbolic inverse problem via the Boundary Control method and the blowup of a constant appearing in the contexts of optimal unique continuation and cost of approximate controllability.
In this work we consider the numerical resolution of the bilateral obstacle optimal control problem given in Bergounioux et al. Where the main feature of this problem is that the control and the obstacle are the same.
We analyze an optimal stopping problem with random maturity under a nonlinear expectation with respect to a weakly compact set of mutually singular probabilities $\mathcal{P}$. The maturity is specified as the hitting time to level $0$ of…
We consider a new type of optimal stopping problems where the absorbing boundary moves as the state process X attains new maxima S. More specifically, we set the absorbing boundary as S-b where b is a certain constant. This problem is…
We study a stochastic control problem for continuous multidimensional martingales with fixed quadratic variation. In a radially symmetric environment, we are able to find an explicit solution to the control problem and find an optimal…
We study a single risky financial asset model subject to price impact and transaction cost over an finite time horizon. An investor needs to execute a long position in the asset affecting the price of the asset and possibly incurring in…
We consider optimal control problems governed by systems describing the flow of an incompressible second grade fluid with Dirichlet boundary conditions. We prove the existence of an optimal solution, derive the corresponding necessary…
Adaptive optimal control using value iteration initiated from a stabilizing control policy is theoretically analyzed in terms of stability of the system during the learning stage without ignoring the effects of approximation errors. This…
In this work we consider optimal stopping problems with conditional convex risk measures called optimised certainty equivalents. Without assuming any kind of time-consistency for the underlying family of risk measures, we derive a novel…
For an infinite-horizon continuous-time optimal stopping problem under non-exponential discounting, we look for an optimal equilibrium, which generates larger values than any other equilibrium does on the entire state space. When the…