Related papers: Optimal Switching at Poisson Random Intervention T…
In this paper, we study optimal switching problems under ambiguity. To characterize the optimal switching under ambiguity in the finite horizon, we use multidimensional reflected backward stochastic differential equations (multidimensional…
This paper deals with input/output-to-state stability (IOSS) of switched nonlinear systems in the discrete-time setting. We present an algorithm to construct periodic switching signals that obey pre-specified restrictions on admissible…
We investigate an optimal stopping problem for the expected value of a discounted payoff on a regime-switching geometric Brownian motion under two constraints on the possible stopping times: only at exogenous random times and only during a…
This paper is concerned with the controller-and-stopper stochastic differential game under a regime switching model in an infinite horizon. The state of the system consists of a number of diffusions \emph{coupled} by a continuous-time…
We consider an optimal switching problem where the terminal reward depends on the entire control trajectory. We show existence of an optimal control by applying a probabilistic technique based on the concept of Snell envelopes. We then…
This paper establishes a stochastic maximum principle for optimal control problems governed by time-changed forward-backward stochastic differential equations with L\'evy noise. The system incorporates a random, non-decreasing operational…
We study a new modification of the Arrival problem, which allows for nodes that exhibit random as well as controlled behaviour, in addition to switching nodes. We study the computational complexity of these extensions, building on existing…
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)…
This paper introduces a new recursive stochastic optimal control problem driven by a forward-backward stochastic differential equations (FBSDEs), where the ter?minal time varies according to the constraints of the state of the forward…
Though switched dynamical systems have shown great utility in modeling a variety of physical phenomena, the construction of an optimal control of such systems has proven difficult since it demands some type of optimal mode scheduling. In…
We study a zero-sum stochastic differential switching game in infinite horizon. We prove the existence of the value of the game and characterize it as the unique viscosity solution of the associated system of quasi-variational inequalities…
This paper studies the valuation and optimal strategy of convertible bonds as a Dynkin game by using the reflected backward stochastic differential equation method and the variational inequality method. We first reduce such a Dynkin game to…
The strategy of stochastic resetting is known to expedite the first passage to a target, in diffusive systems. Consequently, the mean first passage time is minimized at an optimal resetting parameter. With Poisson resetting, vanishing…
In this paper we study continuous-time two-player zero-sum optimal switching games on a finite horizon. Using the theory of doubly reflected BSDEs with interconnected barriers, we show that this game has a value and an equilibrium in the…
In this paper, we study the solvability of a class of multi-dimensional forward backward stochastic differential equations (FBSDEs) with oblique reflection and unbounded stopping time. Under some mild assumptions on the coefficients in such…
This paper is concerned with a discounted stochastic optimal control problem for regime switching diffusion in an infinite horizon. First, as a preliminary with particular interests in its own right, the global well-posedness of infinite…
This paper is concerned with a discounted optimal control problem of partially observed forward-backward stochastic systems with jumps on infinite horizon. The control domain is convex and a kind of infinite horizon observation equation is…
This paper describes a method for scheduling the events of a switched system to achieve an optimal performance. The approach has guarantees on convergence and computational complexity that parallel derivative-based iterative optimization…
We study an optimal investment problem with multiple entries and forced exits. A closed form solution of the optimisation problem is presented for general underlying diffusion dynamics and a general running payoff function in the case when…
In the paper we consider the controlled continuous-time Markov chain describing the interacting particles system with the finite number of types. The system is controlled by two players with the opposite purposes. The limiting game as the…