Related papers: Optimal Switching at Poisson Random Intervention T…

In this paper, we study the $m$-states optimal switching problem in finite horizon, when the switching cost functions are arbitrary and can be positive or negative. This has an economic incentive in terms of central evaluation in cases…

In this paper, we study an optimal control problem of a mean-field forward-backward stochastic system with random jumps in progressive structure, where both regular and singular controls are considered in our formula. In virtue of the…

This paper studies a system of $m$ variational inequalities with interconnected obstacles in infinite horizon associated to optimal multi-modes switching problems. Our main result is the existence and uniqueness of a continuous solution in…

We study a stochastic differential equation driven by a Poisson point process, which models continuous changes in a population's environment, as well as the stochastic fixation of beneficial mutations that might compensate for this change.…

In this paper, the mean-variance portfolio selection problem with Poisson jumps are studied, where the recursive utility is given by the solution to a backward stochastic differential equation with Poisson jumps. Both the maximum principle…

In this paper, we first introduce a new spatial-temporal interaction operator to describe the space-time dependent phenomena. Then we consider the stochastic optimal control of a new system governed by a stochastic partial differential…

We present a branch-and-bound algorithm for globally solving parabolic optimal control problems with binary switches that have bounded variation and possibly need to satisfy further combinatorial constraints. More precisely, for a given…

This paper studies the problem of optimal switching for one-dimensional diffusion, which may be regarded as sequential optimal stopping problem with changes of regimes. The resulting dynamic programming principle leads to a system of…

This paper studies a discrete-time optimal switching problem on a finite horizon. The underlying model has a running reward, terminal reward and signed (positive and negative) switching costs. Using the martingale approach to optimal…

We address the problem of making a managerial decision when the investment project is subsidized, which results in the resolution of an infinite-horizon optimal stopping problem of a switching diffusion driven by either an homogeneous or an…

This paper considers the optimal control of time varying continuous time Markov chains whose transition rates are themselves Markov processes. In one set of problems the solution of an ordinary differential equation is shown to determine…

Many properties of perceptual decision making are well-modeled by deep neural networks. However, such architectures typically treat decisions as instantaneous readouts, overlooking the temporal dynamics of the decision process. We present…

We address a class of backward stochastic differential equations on a bounded interval, where the driving noise is a marked, or multivariate, point process. Assuming that the jump times are totally inaccessible and a technical condition…

In this paper, we study the stochastic optimal control problem for control system with time-varying delay. The corresponding stochastic differential equation is a kind of stochastic differential delay equation. We prove the existence and…

In this paper we present an information theoretic approach to stochastic optimal control problems for systems with compound Poisson noise. We generalize previous work on information theoretic path integral control to discontinuous dynamics…

A new class of stochastic processes called independent and periodically identically distributed (i.p.i.d.) processes is defined to capture periodically varying statistical behavior. A novel Bayesian theory is developed for detecting a…

This paper studies the time optimal control problem for systems of heat equations coupled by a pair of constant matrices. The control constraint is of the ball-type, while the target is the origin of the state space. We obtain an upper…

This paper considers the problem of computing the schedule of modes in a switched dynamical system, that minimizes a cost functional defined on the trajectory of the system's continuous state variable. A recent approach to such optimal…

Variational inequalities are a formalism that includes games, minimization, saddle point, and equilibrium problems as special cases. Methods for variational inequalities are therefore universal approaches for many applied tasks, including…

This paper considers online optimization for a system that performs a sequence of back-to-back tasks. Each task can be processed in one of multiple processing modes that affect the duration of the task, the reward earned, and an additional…