Related papers: Optimal stopping problems with regime switching: a…
We study the stochastic control-stopping problem when the data are of polynomial growth. The approach is based on backward stochastic dierential equations (BSDEs for short). The problem turns into the study of a specic reected BSDE with a…
We prove a stochastic representation formula for the viscosity solution of Dirichlet terminal-boundary value problem for a degenerate Hamilton-Jacobi-Bellman integro-partial differential equation in a bounded domain. We show that the unique…
In this study, we consider an optimal control problem driven by a stochastic differential system with a stopping time terminal cost functional. We establish the stochastic maximum principle for this new kind of an optimal control problem by…
We consider a stochastic optimal control problem in a market model with temporary and permanent price impact, which is related to an expected utility maximization problem under finite fuel constraint. We establish the initial condition…
In this manuscript we consider a class optimal control problem for stochastic differential delay equations. First, we rewrite the problem in a suitable infinite-dimensional Hilbert space. Then, using the dynamic programming approach, we…
Solving optimal control problems to determine a stabilizing controller involves a significant computational effort. Time-varying optimal control provides a remedy by designing a tracking system, given as an ordinary differential equation,…
We consider frequency-weighted damping optimization for vibrating systems described by a second-order differential equation. The goal is to determine viscosity values such that eigenvalues are kept away from certain undesirable areas on the…
This paper studies finite-time optimal consumption-investment problems with power, logarithmic and exponential utilities, in a regime switching market with random coefficients, subject to coupled constraints on the consumption and…
In this work, we ask and answer the question: when is the viscosity of a fluid uniquely determined from spatially sparse measurements of its velocity field? We pose the question mathematically as an optimization problem using the…
This paper revolves around a newly introduced weak solvability concept for rate-independent systems, alternative to the notions of Energetic and Balanced Viscosity solutions. Visco-Energetic solutions have been recently obtained by passing…
We solve the martingale optimal transport problem for cost functionals represented by optimal stopping problems. The measure-valued martingale approach developed in ArXiv: 1507.02651 allows us to obtain an equivalent infinite-dimensional…
In the nonconvex case solutions of rate-independent systems may develop jumps as a function of time. To model such jumps, we adopt the philosophy that rate independence should be considered as limit of systems with smaller and smaller…
A Coefficient Inverse Problem for the radiative transport equation is considered. The globally convergent numerical method, the so-called convexification, is developed. For the first time, the viscosity solution is considered for a boundary…
We consider the optimal stopping of a class of spectrally negative jump diffusions. We state a set of conditions under which the value is shown to have a representation in terms of an ordinary nonlinear programming problem. We establish a…
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 consider a finite horizon optimal stopping problem related to trade-off strategies between expected profit and cost cash-flows of an investment under uncertainty. The optimal problem is first formulated in terms of a system of Snell…
For an optimal control problem of an It\^o's type stochastic differential equation, the control process could be taken as open-loop or closed-loop forms. In the standard literature, provided appropriate regularity, the value functions under…
We study a specific class of finite-horizon mean field optimal stopping problems by means of the dynamic programming approach. In particular, we consider problems where the state process is not affected by the stopping time. Such problems…
Some properties of solutions of convex sweeping processes with velocity constraints are studied in this paper. Namely, the solution sensitivity with respect to the initial value, the boundedness, the closedness, and the convexity of the…
We propose a recursive algorithm for the numerical computation of the optimal value function $\inf_{t\le\tau\le T} E \Big[\sup_{0\le s\le T } Y_s / Y_{\tau} \big| {\cal F}_t\Big]$ over the stopping times $\tau$ with respect to the…