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We consider stochastic control models with Borel spaces and universally measurable policies. For such models the standard policy iteration is known to have difficult measurability issues and cannot be carried out in general. We present a…
In electrical distribution grids, the constantly increasing number of power generation devices based on renewables demands a transition from a centralized to a distributed generation paradigm. In fact, power injection from Distributed…
A new stochastic control problem of a dam-reservoir system installed in a river is analyzed both mathematically and numerically. Water balance dynamics of the reservoir are piece-wise deterministic and are driven by a stochastic…
This paper deals with partially-observed optimal control problems for the state governed by stochastic differential equation with delay. We develop a stochastic maximum principle for this kind of optimal control problems using a variational…
This paper studies a finite-fuel two-dimensional degenerate singular stochastic control problem under regime switching that is motivated by the optimal irreversible extraction problem of an exhaustible commodity. A company extracts a…
We address the co-optimization of behind-the-meter (BTM) distributed energy resources (DER), including flexible demands, renewable distributed generation (DG), and battery energy storage systems (BESS) under net energy metering (NEM)…
This paper studies the dividend and capital injection problem under a diffusion risk model with general discount functions. A proportional cost is imposed when injecting capitals. For exponential discounting as time-consistent benchmark, we…
The optimization of mixed-variable problems remains a significant challenge. We propose an extension of the policy-based optimization method that handles mixed-variables problems in a natural way, through a simple policy combination. This…
We consider de Finetti's optimal dividends problem with absolutely continuous strategies in a spectrally negative L\'evy model with Parisian ruin as the termination time. The problem considered is essentially a generalization of both the…
In this paper, we aim to develop the theory of optimal stochastic control for branching diffusion processes where both the movement and the reproduction of the particles depend on the control. More precisely, we study the problem of…
We consider a control problem for a heterogeneous population composed of agents able to switch at any time between different options. The controller aims to maximize an average gain per time unit, supposing that the population is of…
This paper investigates the optimal control problem for a class of parabolic equations where the diffusion coefficient is influenced by a control function acting nonlocally. Specifically, we consider the optimization of a cost functional…
Standard stochastic control methods assume that the probability distribution of uncertain variables is available. Unfortunately, in practice, obtaining accurate distribution information is a challenging task. To resolve this issue, we…
This paper investigates dividend optimization of an insurance corporation under a more realistic model which takes into consideration refinancing or capital injections. The model follows the compound Poisson framework with credit interest…
We consider an optimal control problem for a non-autonomous model of ODEs that describes the evolution of the number of customers in some firm. Namely we study the best marketing strategy. Considering a $L^2$ cost functional, we establish…
We consider an optimal investment and consumption problem for a Black-Scholes financial market with stochastic volatility and unknown stock appreciation rate. The volatility parameter is driven by an external economic factor modeled as a…
Numerically computing global policies to optimal control problems for complex dynamical systems is mostly intractable. In consequence, a number of approximation methods have been developed. However, none of the current methods can quantify…
In this paper, we derive sufficient and necessary maximum principles for a stochastic optimal control problem where the system state is given by a controlled stochastic differential equation with default. We prove existence of a unique…
We analyse a version of the policy iteration algorithm for the discounted infinite-horizon problem for controlled multidimensional diffusion processes, where both the drift and the diffusion coefficient can be controlled. We prove that,…
Optimal control problems with oscillations (chattering controls) and concentrations (impulsive controls) can have integral performance criteria such that concentration of the control signal occurs at a discontinuity of the state signal.…