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We consider the classical optimal dividend control problem which was proposed by de Finetti [Trans. XVth Internat. Congress Actuaries 2 (1957) 433--443]. Recently Avram, Palmowski and Pistorius [Ann. Appl. Probab. 17 (2007) 156--180]…
We propose a two-scale neural network method for optimal control problems governed by convection-dominated convection-diffusion-reaction equations. Building on two-scale architectures developed for singularly perturbed forward problems, we…
Avanzi et al. (2016) recently studied an optimal dividend problem where dividends are paid both periodically and continuously with different transaction costs. In the Brownian model with Poissonian periodic dividend payment opportunities,…
This paper concerns an optimal impulse control problem associated with a refracted L\'{e}vy process, involving the reduction of reserves to a predetermined level whenever they exceed a specified threshold. The ruin time is determined by…
Recent work by Mania et al. has proved that certainty equivalent control achieves nearly optimal regret for linear systems with quadratic costs. However, when parameter uncertainty is large, certainty equivalence cannot be relied upon to…
The optimal capital structure model with endogenous bankruptcy was first studied by Leland (1994) and Leland and Toft (1996), and was later extended to the spectrally negative Levy model by Hilberink and Rogers (2002) and Kyprianou and…
We present a method for optimal control with respect to a linear cost function for positive linear systems with coupled input constraints. We show that the optimal cost function and resulting sparse state feedback for these systems can be…
We consider the following geometric optics problem: Construct a system of two reflectors which transforms a spherical wavefront generated by a point source into a beam of parallel rays. This beam has a prescribed intensity distribution. We…
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…
We consider a stochastic control problem which is composed of a controlled stochastic differential equation, and whose associated cost functional is defined through a controlled backward stochastic differential equation. Under appropriate…
A data-based policy for iterative control task is presented. The proposed strategy is model-free and can be applied whenever safe input and state trajectories of a system performing an iterative task are available. These trajectories,…
We consider the problem of controlling an unknown linear dynamical system under adversarially changing convex costs and full feedback of both the state and cost function. We present the first computationally-efficient algorithm that attains…
We characterize the optimal control for a class of singular stochastic control problems as the unique solution to a related Skorokhod reflection problem. The considered optimization problems concern the minimization of a discounted cost…
We develop a dual-control method for approximating investment strategies in incomplete environments that emerge from the presence of trading constraints. Convex duality enables the approximate technology to generate lower and upper bounds…
In this paper, we study the optimal singular controls for stochastic recursive systems, in which the control has two components: the regular control, and the singular control. Under certain assumptions, we establish the dynamic programming…
In this paper we study a spectrally negative L\'evy process which is refracted at its running maximum and at the same time reflected from below at a certain level. Such a process can for instance be used to model an insurance surplus…
Motivated by a capacity allocation problem within a finite planning period, we conduct a transient analysis of a single-server queue with L\'evy input. From a cost minimization perspective, we investigate the error induced by using…
This paper presents an inverse optimality method to solve the Hamilton-Jacobi-Bellman equation for a class of nonlinear problems for which the cost is quadratic and the dynamics are affine in the input. The method is inverse optimal because…
This paper concerns the problem of learning control policies for an unknown linear dynamical system to minimize a quadratic cost function. We present a method, based on convex optimization, that accomplishes this task robustly: i.e., we…
This article treats long term average impulse control problems with running costs in the case that the underlying process is a L\'evy process. Under quite general conditions we characterize the value of the control problem as the value of a…