Related papers: Robust feedback switching control: dynamic program…
This paper is concerned with cost optimization of an insurance company. The surplus of the insurance company is modeled by a controlled regime switching diffusion, where the regime switching mechanism provides the fluctuations of the random…
The purpose of this work is to introduce a notion of weak solution to the master equation of a potential mean field game and to prove that existence and uniqueness hold under quite general assumptions. Remarkably, this is achieved without…
The paper deals with path-dependent Hamilton-Jacobi equations with a coinvariant derivative which arise in investigations of optimal control problems and differential games for neutral-type systems in Hale's form. A viscosity (generalized)…
A learning technique for finite horizon optimal control problems and its approximation based on polynomials is analyzed. It allows to circumvent, in part, the curse dimensionality which is involved when the feedback law is constructed by…
We consider zero-sum stochastic differential games with possibly path-dependent controlled state. Unlike the previous literature, we allow for weak solutions of the state equation so that the players' controls are automatically of feedback…
We investigate an optimal control problem motivated by neuroscience, where the dynamics is driven by a Poisson process with a controlled stochastic intensity and an unknown parameter. Given a prior distribution for the unknown parameter, we…
We consider a stochastic optimal control problem where the controller can anticipate the evolution of the driving noise over some dynamically changing time window. The controlled state dynamics are understood as a rough differential…
In this article, a notion of viscosity solutions is introduced for first order path-dependent Hamilton-Jacobi-Bellman (PHJB) equations associated with optimal control problems for path-dependent evolution equations in Hilbert space. We…
Environmental management optimizing a long-run objective is an ergodic control problem whose resolution can be achieved by solving an associated non-local Hamilton-Jacobi-Bellman (HJB) equation having an effective Hamiltonian. Focusing on…
Stochastic optimal control problems governed by delay equations with delay in the control are usually more difficult to study than the the ones when the delay appears only in the state. This is particularly true when we look at the…
We study an agency problem between a leader (the principal) seeking to design an optimal incentive scheme to a follower (the agent) to increase the value of a risky project subjected to accidents and volatility uncertainty. The agency…
We design the controls of physical systems that are faced by uncertainties. The system dynamics are described by random hyperbolic balance laws. The control aims to steer the system to a desired state under uncertainties. We propose a…
A two-person zero-sum differential game with unbounded controls is considered. Under proper coercivity conditions, the upper and lower value functions are characterized as the unique viscosity solutions to the corresponding upper and lower…
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…
This paper presents a new safety specification method that is robust against errors in the probability distribution of disturbances. Our proposed distributionally robust safe policy maximizes the probability of a system remaining in a…
One approach to robust control for linear plants with structured uncertainty as well as for linear parameter-varying (LPV) plants (where the controller has on-line access to the varying plant parameters) is through…
We propose an approach for the synthesis of robust and optimal feedback controllers for nonlinear PDEs. Our approach considers the approximation of infinite-dimensional control systems by a pseudospectral collocation method, leading to…
We consider piecewise-deterministic optimal control problems in which the environment randomly switches among several deterministic modes, and the goal is to optimize the expected cost up to the termination while taking the likelihood of…
This paper is concerned with a stochastic linear-quadratic optimal control problem of Markovian regime switching system with model uncertainty and partial information, where the information available to the control is based on a…
Option contracts on two underlying assets within uncertain volatility models have their worst-case and best-case prices determined by a two-dimensional (2D) Hamilton-Jacobi-Bellman (HJB) partial differential equation (PDE) with…