Related papers: Optimal double control problem for a PDE model of …
We consider an elliptic optimal control problem where the objective functional contains evaluations of the state at a finite number of points. In particular, we use a fidelity term that encourages the state to take certain values at these…
We study a general class of Principal-Agent problems in continuous time under hidden action. By formulating the model as a coupled stochastic optimal control problem we are able to find a set of necessary conditions characterizing optimal…
This paper investigates a multidimensional non-homogeneous stochastic linear-quadratic optimal control problem featuring random coefficients and a terminal mean-field term in the cost functional, enabling its direct application to…
A stochastic linear quadratic (LQ) optimal control problem with a pointwise linear equality constraint on the terminal state is considered. A strong Lagrangian duality theorem is proved under a uniform convexity condition on the cost…
In this work, we use the integral definition of the fractional Laplace operator and study a sparse optimal control problem involving a fractional, semilinear, and elliptic partial differential equation as state equation; control constraints…
This paper is concerned with a distributed optimal control problem for a nonlocal phase field model of Cahn-Hilliard type, which is a nonlocal version of a model for two-species phase segregation on an atomic lattice under the presence of…
This paper studies a continuous-time market {under stochastic environment} where an agent, having specified an investment horizon and a target terminal mean return, seeks to minimize the variance of the return with multiple stocks and a…
The focus of this paper is directed towards optimal control of multi-agent systems consisting of one leader and a number of followers in the presence of noise. The dynamics of every agent is assumed to be linear, and the performance index…
In this paper, we are concerned with a stochastic optimal control problem of mean-field type under partial observation, where the state equation is governed by the controlled nonlinear mean-field stochastic differential equation, moreover…
This paper studies the continuous time utility maximization problem on consumption with addictive habit formation in incomplete semimartingale markets. Introducing the set of auxiliary state processes and the modified dual space, we embed…
A distributed optimal control problem for a phase field system which physical context is that of tumor growth is discussed. The system we are going to take into account consists of a Cahn-Hilliard equation for the phase variable (relative…
We study an optimal stopping problem under non-exponential discounting, where the state process is a multi-dimensional continuous strong Markov process. The discount function is taken to be log sub-additive, capturing decreasing impatience…
We study sparse optimal control of a non-local continuity equation, where the goal is to steer a distribution via finitely many controllable agents or actuators. This model arises naturally in mean-field multi-agent systems and takes the…
In this paper, we study the maximum principle for stochastic optimal control problems of forward-backward stochastic difference systems (FBS{\Delta}Ss) where the uncertainty is modeled by a discrete time, finite state process, rather than…
We study a generic principal-agent problem in continuous time on a finite time horizon. We introduce a framework in which the agent is allowed to employ measure-valued controls and characterise the continuation utility as a solution to a…
We study an optimal control problem arising from a generalization of rock-paper-scissors in which the number of strategies may be selected from any positive odd number greater than 1 and in which the payoff to the winner is controlled by a…
We study the reduction by symmetry for optimality conditions in optimal control problems of left-invariant affine multi-agent control systems, with partial symmetry breaking cost functions for continuous-time and discrete-time systems. We…
In this paper we study reduction by symmetry for optimality conditions in optimal control problems of left-invariant affine multi-agent control systems, with partial symmetry breaking cost functions. Our approach emphasizes the role of…
Using duality theory techniques we derive simple, closed-form formulas for bounding the optimal revenue of a monopolist selling many heterogeneous goods, in the case where the buyer's valuations for the items come i.i.d. from a uniform…
A class of optimal control problems governed by linear fractional diffusion equation with control constraint is considered. We first establish some results on the existence of strong solution to the state equation and the existence of…