Related papers: Finite-horizon optimal multiple switching with sig…
Optimal execution of a portfolio have been a challenging problem for institutional investors. Traders face the trade-off between average trading price and uncertainty, and traditional methods suffer from the curse of dimensionality. Here,…
This paper considers the problem of computing the schedule of modes in a switched dynamical system, that minimizes a cost functional defined on the trajectory of the system's continuous state variable. A recent approach to such optimal…
This paper is dedicated to the analysis of infinite horizon optimal control problems subject to semilinear parabolic equations with constraints on the controls and discounted cost functionals. The discount factors on the cost and the state…
We study an infinite horizon optimal stopping problem which arises naturally in the optimal timing of a firm/project sale or in the valuation of natural resources: the functional to be maximised is a sum of a discounted running reward and a…
Stability under model predictive control (MPC) schemes is frequently ensured by terminal ingredients. Employing a (control) Lyapunov function as the terminal cost constitutes a common choice. Learning-based methods may be used to construct…
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…
In this paper, we study probabilistic numerical methods based on optimal quantization algorithms for computing the solution to optimal multiple switching problems with regime-dependent state process. We first consider a discrete-time…
Optimal queueing control of multi-hop networks remains a challenging problem even in the simplest scenarios. In this paper, we consider a two-hop half-duplex relaying system with random channel connectivity. The relay is equipped with a…
We analyze the infinite horizon minimax average cost Markov Control Model (MCM), for a class of controlled process conditional distributions, which belong to a ball, with respect to total variation distance metric, centered at a known…
We study the minimization of the expected costs under stochastic constraint at the terminal time. The first and the main result says that for a power type of costs, the value function is the minimal positive solution of a second order…
The main challenge in controlling hybrid systems arises from having to consider an exponential number of sequences of future modes to make good long-term decisions. Model predictive control (MPC) computes a control action through a…
We propose a new method for solving optimal stopping problems (such as American option pricing in finance) under minimal assumptions on the underlying stochastic process $X$. We consider classic and randomized stopping times represented by…
This paper considers designing an optimal policy for deadline-constrained access in cognitive radio networks, where a secondary user needs to complete a packet transmission over the vacant spectrum within a delivery deadline. To minimize…
This paper investigates the robustness of stochastic optimal control for controlled regime switching diffusions. We consider systems driven by both continuous fluctuations and discrete regime changes, allowing for model misspecification in…
We theoretically and experimentally study finite-time optimal control of a colloidal particle steered through a spatially inhomogeneous environment, modeled by a position-dependent energetic cost at the final state. The competition between…
This paper is concerned with a stochastic linear quadratic (LQ, for short) control problem with a recursive cost functional in an infinite horizon. A main difficult is well-posedness of the BSDE in $L^1$ and in infinite horizon. A notion of…
In this paper we provide a theoretical analysis of Variable Annuities with a focus on the holder's right to an early termination of the contract. We obtain a rigorous pricing formula and the optimal exercise boundary for the surrender…
We consider a class of finite time horizon nonlinear stochastic optimal control problem, where the control acts additively on the dynamics and the control cost is quadratic. This framework is flexible and has found applications in many…
Smart city has been consider the wave of the future and the route recommendation in networks is a fundamental problem in it. Most existing approaches for the shortest route problem consider that there is only one kind of cost in networks.…
We introduce a class of models for multidimensional control problems which we call skip-free Markov decision processes on trees. We describe and analyse an algorithm applicable to Markov decision processes of this type that are skip-free in…