Related papers: Impulse control and expected suprema
We present some new results on sample path optimality for the ergodic control problem of a class of non-degenerate diffusions controlled through the drift. The hypothesis most often used in the literature to ensure the existence of an a.s.…
The topics treated in this thesis are inherently two-fold. The first part considers the problem of a market maker optimally setting bid/ask quotes over a finite time horizon, to maximize her expected utility. The intensities of the orders…
This paper is concerned with a constrained stochastic linear-quadratic optimal control problem, in which the terminal state is fixed and the initial state is constrained to lie in a stochastic linear manifold. The controllability of…
This paper focuses on optimal control problem for a class of discrete-time nonlinear systems. In practical applications, computation time is a crucial consideration when solving nonlinear optimal control problems, especially under real-time…
This paper is devoted to solving a time-inconsistent risk-sensitive control problem with parameter $\e$ and its limit case ($\e\rightarrow0^+$) for countable-stated Markov decision processes (MDPs for short). Since the cost functional is…
Timeout control is a simple mechanism used when direct feedback is either impossible, unreliable, or too costly, as is often the case in distributed systems. Its effectiveness is determined by a timeout threshold parameter and our goal is…
This paper investigates a minimal time control problem for the heat equation with multiple impulse controls. We first establish the maximum principles for this problem and then prove the equivalence between the minimal time impulse control…
This paper first describes a class of uncertain stochastic control systems with Markovian switching, and derives an It\^o-Liu formula for Markov-modulated processes. And we characterize an optimal control law, which satisfies the…
We consider a system that is exactly controllable. For given initial state, terminal state and objective function, an optimal control is often well-defined. Such an optimal control has the disadvantage that although it works perfectly well…
We present stability conditions for deterministic time-varying nonlinear discrete-time systems whose inputs aim to minimize an infinite-horizon time-dependent cost. Global asymptotic and exponential stability properties for general…
The classical Euler's problem on stationary configurations of elastic rod with fixed endpoints and tangents at the endpoints is considered as a left-invariant optimal control problem on the group of motions of a two-dimensional plane…
We derive sufficient and necessary optimality conditions in terms of a stochastic maximum principle (SMP) for controls associated with cost functionals of mean-field type, under dynamics driven by a class of Markov chains of mean-field type…
The purpose of this paper is two-fold: We extend the well-known relation between optimal stopping and randomized stopping of a given stochastic process to a situation where the available information flow is a filtration with no a priori…
The paper deals with a problem of control of a system characterized by the fact that the influence of controls on the dynamics of certain functions of state variables (called observables) is relatively weak and the rates of change of these…
An impulsive feedback-adaptive control is developed in order to drive trajectories of a dynamical system towards an invariant manifold with fixed and spaced impulsive controls. The approach requires the explicit knowledge of the set of…
In this paper, we study an optimal control problem of a mean-field forward-backward stochastic system with random jumps in progressive structure, where both regular and singular controls are considered in our formula. In virtue of the…
We consider a stochastic control problem, where the control domain is convex and the system is governed by a nonlinear backward stochastic differential equation. With a L1 terminal data, we derive necessary optimality conditions in the form…
Optimal control theory is a promising candidate for a drastic improvement of the performance of quantum information tasks. We explore its ultimate limit in paradigmatic cases, and demonstrate that it coincides with the maximum speed limit…
We investigate the complexities of the McKean-Vlasov optimal control problem, exploring its various formulations such as the strong and weak formulations, as well as both Markovian and non-Markovian setups within financial markets.…
In this paper, we study the asymptotic distribution of the maxima of suprema of dependent Gaussian processes with trend. For different scales of the time horizon we obtain different normalizing functions for the convergence of the maxima.…