Related papers: A quickest detection problem with an observation c…
IIn this paper, we study a partially observed progressive optimal control problem of forward-backward stochastic differential equations with random jumps, where the control domain is not necessarily convex, and the control variable enter…
We consider an investor who is dynamically informed about the future evolution of one of the independent Brownian motions driving a stock's price fluctuations. With linear temporary price impact the resulting optimal investment problem with…
We investigate propagation of convexity and convex ordering on a typical discrete-time stochastic optimal control problem, namely the pricing of swing option. The dynamics of the underlying asset is modelled by the Euler scheme of a…
We study a controlled version of the Bayesian sequential testing problem for the drift of a Wiener process, in which the observer exercises discretion over the signal intensity. This control incurs a running cost that reflects the resource…
In reinforcement learning episodes, the rewards and punishments are often non-deterministic, and there are invariably stochastic elements governing the underlying situation. Such stochastic elements are often numerous and cannot be known in…
We consider a mean-field optimal control problem for stochastic differential equations with delay driven by fractional Brownian motion with Hurst parameter greater than one half. Stochastic optimal control problems driven by fractional…
In this paper we provide a complete theoretical analysis of a two-dimensional degenerate non convex singular stochastic control problem. The optimisation is motivated by a storage-consumption model in an electricity market, and features a…
We consider an inventory system in which inventory level fluctuates as a Brownian motion in the absence of control. The inventory continuously accumulates cost at a rate that is a general convex function of the inventory level, which can be…
Consider the motion of a Brownian particle in $n$ dimensions, whose coordinate processes are standard Brownian motions with zero drift initially, and then at some random/unobservable time, exactly $k$ of the coordinate processes get a…
A thermal analogue of the classical brachistochrone problem, which minimizes the connection time between two equilibrium states of harmonically confined Brownian particles, has recently been solved theoretically. Here we report its…
In the quickest change detection problem in which both nuisance and critical changes may occur, the objective is to detect the critical change as quickly as possible without raising an alarm when either there is no change or a nuisance…
We study a version of the stochastic control problem of minimizing the sum of running and controlling costs, where control opportunities are restricted to independent Poisson arrival times. Under a general setting driven by a general L\'evy…
We consider a continuous-time linear-quadratic Gaussian control problem with partial observations and costly information acquisition. More precisely, we assume the drift of the state process to be governed by an unobservable…
In this study, we develop a stochastic optimal control approach with reinforcement learning structure to learn the unknown parameters appeared in the drift and diffusion terms of the stochastic differential equation. By choosing an…
In this article, we consider a stochastic linear quadratic control problem with partial observation. A near optimal control in the weak formulation is characterized. The main features of this paper are the presence of the control in the…
We study an optimal control problem in which both the objective function and the dynamic constraint contain an uncertain parameter. Since the distribution of this uncertain parameter is not exactly known, the objective function is taken as…
The problem of quickest detection of a change in distribution is considered under the assumption that the pre-change distribution is known, and the post-change distribution is only known to belong to a family of distributions…
In this paper we give a solution to the quickest drift change detection problem for a multivariate L\'evy process consisting of both continuous (Gaussian) and jump components in the Bayesian approach. We do it for a general 0-modified…
In this paper, we consider an infinite horizon, continuous-review, stochastic inventory system in which cumulative customers' demand is price-dependent and is modeled as a Brownian motion. Excess demand is backlogged. The revenue is earned…
This paper continues the examination of inventory control in which the inventory is modelled by a diffusion process and a long-term average cost criterion is used to make decisions. The class of such models under consideration have general…