Related papers: Optimal control of branching diffusion processes: …
We consider the valuation problem of an (insurance) company under partial information. Therefore we use the concept of maximizing discounted future dividend payments. The firm value process is described by a diffusion model with constant…
This paper is devoted to developing a unified framework for stochastic growth models with environmental risk, in which rare but catastrophic shocks interact with capital accumulation and pollution. The analysis is based upon a general…
In this paper, we study the relationship between general maximum principle and dynamic programming principle for risk-sensitive stochastic optimal control problems, where the control domain is not necessarily convex. The original problem is…
We investigate the optimal reinsurance problem under the criterion of maximizing the expected utility of terminal wealth when the insurance company has restricted information on the loss process. We propose a risk model with claim arrival…
In control theory, typically a nominal model is assumed based on which an optimal control is designed and then applied to an actual (true) system. This gives rise to the problem of performance loss due to the mismatch between the true model…
In this paper, we study a discrete-time stochastic optimal control problem under distribution uncertainty with convex control domain. By weak convergence method and Sion's minimax theorem, we obtain the variational inequality for cost…
In this paper, we describe a constrained Lagrangian and Hamiltonian formalism for the optimal control of nonholonomic mechanical systems. In particular, we aim to minimize a cost functional, given initial and final conditions where the…
We consider a singular control problem with regime switching that arises in problems of optimal investment decisions of cash-constrained firms. The value function is proved to be the unique viscosity solution of the associated…
In this paper we study optimal control problems in Wasserstein spaces, which are suitable to describe macroscopic dynamics of multi-particle systems. The dynamics is described by a parametrized continuity equation, in which the Eulerian…
This paper is a review of results on Optimisation which are perhaps not so standard in the PDE realm. To this end, we consider the problem of deriving the PDEs associated to the optimal control of a system of either ODEs or SDEs with…
This paper is concerned with the relationship between maximum principle and dynamic programming principle for risk-sensitive stochastic optimal control problems. Under the smooth assumption of the value function, relations among the adjoint…
We study the problem of optimal dividend payout from a surplus process governed by Brownian motion with drift under the additional constraint of ratcheting, i.e. the dividend rate can never decrease. We solve the resulting two-dimensional…
This papers shows the convergence of optimal control problems where the constraint function is discretised by a particle method. In particular, we investigate the viscous Burgers equation in the whole space $\mathbb R$ by using…
In this paper, we consider the problem of minimizing the exit rate with which a diffusion process pertaining to a chain of distributed control systems, with random perturbations, exits from a given bounded open domain. In particular, we…
This paper studies a {\it reversible} investment problem where a social planner aims to control its capacity production in order to fit optimally the random demand of a good. Our model allows for general diffusion dynamics on the demand as…
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…
In optimal control problems defined on stratified domains, the dynamics and the running cost may have discontinuities on a finite union of submanifolds of RN. In [8, 5], the corresponding value function is characterized as the unique…
This paper considers a utility maximization and optimal asset allocation problem in the presence of a stochastic endowment that cannot be fully hedged through trading in the financial market. After studying continuity properties of the…
We study a stochastic, continuous time model on a finite horizon for a firm that produces a single good. We model the production capacity as an Ito diffusion controlled by a nondecreasing process representing the cumulative investment. The…
We treat infinite horizon optimal control problems by solving the associated stationary Hamilton-Jacobi-Bellman (HJB) equation numerically to compute the value function and an optimal feedback law. The dynamical systems under consideration…