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This paper addresses the inverse optimal control problem of finding the state weighting function that leads to a quadratic value function when the cost on the input is fixed to be quadratic. The paper focuses on a class of infinite horizon…
In this paper, we focus on a method based on optimal control to address the optimization problem. The objective is to find the optimal solution that minimizes the objective function. We transform the optimization problem into optimal…
Production systems deteriorate stochastically due to usage and may eventually break down, resulting in high maintenance costs at scheduled maintenance moments. This deterioration behavior is affected by the system's production rate. While…
Optimality conditions in the form of a variational inequality are proved for a class of constrained optimal control problems of stochastic differential equations. The cost function and the inequality constraints are functions of the…
Market makers continuously set bid and ask quotes for the stocks they have under consideration. Hence they face a complex optimization problem in which their return, based on the bid-ask spread they quote and the frequency at which they…
We consider stochastic control with discretionary stopping for the drift of a diffusion process over an infinite time horizon. The objective is to choose a control process and a stopping time to minimize the expectation of a convex terminal…
In this work the problem of optimal harvesting policy selection for natural resources management under model uncertainty is investigated. Under the framework of the neoclassical growth model dynamics, the associated optimal control problem…
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…
The considered optimal control problem of a stochastic power system, is to select the set of power supply vectors which infimizes the probability that the phase-angle differences of any power flow of the network, endangers the transient…
An isoperimetric optimal control problem with non-convex cost is considered for a class of nonlinear control systems with periodic boundary conditions. This problem arises in chemical engineering as the maximization of the product of…
Complexity and uncertainty associated with commodity resource valuation and extraction requires stochastic control methods suitable for high dimensional states. Recent progress in duality and trajectory-wise techniques has introduced a…
We show how a stochastic version of the Lagrange multiplier method can be combined with the stochastic maximum principle for jump diffusions to solve certain constrained stochastic optimal control problems. Two different terminal…
Stablecoins promise par convertibility, yet issuers must balance immediate liquidity against yield on reserves to keep the peg credible. We study this treasury problem as a continuous-time control task with two instruments: reallocating…
Throughout this paper, we focused our aim on the problem of optimal control under a risk-sensitive performance functional, where the system is given by a fully coupled forward-backward stochastic differential equation with jump. The risk…
We consider the optimal control problem for a linear conditional McKean-Vlasov equation with quadratic cost functional. The coefficients of the system and the weigh-ting matrices in the cost functional are allowed to be adapted processes…
We study relaxed stochastic control problems where the state equation is a one dimensional linear stochastic differential equation with random and unbounded coefficients. The two main results are existence of an optimal relaxed control and…
This paper studies a class of continuous-time scalar-state stochastic Linear-Quadratic (LQ) optimal control problem with the linear control constraints. Applying the state separation theorem induced from its special structure, we develop…
The primary concerns of this paper are twofold: to understand the economic value of storage in the presence of ramp constraints and exogenous electricity prices, and to understand the implications of the associated optimal storage…
We study a stochastic control problem for nonlinear systems governed by stochastic differential equations with irregular drift. The drift coefficient is assumed to decompose as $b(t,x,a)=b_1(t,x)+b_2(x)b_3(t,a)$, where $b_1$ is bounded and…
We analyze an optimal trade execution problem in a financial market with stochastic liquidity. To this end we set up a limit order book model in which both order book depth and resilience evolve randomly in time. Trading is allowed in both…