Related papers: Uniform value for some nonexpansive optimal contro…
Control systems involving unknown parameters appear a natural framework for applications in which the model design has to take into account various uncertainties. In these circumstances the performance criterion can be given in terms of an…
We study a hybrid control system in which both discrete and continuous controls are involved. The discrete controls act on the system at a given set interface. The state of the system is changed discontinuously when the trajectory hits…
This paper studies finite-horizon stochastic linear-quadratic optimal control problems with random coefficients and Poisson jumps, where the weighting matrices may be random and indefinite. Under a uniform convexity condition on the cost…
We study a class of deterministic mean field games and related optimal control problems, with a finite time horizon and in which the state space is a network. An agent controls her velocity, and, when she occupies a vertex, she can either…
Nonsmooth composite optimization problems under uncertainty are prevalent in various scientific and engineering applications. We consider risk-neutral composite optimal control problems, where the objective function is the sum of a…
We consider a kind of stochastic exit time optimal control problems, in which the cost function is defined through a nonlinear backward stochastic differential equation. We study the regularity of the value function for such a control…
This paper introduces and investigates a regularity condition in the asymptotic sense for optimization problems whose objective functions are polynomial. Under this regularity condition, the normalization argument in asymptotic analysis…
When assessing risks on a finite-time horizon, the problem can often be reduced to the study of a random sequence $C(N)=(C_1,\ldots,C_N)$ of random length $N$, where $C(N)$ comes from the product of a matrix $A(N)$ of random size $N \times…
We study a class of zero-sum stochastic games between a stopper and a singular-controller, previously considered in [Bovo and De Angelis (2025)]. The underlying singularly-controlled dynamics takes values in…
We consider a dynamic programming problem with arbitrary state space and bounded rewards. Is it possible to define in an unique way a limit value for the problem, where the "patience" of the decision-maker tends to infinity ? We consider,…
Sample complexity bounds are a common performance metric in the Reinforcement Learning literature. In the discounted cost, infinite horizon setting, all of the known bounds have a factor that is a polynomial in $1/(1-\gamma)$, where $\gamma…
Price-based revenue management is an important problem in operations management with many practical applications. The problem considers a retailer who sells a product (or multiple products) over $T$ consecutive time periods and is subject…
We investigate statistical properties of the optimal value of the Sample Average Approximation of stochastic programs, continuing the study in Kr\"atschmer (2023). Central Limit Theorem type results are derived for the optimal value. As a…
This paper proposes a relaxed control regularization with general exploration rewards to design robust feedback controls for multi-dimensional continuous-time stochastic exit time problems. We establish that the regularized control problem…
The minimization of energy-like cost functionals is addressed in the context of optimal control problems. For a general class of dynamical systems, with possibly unstable and nonlinear free dynamics, it is shown that a sequence of solutions…
Controlled discrete time Markov processes are studied first with long run general discounting functional. It is shown that optimal strategies for average reward per unit time problem are also optimal for average generally discounting…
Motivated by applications in natural resource management, risk management, and finance, this paper is focused on an ergodic two-sided singular control problem for a general one-dimensional diffusion process. The control is given by a…
Motivated by various distributed control applications, we consider a linear system with Gaussian noise observed by multiple sensors which transmit measurements over a dynamic lossy network. We characterize the stationary optimal sensor…
We study statistical process control (SPC) through charting of $p$-values. When in control (IC), any valid sequence $(P_{t})_{t}$ is super-uniform, a requirement that can hold in nonparametric and two-phase designs without parametric…
In this paper, we study initial-boundary value problems for the Cahn--Hilliard system with convection and nonconvex potential, where dynamic boundary conditions are assumed for both the associated order parameter and the corresponding…