Related papers: Optimality conditions and local regularity of the …
This article treats optimal sparse control problems with multiple constraints defined at intermediate points of the time domain. For such problems with intermediate constraints, we first establish a new Pontryagin maximum principle that…
This paper studies a finite-fuel two-dimensional degenerate singular stochastic control problem under regime switching that is motivated by the optimal irreversible extraction problem of an exhaustible commodity. A company extracts a…
We study the problem of selling an asset near its ultimate maximum in the minimax setting. The regret-based notion of a perfect stopping time is introduced. A perfect stopping time is uniquely characterized by its optimality properties and…
In this article, we are concerned about the velocity tracking optimal control problem for 3D critical convective Brinkman-Forchheimer equations defined on a simply connected bounded domain $\mathbb{D}\subset\mathbb{R}^3$ with…
We generalize the Maximum Principle for free end point optimal control problems involving sweeping systems derived in [9] to cover the case where the end point is constrained to take values in a certain set. As in [9], an ingenious smooth…
We study a single risky financial asset model subject to price impact and transaction cost over an finite time horizon. An investor needs to execute a long position in the asset affecting the price of the asset and possibly incurring in…
We perform a detailed study of a simple mathematical model addressing the problem of optimally regulating a process subject to periodic external forcing, which is interesting both in view of its direct applications and as a prototype for…
In this paper, we solve the time inconsistent portfolio selection problem by using different utility functions with a moving target as our constraint. We solve this problem by finding an equilibrium control under the given definition as our…
We consider an optimal stochastic impulse control problem over an infinite time horizon motivated by a model of irreversible investment choices with fixed adjustment costs. By employing techniques of viscosity solutions and relying on…
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…
In this paper we analyse local regularity of time-optimal controls and trajectories for an n-dimensional affine control system with a control parameter, taking values in a k-dimensional closed ball. In the case of k equal to n-1, we give…
We consider an optimal stopping problem where a constraint is placed on the distribution of the stopping time. Reformulating the problem in terms of so-called measure-valued martingales allows us to transform the marginal constraint into an…
Motivated by various applications, this article develops the notion of boundary control for Maxwell's equations in the frequency domain. Surface curl is shown to be the appropriate regularization in order for the optimal control problem to…
In this paper we prove necessary conditions for optimality of a stochastic control problem for a class of stochastic partial differential equations that is controlled through the boundary. This kind of problems can be interpreted as a…
We investigate symmetry reduction of optimal control problems for left-invariant control systems on Lie groups, with partial symmetry breaking cost functions. Our approach emphasizes the role of variational principles and considers a…
We present a novel particle filtering framework for continuous-time dynamical systems with continuous-time measurements. Our approach is based on the duality between estimation and optimal control, which allows reformulating the estimation…
We study an optimal execution problem in a continuous-time market model that considers market impact. We formulate the problem as a stochastic control problem and investigate properties of the corresponding value function. We find that…
In this paper, we consider a general time-inconsistent optimal control problem for a non homogeneous linear system, in which its state evolves according to a stochastic differential equation with deterministic coefficients, when the noise…
This work is concerned with the necessary conditions of optimality for a minimal time control problem $(P)$ for the linearized Navier-Stokes periodic flow in a 2D-channel, subject to a boundary input which acts on the transversal component…
We study an exit contract design problem, where one provides a universal exit contract to multiple heterogeneous agents, with which each agent chooses an optimal (exit) stopping time. The problem consists in optimizing the universal exit…