Related papers: Taylor Expansions of the Value Function Associated…
We investigate the asymptotic properties of a finite-time horizon linear-quadratic optimal control problem driven by a multiscale stochastic process with multiplicative Brownian noise. We approach the problem by considering the associated…
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…
This paper presents a mathematical formulation to perform temporal parallelisation of continuous-time optimal control problems, which can be solved via the Hamilton--Jacobi--Bellman (HJB) equation. We divide the time interval of the control…
We study optimal control problems governed by abstract infinite dimensional stochastic differential equations using the dynamic programming approach. In the first part, we prove Lipschitz continuity, semiconcavity and semiconvexity of the…
This paper presents sufficient conditions for optimal control of systems with dynamics given by a linear operator, in order to obtain an explicit solution to the Bellman equation that can be calculated in a distributed fashion. Further, the…
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…
We study an inverse problem of the stochastic optimal control of general diffusions with performance index having the quadratic penalty term of the control process. Under mild conditions on the system dynamics, the cost functions, and the…
For an infinite-horizon control problem, the optimal control can be represented by the stable manifold of the characteristic Hamiltonian system of Hamilton-Jacobi-Bellman (HJB) equation in a semiglobal domain. In this paper, we first…
We study an optimal control problem in Bolza form and we consider the value function associated to this problem. We prove two verification theorems which ensure that, if a function $W$ satisfies some suitable weak continuity assumptions and…
The aim of this work is to develop a deep learning method for solving high-dimensional stochastic control problems based on the Hamilton--Jacobi--Bellman (HJB) equation and physics-informed learning. Our approach is to parameterize the…
We show a connection between global unconstrained optimization of a continuous function $f$ and weak KAM theory for an eikonal-type equation arising also in ergodic control. A solution $v$ of the critical Hamilton-Jacobi equation is built…
This work proposes a novel numerical scheme for solving the high-dimensional Hamilton-Jacobi-Bellman equation with a functional hierarchical tensor ansatz. We consider the setting of stochastic control, whereby one applies control to a…
The solution to a stochastic optimal control problem can be determined by computing the value function from a discretization of the associated Hamilton-Jacobi-Bellman equation. Alternatively, the problem can be reformulated in terms of a…
This paper is a continuation of Ishitani and Kato (2015), in which we derived a continuous-time value function corresponding to an optimal execution problem with uncertain market impact as the limit of a discrete-time value function. Here,…
We consider continuous-state and continuous-time control problems where the admissible trajectories of the system are constrained to remain on a union of half-planes which share a common straight line. This set will be named a junction. We…
The paper concerns the infinite dimensional Hamilton-Jacobi-Bellman equation related to optimal control problem regulated by a transport equation with boundary control. A suitable viscosity solution approach is needed in view of the…
We develop a direct Lyapunov method for the almost sure open-loop stabilizability and asymptotic stabilizability of controlled degenerate diffusion processes. The infinitesimal decrease condition for a Lyapunov function is a new form of…
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…
We introduce a novel Lyapunov function for stabilization of linear Vlasov--Fokker--Planck type equations with stiff source term. Contrary to existing results relying on transport properties to obtain stabilization, we present results based…
We study the properties of the value function associated with an optimal control problem with uncertainties, known as average or Riemann-Stieltjes problem. Uncertainties are assumed to belong to a compact metric probability space, and…