Related papers: The Deterministic and Stochastic Shallow Lake Prob…
We consider the stochastic control problem of the shallow lake and continue the work of G. T. Kossioris, Loulakis, and Souganidis (2019) in three directions. First, we generalise the characterisation of the value function as the viscosity…
We study a stochastic control problem on a bounded domain, which arises from a continuous-time optimal management model. Via the corresponding Hamilton-Jacobi-Bellman equation the value function is shown to be jointly continuous and to…
Under a Bayesian framework, we formulate the fully sequential sampling and selection decision in statistical ranking and selection as a stochastic control problem, and derive the associated Bellman equation. Using value function…
We prove a stochastic representation formula for the viscosity solution of Dirichlet terminal-boundary value problem for a degenerate Hamilton-Jacobi-Bellman integro-partial differential equation in a bounded domain. We show that the unique…
This paper explores the application of nonsmooth analysis in the Wasserstein space to finite-horizon optimal control problems for nonlocal continuity equations. We characterize the value function as a strict viscosity solution of the…
We prove existence of optimal control for the deterministic and stochastic shallow lake problem without any restrictions on the parameter space and we establish a generalization of the Arrhenius Law in the case of noise-dependent…
In this paper we study the optimal stochastic control problem for a path-dependent stochastic system under a recursive path-dependent cost functional, whose associated Bellman equation from dynamic programming principle is a path-dependent…
We study the Bellman equation in the Wasserstein space arising in the study of mean field control problems, namely stochastic optimal control problems for McKean-Vlasov diffusion processes.Using the standard notion of viscosity solution \`a…
This paper is devoted to a viscosity solution theory of the stochastic Hamilton-Jacobi-Bellman equation in the Wasserstein spaces for the mean-field type control problem which allows for random coefficients and may thus be non-Markovian.…
We consider the stochastic optimal control problem of McKean-Vlasov stochastic differential equation where the coefficients may depend upon the joint law of the state and control. By using feedback controls, we reformulate the problem into…
In this paper, we investigate the wave solutions of a stochastic rotating shallow water model. This approximate model provides an interesting simple description of the interplay between waves and random forcing ensuing either from the wind…
In this paper we study the fully nonlinear stochastic Hamilton-Jacobi-Bellman (HJB) equation for the optimal stochastic control problem of stochastic differential equations with random coefficients. The notion of viscosity solution is…
We discuss a class of debt management problems in a stochastic environment model. We propose a model for the debt-to-GDP (Gross Domestic Product) ratio where the government interventions via fiscal policies affect the public debt and the…
In this paper we develop a general framework to analyze stochastic dynamic problems with unbounded utility functions and correlated and unbounded shocks. We obtain new results of the existence and uniqueness of solutions to the Bellman…
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 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…
We constructed a family of steady vortex solutions for the lake equations with general vorticity function, which constitute a desingularization of a singular vortex. The precise localization of the asymptotic singular vortex is shown to be…
This article studies the problem of estimating the state variable of non-smooth subdifferential dynamics constrained in a bounded convex domain given some real-time observation. On the one hand, we show that the value function of the…
We consider stochastic impulse control problems when the impulses cost functions are arbitrary. We use the dynamic programming principle and viscosity solutions approach to show that the value function is a unique viscosity solution for the…
We study the optimal control of general stochastic McKean-Vlasov equation. Such problem is motivated originally from the asymptotic formulation of cooperative equilibrium for a large population of particles (players) in mean-field…