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We consider the value function of a stochastic optimal control of degenerate diffusion processes in a domain $D$. We study the smoothness of the value function, under the assumption of the non-degeneracy of the diffusion term along the…
The paper deals with a risk averse dynamic programming problem with infinite horizon. First, the required assumptions are formulated to have the problem well defined. Then the Bellman equation is derived, which may be also seen as a…
We describe a nonlinear generalization of dual dynamic programming theory and its application to value function estimation for deterministic control problems over continuous state and action spaces, in a discrete-time infinite horizon…
We consider challenging dynamic programming models where the associated Bellman equation, and the value and policy iteration algorithms commonly exhibit complex and even pathological behavior. Our analysis is based on the new notion of…
In this paper, we address a social planner's optimal control problem for a partially observable stochastic epidemic model. The control measures include social distancing, testing, and vaccination. Using a diffusion approximation for the…
In this paper, we investigate a sparse optimal control of continuous-time stochastic systems. We adopt the dynamic programming approach and analyze the optimal control via the value function. Due to the non-smoothness of the $L^0$ cost…
In this paper, we investigate both deterministic and stochastic 2D Navier Stokes equations with anisotropic viscosity. For the deterministic case, we prove the global well-posedness of the system with initial data in the anisotropic Sobolev…
We study the problem of computing the value function from a discretely-observed trajectory of a continuous-time diffusion process. We develop a new class of algorithms based on easily implementable numerical schemes that are compatible with…
We discuss the time evolution of the wave function which is solution of a stochastic Schroedinger equation describing the dynamics of a free quantum particle subject to spontaneous localizations in space. We prove global existence and…
We consider the problem of locating a facility to serve a set of agents located along a line. The Nash welfare objective function, defined as the product of the agents' utilities, is known to provide a compromise between fairness and…
We show the existence and the regularity properties of the weak solutions to the two-dimensional stationary incompressible inhomogeneous Navier-Stokes equations with variable viscosity coefficient, by analyzing a fourth-order nonlinear…
Entropy, its production, and its change in a dynamical system can be understood from either a fully stochastic dynamic description or from a deterministic dynamics exhibiting chaotic behavior. By taking the former approach based on the…
Stochastic optimal control control problems with merely measurable coefficients are not well understood. In this manuscript, we consider fully non-linear stochastic optimal control problems in infinite horizon with measurable coefficients…
Applying the concept of S-convergence, based on averaging in the spirit of Strong Law of Large Numbers, the vanishing viscosity solutions of the Euler system are studied. We show how to efficiently compute a viscosity solution of the Euler…
We study an optimal control problem of generalized mean-field dynamics with open-loop controls, where the coefficients depend not only on the state processes and controls, but also on the joint law of them. The value function $V$ defined in…
We study a problem of optimal investment/consumption over an infinite horizon in a market consisting of a liquid and an illiquid asset. The liquid asset is observed and can be traded continuously, while the illiquid one can only be traded…
We study the stochastic control problem of maximizing expected utility from terminal wealth under a non-bankruptcy constraint. The wealth process is subject to shocks produced by a general marked point process. The problem of the agent is…
We introduce a physically relevant stochastic representation of the rotating shallow water equations. The derivation relies mainly on a stochastic transport principle and on a decomposition of the fluid flow into a large-scale component and…
We consider the compressible barotropic Navier-Stokes equations in a half-line and study the time-asymptotic behavior toward the outgoing viscous shock wave. Precisely, we consider the two boundary problems: impermeable wall and inflow…
Recent results in the study of the Hamilton Jacobi Bellman (HJB) equation have led to the discovery of a formulation of the value function as a linear Partial Differential Equation (PDE) for stochastic nonlinear systems with a mild…