Related papers: Optimal probabilities and controls for reflecting …
In this paper, we aim to develop the theory of optimal stochastic control for branching diffusion processes where both the movement and the reproduction of the particles depend on the control. More precisely, we study the problem of…
Reflected diffusions naturally arise in many problems from applications ranging from economics and mathematical biology to queueing theory. In this paper we consider a class of infinite time-horizon singular stochastic control problems for…
We consider stochastic control with discretionary stopping for the drift of a diffusion process over an infinite time horizon. The objective is to choose a control process and a stopping time to minimize the expectation of a convex terminal…
We study a stochastic optimal control problem with the state constrained to a smooth, compact domain. The control influences both the drift and a possibly degenerate, control-dependent dispersion matrix, leading to a fully nonlinear,…
We provide, in a general setting, explicit solutions for optimal stopping problems that involve a diffusion process and its running maximum. Besides, a new feature includes absorbing boundaries that vary with the value of the running…
The maximum likelihood approach is adapted to the problem of estimation of drift and diffusion functions of stochastic processes from measured time series. We reconcile a previously devised iterative procedure [Kleinhans et al., Physics…
This paper considers the problem of designing time-dependent, real-time control policies for controllable nonlinear diffusion processes, with the goal of obtaining maximally-informative observations about parameters of interest. More…
We study a simple singular control problem for a Brownian motion with constant drift and variance reflected at the origin. Exerting control pushes the process towards the origin and generates a concave increasing state-dependent yield which…
We study an optimal stopping problem when the state process is governed by a general Feller process. In particular, we examine viscosity properties of the associated value function with no a priori assumption on the stochastic differential…
Overdamped Langevin dynamics are reversible stochastic differential equations which are commonly used to sample probability measures in high-dimensional spaces, such as the ones appearing in computational statistical physics and Bayesian…
In this paper we consider an energy storage optimization problem in finite time in a model with partial information that allows for a changing economic environment. The state process consists of the storage level controlled by the storage…
We consider non-reversible perturbations of reversible diffusions that do not alter the invariant distribution and we ask whether there exists an optimal perturbation such that the rate of convergence to equilibrium is maximized. We solve…
In this article, the notion of viscosity solution is introduced for the path-dependent Hamilton-Jacobi-Bellman (PHJB) equations associated with the optimal control problems for path-dependent stochastic differential equations. We identify…
When randomness in demand affects the sales of a product, retailers use dynamic pricing strategies to maximize their profits. In this article, we formulate the pricing problem as a continuous-time stochastic optimal control problem and find…
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…
In this paper, we aim to explore optimal regional trajectory tracking control problems of the anomalous subdiffusion processes governed by time-fractional diffusion systems under the Neumann boundary conditions. Using eigenvalue theory of…
In this article, we prove the existence of optimal risk-sensitive control with state constraints. We use near monotone assumption on the running cost to prove the existence of optimal risk-sensitive control.
This paper studies an optimal dividend problem with a drawdown constraint in a Brownian motion model, requiring the dividend payout rate to remain above a fixed proportion of its historical maximum. This leads to a path-dependent stochastic…
In this paper we investigate a path dependent optimal control problem on the process space with both drift and volatility controls, with possibly degenerate volatility. The dynamic value function is characterized by a fully nonlinear second…
We consider a controlled-diffusion process pertaining to a chain of distributed systems with random perturbations that satisfies a weak H\"ormander type condition. In particular, we consider a stochastic control problem with the following…