Related papers: Analyzing a Maximum Principle for Finite Horizon S…
In the last decades, control problems with infinite horizons and discount factors have become increasingly central not only for economics but also for applications in artificial intelligence and machine learning. The strong links between…
This paper studies a finite horizon utility maximization problem on excessive consumption under a drawdown constraint. Our control problem is an extension of the one considered in Bahman et al. (2019) to the model with a finite horizon and…
In this paper we consider an optimal control problem governed by a semilinear heat equation with bilinear control-state terms and subject to control and state constraints. The state constraints are of integral type, the integral being with…
This paper investigates the optimal control of a bilinear damped wave equation over an infinite time horizon. We establish the well-posedness of the controlled system and derive uniform energy estimates. The existence of optimal controls is…
This paper investigates a class of optimal control problems associated with Markov processes with local state information. The decision-maker has only local access to a subset of a state vector information as often encountered in…
This paper gives an existence result for solutions to an elliptic optimal control problem based on a general fractional kernel, where the admissible controls come from a class satisfying both a growth bound and a superlinear-subcritical…
This paper is concerned with a discounted optimal control problem of partially observed forward-backward stochastic systems with jumps on infinite horizon. The control domain is convex and a kind of infinite horizon observation equation is…
We consider linear model reduction in both the control and state variables for unconstrained linear-quadratic optimal control problems subject to time-varying parabolic PDEs. The first-order optimality condition for a state-space reduced…
In this paper, we prove both necessary and sufficient maximum principles for infinite horizon discounted control problems of stochastic Volterra integral equations with finite delay and a convex control domain. The corresponding adjoint…
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…
In this paper we provide optimal bounds for fully discrete approximations to finite horizon problems via dynamic programming. We adapt the error analysis in \cite{nos} for the infinite horizon case to the finite horizon case. We prove an a…
In this paper, we investigate dynamic optimization problems featuring both stochastic control and optimal stopping in a finite time horizon. The paper aims to develop new methodologies, which are significantly different from those of mixed…
In this paper we develop necessary conditions for optimality, in the form of the stochastic Pontryagin maximum principle, for controlled equation with delay in the state and with control dependent noise, in the general case of controls $u…
This paper deals with partially-observed optimal control problems for the state governed by stochastic differential equation with delay. We develop a stochastic maximum principle for this kind of optimal control problems using a variational…
We consider an optimal control problem arising in the context of economic theory of growth, on the lines of the works by Skiba (1978) and Askenazy - Le Van (1999). The economic framework of the model is intertemporal infinite horizon…
In this work we study approximation algorithms for the \textit{Bounded Color Matching} problem (a.k.a. Restricted Matching problem) which is defined as follows: given a graph in which each edge $e$ has a color $c_e$ and a profit $p_e \in…
In this note we consider a problem of stochastic optimal control with the infinite-time horizon. We present analogues of the Seierstad sufficient conditions of overtaking optimality based on the dual variables stochastic described by BSDEs…
We consider a stochastic control problem where the set of strict (classical) controls is not necessarily convex and the the variable control has two components, the first being absolutely continuous and the second singular. The system is…
We present a general approach to prove existence of solutions for optimal control problems not based on typical convexity conditions which quite often are very hard, if not impossible, to check. By taking advantage of several relaxations of…
We investigate necessary conditions of optimality for the Bolza-type infinite horizon problem with free right end. The optimality is understood in the sense of weakly uniformly overtaking optimal control. No previous knowledge in the…