Related papers: A Finite Horizon Optimal Switching Problem with Me…
We address a general optimal switching problem over finite horizon for a stochastic system described by a differential equation driven by Brownian motion. The main novelty is the fact that we allow for infinitely many modes (or regimes,…
We study a class of infinite horizon impulse control problems with execution delay when the dynamics of the system is described by a general adapted stochastic process. The problem is solved by means of probabilistic tools relying on the…
We consider the problem of optimal multiple switching in finite horizon, when the state of the system, including the switching costs, is a general adapted stochastic process. The problem is formulated as an extended impulse control problem…
We consider impulse control of stochastic functional differential equations (SFDEs) driven by L\'evy processes under an additional $L^p$-Lipschitz condition on the coefficients. Our results, which are first derived for a general stochastic…
We study a class of infinite-horizon impulse control problems with execution delay in discrete time. Using probabilistic methods, particularly the notion of the Snell envelope of processes, we construct an optimal strategy among all…
This paper is concerned with optimal switching over multiple modes in continuous time and on a finite horizon. The performance index includes a running reward, terminal reward and switching costs that can belong to a large class of…
We consider an optimal switching problem with random lag and possibility of component failure. The random lag is modeled by letting the operation mode follow a regime switching Markov-model with transition intensities that depend on the…
We consider a stochastic impulse control problem that is motivated by applications such as the optimal exploitation of a natural resource. In particular, we consider a stochastic system whose uncontrolled state dynamics are modelled by a…
In this paper, we consider a class of stochastic impulse control problem when there is a fixed delay $\Delta$ between the decision and execution times. The dynamics of the controlled system between two impulses is an arbitrary adapted…
We study the problem of optimal inside control of an SPDE (a stochastic evolution equation) driven by a Brownian motion and a Poisson random measure. Our optimal control problem is new in two ways: (i) The controller has access to inside…
We study an optimal control problem on infinite horizon for a controlled stochastic differential equation driven by Brownian motion, with a discounted reward functional. The equation may have memory or delay effects in the coefficients,…
We formulate and solve a finite horizon full balance sheet two-modes optimal switching problem related to trade-off strategies between expected profit and cost yields. Given the current mode, this model allows for either a switch to the…
We consider a finite horizon optimal stopping problem related to trade-off strategies between expected profit and cost cash-flows of an investment under uncertainty. The optimal problem is first formulated in terms of a system of Snell…
We formulate an optimal switching problem when the underlying filtration is generated by a marked point process and a Brownian motion. Each mode is characterized by a different compensator for the point process, and thus by a different…
This paper investigates the existence of a G-relaxed optimal control of a controlled stochastic differential delay equation driven by G-Brownian motion (G-SDDE in short). First, we show that optimal control of G-SDDE exists for the finite…
The paper addresses an optimal control problem for a perturbed sweeping process of the rate-independent hysteresis type described by a controlled "play and stop" operator with separately controlled perturbations. This problem can be reduced…
We consider a problem of optimal control of an infinite horizon system governed by forward-backward stochastic differential equations with delay. Sufficient and necessary maximum principles for optimal control under partial information in…
We study an optimal control problem on infinite time horizon with semimartingale strategies, random coefficients and regime switching. The value function and the optimal strategy can be characterized in terms of three systems of backward…
We consider an impulse control problem in infinite horizon. To solve this problem, we extend to the infinite horizon case results of double barrier reflected backward stochastic differential equations. The properties of the Snell envelope…
We consider optimal control problems for partial differential equations where the controls take binary values but vary over the time horizon, they can thus be seen as dynamic switches. The switching patterns may be subject to combinatorial…