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The paper deals with a problem of control of a system characterized by the fact that the influence of controls on the dynamics of certain functions of state variables (called observables) is relatively weak and the rates of change of these…
This paper is concerned with a backward stochastic linear-quadratic (LQ, for short) optimal control problem with deterministic coefficients. The weighting matrices are allowed to be indefinite, and cross-product terms in the control and…
In this paper, an optimal switching problem is proposed for one-dimensional reflected backward stochastic differential equations (RBSDEs, for short) where the generators, the terminal values and the barriers are all switched with positive…
This article is the starting point of a series of works whose aim is the study of deterministic control problems where the dynamic and the running cost can be completely different in two (or more) complementary domains of the space $\R^N$.…
This paper investigates the optimal control problem for a class of nonlinear fully coupled forward-backward stochastic difference equations (FBS$\Delta$Es). Under the convexity assumption of the control domain, we establish a variational…
We develop a complete analysis of a general entry-exit-scrapping model. In particular, we consider an investment project that operates within a random environment and yields a payoff rate that is a function of a stochastic economic…
The paper is concerned with optimal control of backward stochastic differential equation (BSDE) driven by Teugel's martingales and an independent multi-dimensional Brownian motion, where Teugel's martingales are a family of pairwise…
This paper studies a {\it reversible} investment problem where a social planner aims to control its capacity production in order to fit optimally the random demand of a good. Our model allows for general diffusion dynamics on the demand as…
In this manuscript we consider a class optimal control problem for stochastic differential delay equations. First, we rewrite the problem in a suitable infinite-dimensional Hilbert space. Then, using the dynamic programming approach, we…
This paper studies finite-time optimal consumption-investment problems with power, logarithmic and exponential utilities, in a regime switching market with random coefficients, subject to coupled constraints on the consumption and…
This paper thoroughly investigates stochastic linear-quadratic optimal control problems with the Markovian regime switching system, where the coefficients of the state equation and the weighting matrices of the cost functional are random.…
We investigate a control process described by a linear system of ordinary differential equations with a noise of special type acting to the control parameter. As the cost functional the probability of the final state vector to enter to a…
In this paper we study the optimal stochastic control problem for stochastic differential systems reflected in a domain. The cost functional is a recursive one, which is defined via generalized backward stochastic differential equations…
In this paper, we study an optimal stopping problem in the presence of model uncertainty and regime switching. The max-min formulation for robust control and the dynamic programming approach are adopted to establish a general theoretical…
This article treats long term average impulse control problems with running costs in the case that the underlying process is a L\'evy process. Under quite general conditions we characterize the value of the control problem as the value of a…
In this paper we discuss the optimal liquidation over a finite time horizon until the exit time. The drift and diffusion terms of the asset price are general functions depending on all variables including control and market regime. There is…
This paper is concerned with a constrained stochastic linear-quadratic optimal control problem, in which the terminal state is fixed and the initial state is constrained to lie in a stochastic linear manifold. The controllability of…
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 a dynamical system with finitely many equilibria and perturbed by small noise, in addition to being controlled by an `expensive' control. The controlled process is optimal for an ergodic criterion with a running cost that…
In control theory, typically a nominal model is assumed based on which an optimal control is designed and then applied to an actual (true) system. This gives rise to the problem of performance loss due to the mismatch between the true model…