Related papers: On a switching control problem with c\`adl\`ag cos…
The paper deals with an optimal control problem in a dynamical system described by a linear differential equation with the Caputo fractional derivative. The goal of control is to minimize a Bolza-type cost functional, which consists of two…
This paper is concerned with stochastic impulse control problems in which the running cost changes depending on the impulse control. Because of such a dependence, it brings several difficulties when the usual dynamic programming principle…
The paper is devoted to a stochastic optimal control problem for a two scale, infinite dimensional, stochastic system. The state of the system consists of slow and fast component and its evolution is driven by both continuous Wiener noises…
In this paper we study stochastic optimal control problems of fully coupled forward-backward stochastic differential equations (FBSDEs). The recursive cost functionals are defined by controlled fully coupled FBSDEs. We study two cases of…
In this paper, we introduce a modification of the free boundary problem related to optimal stopping problems for diffusion processes. This modification allows the application of this PDE method in cases where the usual regularity…
We consider the optimal control design problem for discrete-time LTI systems with state feedback, when the actuation signal is subject to unmeasurable switching propagation delays, due to e.g. the routing in a multi-hop communication…
In this work, we study a boundary control problem for the evolutionary Navier-Stokes equations, under mixed boundary conditions, in two dimensions. The cost functional here considered is of quadratic type, depending on both state and…
This paper studies a discrete-time optimal switching problem on a finite horizon. The underlying model has a running reward, terminal reward and signed (positive and negative) switching costs. Using the martingale approach to optimal…
This paper analyzes the problem of starting and stopping a Cox-Ingersoll-Ross (CIR) process with fixed costs. In addition, we also study a related optimal switching problem that involves an infinite sequence of starts and stops. We…
We study the regularity of the stochastic representation of the solution of a class of initial-boundary value problems related to a regime-switching diffusion. This representation is related to the value function of a finite-horizon optimal…
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…
In this paper, we present some properties of time optimal controls for linear ODEs with the ball-type control constraint. More precisely, for an optimal control, we build up an upper bound for the number of its switching points; show that…
Optimal control theory deals with finding protocols to steer a system between assigned initial and final states, such that a trajectory-dependent cost function is minimized. The application of optimal control to stochastic systems is an…
We consider a control problem where the system is driven by a decoupled as well as a coupled forward-backward stochastic differential equation. We prove the existence of an optimal control in the class of relaxed controls, which are…
Pricing financial or real options with arbitrary payoffs in regime-switching models is an important problem in finance. Mathematically, it is to solve, under certain standard assumptions, a general form of optimal stopping problems in…
This paper introduces a new recursive stochastic optimal control problem driven by a forward-backward stochastic differential equations (FBSDEs), where the ter?minal time varies according to the constraints of the state of the forward…
In this paper, we study one kind of stochastic recursive optimal control problem with the obstacle constraints for the cost function where the cost function is described by the solution of one reflected backward stochastic differential…
This paper studies a system of $m$ variational inequalities with interconnected obstacles in infinite horizon associated to optimal multi-modes switching problems. Our main result is the existence and uniqueness of a continuous solution in…
We consider a class of closed loop stochastic optimal control problems in finite time horizon, in which the cost is an expectation conditional on the event that the process has not exited a given bounded domain. An important difficulty is…
In this paper, we study a time-inconsistent stochastic optimal control problem with a recursive cost functional by a multi-person hierarchical differential game approach. An equilibrium strategy of this problem is constructed and a…