Related papers: Ergodic control of diffusions with compound Poisso…
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…
In this paper, we consider the stochastic optimal control problem for jump diffusion systems with state constraints. In general, the value function of such problems is a discontinuous viscosity solution of the Hamilton-Jacobi-Bellman (HJB)…
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…
This work proposes an optimal safe controller minimizing an infinite horizon cost functional subject to control barrier functions (CBFs) safety conditions. The constrained optimal control problem is reformulated as a minimization problem of…
This study considers an optimal reinsurance, investment, and dividend strategy control problem for insurance companies in a regulated Markov regime-switching environment, intending to maximize long-run average reward. Unlike existing single…
This paper studies mean-field control problems with state-control joint law dependence and Poissonian common noise. We develop the stochastic maximum principle (SMP) and establish its connection to the Hamiltonian-Jacobi-Bellman (HJB)…
This paper considers the problem of partially observed optimal control for forward stochastic systems which are driven by Brownian motions and an independent Poisson random measure with a feature that the cost functional is of mean-field…
This study investigates a stochastic production planning problem with a running cost composed of quadratic production costs and inventory-dependent costs. The objective is to minimize the expected cost until production stops when inventory…
We study ergodic properties of a class of Markov-modulated general birth-death processes under fast regime switching. The first set of results concerns the ergodic properties of the properly scaled joint Markov process with a parameter that…
In this paper, we obtain the maximum principle for optimal controls of stochastic systems with jumps by introducing a new method of variation. The control is allowed to enter both diffusion and jump term and the control domain need not to…
In this paper, we consider the problem of steering a family of independent, structurally identical, finite-dimensional stochastic linear systems with variation in system parameters between initial and target states of interest by using an…
An ergodic analogue of a well-known diffusion model for risk and dividend distribution of a financial company is considered. In this simple primer it is curious how infinitely many optimal strategies are in accordance with the ergodic…
In most real cases transition probabilities between operational modes of Markov jump linear systems cannot be computed exactly and are time-varying. We take into account this aspect by considering Markov jump linear systems where the…
This paper is concerned with the stochastic linear-quadratic optimal control problem with Poisson jumps. The coefficients in the state equation and the weighting matrices in the cost functional are all deterministic but are allowed…
We consider an ergodic harvesting problem with model ambiguity that arises from biology. To account for the ambiguity, the problem is constructed as a stochastic game with two players: the decision-maker (DM) chooses the `best' harvesting…
We investigated a cost-constrained static ergodic control problem of the variance of measure-valued affine processes and its application in streamflow management. The controlled system is a jump-driven mixed moving average process that…
It is well known that stability is the most fundamental nature with regard to a control system, in view of this, the stabilization becomes an inevitable control problem. This article mainly discusses the optimal control and stabilization…
In this article, we study the ergodic problem associated to viscous Hamilton-Jacobi equation where the diffusion is governed by the censored fractional Laplacian, a nonlocal elliptic operator restricted to a bounded domain $\Omega \subset…
In this paper, we consider the problem of minimizing the exit rate with which a diffusion process pertaining to a chain of distributed control systems, with random perturbations, exits from a given bounded open domain. In particular, we…
We consider long term average or `ergodic' optimal control poblems with a special structure: Control is exerted in all directions and the control costs are proportional to the square of the norm of the control field with respect to the…