Related papers: Risk-sensitive control for a class of diffusions w…
This paper deals with junction conditions for Hamilton-Jacobi-Bellman (HJB) equations for finite horizon control problems on multi-domains. We consider two different cases where the final cost is continuous or lower semi-continuous. In the…
We present some new results on sample path optimality for the ergodic control problem of a class of non-degenerate diffusions controlled through the drift. The hypothesis most often used in the literature to ensure the existence of an a.s.…
In this paper we consider nonautonomous optimal control problems of infinite horizon type, whose control actions are given by $L^1$-functions. We verify that the value function is locally Lipschitz. The equivalence between dynamic…
This paper studies the finite horizon portfolio management by optimally tracking a ratcheting capital benchmark process. It is assumed that the fund manager can dynamically inject capital into the portfolio account such that the total…
In this article we consider risk-sensitive control of semi-Markov processes with a discrete state space. We consider general utility functions and discounted cost in the optimization criteria. We consider random finite horizon and infinite…
Environmental management optimizing a long-run objective is an ergodic control problem whose resolution can be achieved by solving an associated non-local Hamilton-Jacobi-Bellman (HJB) equation having an effective Hamiltonian. Focusing on…
Motivated by applications in natural resource management, risk management, and finance, this paper is focused on an ergodic two-sided singular control problem for a general one-dimensional diffusion process. The control is given by a…
We study the existence theory for parabolic variational inequalities in weighted $L^2$ spaces with respect to excessive measures associated with a transition semigroup. We characterize the value function of optimal stopping problems for…
We study the properties of the value function associated with an optimal control problem with uncertainties, known as average or Riemann-Stieltjes problem. Uncertainties are assumed to belong to a compact metric probability space, and…
We consider a finite-time stochastic drift control problem with the assumption that the control is bounded and the system is controlled until the state process leaves the half-line. Assuming general conditions, it is proved that the…
A new jump diffusion regime-switching model is introduced, which allows for linking jumps in asset prices with regime changes. We prove the existence and uniqueness of the solution to the risk-sensitive asset management criterion…
We consider a controlled state equation of parabolic type on the halfline $(0,+\infty)$ with boundary conditions of Dirichlet type in which the unknown is equal to the sum of the control and of a white noise in time. We study finite horizon…
This paper investigates the exact controllability problem for multi-dimensional stochastic first-order symmetric hyperbolic systems with control inputs acting in two distinct ways: an internal control applied to the diffusion term and a…
We develop an encounter-based approach for describing restricted diffusion with a gradient drift towards a partially reactive boundary. For this purpose, we introduce an extension of the Dirichlet-to-Neumann operator and use its eigenbasis…
In this paper we investigate a path dependent optimal control problem on the process space with both drift and volatility controls, with possibly degenerate volatility. The dynamic value function is characterized by a fully nonlinear second…
This paper studies {a} mixed singular/switching stochastic control problem for a multidimensional diffusion with multiples regimes on a bounded domain. Using probabilistic, partial differential equation (PDE) and penalization techniques, we…
We consider an optimal dividend payout problem for an insurance company whose surplus follows the classical Cram\'er-Lundberg model. The dividend rate is subject to a ratcheting constraint (i.e., it must be nondecreasing over time), and the…
We present a theory of optimal control for McKean-Vlasov stochastic differential equations with infinite time horizon and discounted gain functional. We first establish the well-posedness of the state equation and of the associated control…
In this work, we investigate the optimal control problem for continuous-time Markov decision processes with the random impact of the environment. We provide conditions to show the existence of optimal controls under finite-horizon criteria.…
We solve explicitly a two-dimensional singular control problem of finite fuel type for infinite time horizon. The problem stems from the optimal liquidation of an asset position in a financial market with multiplicative and transient price…