Related papers: Risk-sensitive control for a class of diffusions w…
We investigate feedback control for infinite horizon optimal control problems for partial differential equations. The method is based on the coupling between Hamilton-Jacobi-Bellman (HJB) equations and model reduction techniques. It is…
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 proposes a fully data-driven approach for optimal control of nonlinear control-affine systems represented by a stochastic diffusion. The focus is on the scenario where both the nonlinear dynamics and stage cost functions are…
In this paper, we investigate infinite horizon jump-diffusion forward-backward stochastic differential equations under some monotonicity conditions. We establish an existence and uniqueness theorem, two stability results and a comparison…
In this paper, we consider the problem of optimal investment by an insurer. The insurer invests in a market consisting of a bank account and $m$ risky assets. The mean returns and volatilities of the risky assets depend nonlinearly on…
Stochastic optimal control problems have a long tradition in applied probability, with the questions addressed being of high relevance in a multitude of fields. Even though theoretical solutions are well understood in many scenarios, their…
We study an optimal control problem of McKean--Vlasov branching diffusion processes, in which the interaction term is determined by the marginal measure induced by all alive particles in the system. Accordingly, the value function is…
We consider the optimal dividend problem in the so-called degenerate bivariate risk model under the assumption that the surplus of one branch may become negative. More specific, we solve the stochastic control problem of maximizing…
This paper concerns a continuous time mean-variance (MV) portfolio selection problem in a jump-diffusion financial model with no-shorting trading constraint. The problem is reduced to two subproblems: solving a stochastic linear-quadratic…
We consider impulse control problems in finite horizon for diffusions with decision lag and execution delay. The new feature is that our general framework deals with the important case when several consecutive orders may be decided before…
In the present work we employ, for the first time, backward stochastic differential equations (BSDEs) to study the optimal control of semi-Markov processes on finite horizon, with general state and action spaces. More precisely, we prove…
We study a finite-dimensional continuous-time optimal control problem on finite horizon for a controlled diffusion driven by Brownian motion, in the linear-quadratic case. We admit stochastic coefficients, possibly depending on an…
Optimal control and the associated second-order Hamilton-Jacobi-Bellman (HJB) equation are studied for unbounded stochastic evolution systems in Hilbert spaces. A new notion of viscosity solution, featured by absence of B-continuity, is…
This paper studies the stochastic optimal control of jump-diffusion processes and the associated fully nonlinear backward stochastic Hamilton--Jacobi--Bellman (BSHJB) equations. We establish the dynamic programming principle (DPP) via…
This paper is concerned with eigenvalue problems for non-symmetric elliptic operators with large drifts in bounded domains under Dirichlet boundary conditions. We consider the minimal principal eigenvalue and the related principal…
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…
We treat infinite horizon optimal control problems by solving the associated stationary Hamilton-Jacobi-Bellman (HJB) equation numerically to compute the value function and an optimal feedback law. The dynamical systems under consideration…
This paper introduces a new type of second order stochastic backward Hamilton-Jacobi-Bellman (HJB) equations for optimal stochastic control problems with a currently observable but non-predicable parameter process, in addition to the…
We study a finite horizon optimal control problem for the continuity equation under a weighted integral state constraint on the mass outside a fixed set. The model is cast in a Hilbert framework for densities. On a suitable invariant…
In this paper we consider ergodic optimal control of a diffusion process $\{X^u_t\}_{t \geq 0}$, taking values in $\bR^n$, where both drift and volatility are controlled. We establish a novel strong duality between the existence of a unique…