Related papers: Regime-switching constrained viscosity solutions a…
A new stochastic control problem of population dynamics under partial observation is formulated and analyzed both mathematically and numerically, with an emphasis on environmental and ecological problems. The decision-maker can only…
We present a modern stochastic control framework for dynamic optimization of river environment and ecology. We focus on a fisheries problem in Japan, and show several examples of simplified optimal control problems of stochastic…
This paper investigates a singular stochastic control problem for a multi-dimensional regime-switching diffusion process confined in an unbounded domain. The objective is to maximize the total expected discounted rewards from exerting the…
We present a novel technique to solve the problem of managing optimally a pumped hydroelectric storage system. This technique relies on representing the system as a stochastic optimal control problem with state constraints, these latter…
Earth and soils are indispensable elements of river environment. Dam-downstream environment and ecosystems have been severely affected by reduced or even stopped sediment supply from the upstream. Replenishing earth and soils from outside…
An optimal control problem is considered for a stochastic differential equation containing a state-dependent regime switching, with a recursive cost functional. Due to the non-exponential discounting in the cost functional, the problem is…
We analyze an optimal control problem governed by a rate-independent system in an abstract infinite-dimensional setting. The rate-independent system is characterized by a nonconvex stored energy functional, which depends on time via a…
Long-term reservoir management often uses bounds on the reservoir level, between which the operator can work. However, these bounds are not always kept up-to-date with the latest knowledge about the reservoir drainage area, and thus become…
We deal with a new maximum principle-based stochastic control model for river management through operating a dam and reservoir system. The model is based on coupled forward-backward stochastic differential equations (FBSDEs) derived from…
Non-smooth dynamics driven by stochastic disturbance arise in a wide variety of engineering problems. Impulsive interventions are often employed to control stochastic systems; however, the modeling and analysis subject to execution delay…
The optimal operation of water reservoir systems is a challenging task involving multiple conflicting objectives. The main source of complexity is the presence of the water inflow, which acts as an exogenous, highly uncertain disturbance on…
This paper investigates the optimal harvesting strategy for a single species living in random environments whose growth is given by a regime-switching diffusion. Harvesting acts as a (stochastic) control on the size of the population. The…
In this paper we study the fully nonlinear stochastic Hamilton-Jacobi-Bellman (HJB) equation for the optimal stochastic control problem of stochastic differential equations with random coefficients. The notion of viscosity solution is…
To tackle the difficulties faced by both stochastic dynamic programming and scenario tree methods, we present some variational approach for numerical solution of stochastic optimal control problems. We consider two different interpretations…
We study a stochastic control problem on a bounded domain, which arises from a continuous-time optimal management model. Via the corresponding Hamilton-Jacobi-Bellman equation the value function is shown to be jointly continuous and to…
This paper considers the problem of regulating a dynamical system to equilibria that are defined as solutions of an input- and state-constrained optimization problem. To solve this regulation task, we design a state feedback controller…
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…
We present an exactly-solvable risk-minimizing stochastic differential game for flood management in rivers. The streamflow dynamics follow stochastic differential equations driven by a Levy process. An entropic dynamic risk measure is…
This paper is concerned with cost optimization of an insurance company. The surplus of the insurance company is modeled by a controlled regime switching diffusion, where the regime switching mechanism provides the fluctuations of the random…
We employ the viscosity solution technique to analyze optimal stopping problems with regime switching. Specifically, we obtain the viscosity property of value functions, the uniqueness of viscosity solutions, the regularity of value…