Related papers: Solution Existence Theorems for Finite Horizon Opt…

This paper establishes the existence and uniqueness of mild solutions to stationary Hamilton-Jacobi-Bellman (HJB) equations associated with infinite-horizon stochastic optimal control problems in separable Hilbert spaces. Our framework…

Let us consider the autonomous obstacle problem \begin{equation*} \min_v \int_\Omega F(Dv(x)) \, dx \end{equation*} on a specific class of admissible functions, where we suppose the Lagrangian satisfies proper hypotheses of convexity and…

We introduce a spatial economic growth model where space is described as a network of interconnected geographic locations and we study a corresponding finite-dimensional optimal control problem on a graph with state constraints. Economic…

Existence theorem is proven for the generating equations of the split involution constraint algebra. The structure of the general solution is established, and the characteristic arbitrariness in generating functions is described.

We assume a continuous-time price impact model similar to Almgren-Chriss but with the added assumption that the price impact parameters are stochastic processes modeled as correlated scalar Markov diffusions. In this setting, we develop…

We consider the problem of optimal multiple switching in finite horizon, when the state of the system, including the switching costs, is a general adapted stochastic process. The problem is formulated as an extended impulse control problem…

This paper is concerned with stochastic linear quadratic (LQ, for short) optimal control problems in an infinite horizon with constant coefficients. It is proved that the non-emptiness of the admissible control set for all initial state is…

In this paper we introduce and solve a class of optimal stopping problems of recursive type. In particular, the stopping payoff depends directly on the value function of the problem itself. In a multi-dimensional Markovian setting we show…

In this work we study a finite horizon optimal liquidation problem with multiplicative price impact in algorithmic trading, using market orders. We analyze the case when an agent is trading on a market with two financial assets, whose…

In this paper, we extend the definition of qx-asymptotic function, for extended real-valued function that define on an infinite dimensional topological normed space without lower semicontinuity or quasi-convexity condition. As the main…

In this paper, we study optimal liquidation problems in a randomly-terminated horizon. We consider the liquidation of a large single-asset portfolio with the aim of minimizing a combination of volatility risk and transaction costs arising…

This paper considers an optimal impulse control problem of dynamical systems generated by a flow. The performance criteria are total costs over the infinite time horizon. Apart from the main performance to be minimized, there are multiple…

We use the geometry of suitably generalised potentials to solve risk-sensitive Markovian optimal stopping problems. As in the linear case due to Dynkin and Yushkievich (1967), the value function is the pointwise infimum of those functions…

The Receding Horizon Control (RHC) strategy consists in replacing an infinite-horizon stabilization problem by a sequence of finite-horizon optimal control problems, which are numerically more tractable. The dynamic programming principle…

Using the recent weighted generalized fractional order operators of Hattaf, a general fractional optimal control problem without constraints on the values of the control functions is formulated and a corresponding (weak) version of…

In this paper, we establish the global existence of a semi-linear class of hyperbolic equations in 3+1 dimensions, that satisfy the bounded weak null condition. We propose a conformal compactification of the future directed null-cone in…

We develop a rigorous framework for global non-convex optimization by reformulating the minimization problem as a discounted infinite-horizon optimal control problem. For non-convex, continuous, and possibly non-smooth objective functions…

We study an optimal control problem on infinite time horizon with semimartingale strategies, random coefficients and regime switching. The value function and the optimal strategy can be characterized in terms of three systems of backward…

This paper studies the problem of the deterministic version of the Verification Theorem for the optimal m-states switching in infinite horizon under Markovian framework with arbitrary switching cost functions. The problem is formulated as…

The aim of this short note is to establish a limit theorem for the optimal trading strategies in the setup of the utility maximization problem with proportional transaction costs. This limit theorem resolves the open question from [4]. The…