Related papers: Switching problems with controlled randomisation a…
Experimental design is central to science and engineering. A ubiquitous challenge is how to maximize the value of information obtained from expensive or constrained experimental settings. Bayesian optimal experimental design (OED) provides…
We study an optimal control problem on infinite horizon for a controlled stochastic differential equation driven by Brownian motion, with a discounted reward functional. The equation may have memory or delay effects in the coefficients,…
Most modern control systems are switched, meaning they have continuous as well as discrete decision variables. Switched systems often have constraints called dwell-time constraints (e.g., cycling constraints in a heat pump) on the switching…
We study reflected solutions of one-dimensional backward doubly stochastic differential equations (BDSDEs in short). The "reflected" keeps the solution above a given stochastic process. We get the uniqueness and existence by penalization.…
A new method for stochastic control based on neural networks and using randomisation of discrete random variables is proposed and applied to optimal stopping time problems. The method models directly the policy and does not need the…
This paper is concerned with a stochastic recursive optimal control problem with time delay, where the controlled system is described by a stochastic differential delayed equation (SDDE) and the cost functional is formulated as the solution…
Backward Stochastic Differential Equations (BSDEs) have been widely employed in various areas of social and natural sciences, such as the pricing and hedging of financial derivatives, stochastic optimal control problems, optimal stopping…
In this paper, we study reflected backward stochastic differential equation (reflected BSDE in abbreviation) with rank-based data in a Markovian framework; that is, the solution to the reflected BSDE is above a prescribed boundary process…
We study backward stochastic differential equations (BSDEs) for time-changed L\'evy noises when the time-change is independent of the L\'evy process. We prove existence and uniqueness of the solution and we obtain an explicit formula for…
The paper presents a novel method for designing an optimal controller for discrete-time switched linear systems. The problem is formulated as one of computing the discrete mode sequence and the continuous input sequence that jointly…
We introduce Neural Optimal Design of Experiments, a learning-based framework for optimal experimental design in inverse problems that avoids classical bilevel optimization and indirect sparsity regularization. NODE jointly trains a neural…
This paper proposes an iterative method to solve Mixed-Integer Optimal Control Problems arising from systems with switched dynamics. The so-called relaxed problem plays a central role within this context. Through a numerical example, it is…
We consider a robust impulse control problem in finite horizon where the underlying uncertainty stems from an impulsively and continuously controlled functional stochastic differential equation (FSDE) driven by Brownian motion. We assume…
In this paper we study simulation based optimization algorithms for solving discrete time optimal stopping problems. This type of algorithms became popular among practioneers working in the area of quantitative finance. Using large…
In this paper we study stochastic optimal control problems of fully coupled forward-backward stochastic differential equations (FBSDEs). The recursive cost functionals are defined by controlled fully coupled FBSDEs. We study two cases of…
This paper studies a discrete-time optimal switching problem on a finite horizon. The underlying model has a running reward, terminal reward and signed (positive and negative) switching costs. Using the martingale approach to optimal…
We present simple assumptions on the constraints defining a hard core dynamics for the associated reflected stochastic differential equation to have a unique strong solution. Time-reversibility is proven for gradient systems with normal…
We consider a mixed stochastic control problem that arises in Mathematical Finance literature with the study of interactions between dividend policy and investment. This problem combines features of both optimal switching and singular…
We consider a stochastic impulse control problem that is motivated by applications such as the optimal exploitation of a natural resource. In particular, we consider a stochastic system whose uncontrolled state dynamics are modelled by a…
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…