Related papers: Time-inconsistent Markovian control problems under…
This article is concerned with stochastic control problems for backward doubly stochastic differential equations of mean-field type, where the coefficient functions depend on the joint distribution of the state process and the control…
This paper focuses on a dynamic multi-asset mean-variance portfolio selection problem under model uncertainty. We develop a continuous time framework for taking into account ambiguity aversion about both expected return rates and…
We consider a singular stochastic control problem, which is called the Monotone Follower Stochastic Control Problem and give sufficient conditions for the existence and uniqueness of a local-time type optimal control. To establish this…
In this paper, we study a class of finite-time control problems for discrete-time positive linear systems with time-varying state parameters. Although several interesting control problems appearing in population biology, economics, and…
In this paper, we consider the optimal portfolio liquidation problem under the dynamic mean-variance criterion and derive time-consistent solutions in three important models. We give adapted optimal strategies under a reconsidered…
In this paper, we consider the gradual-impulse control problem of continuous-time Markov decision processes, where the system performance is measured by the expectation of the exponential utility of the total cost. We prove, under very…
Time-varying stochastic optimization problems frequently arise in machine learning practice (e.g. gradual domain shift, object tracking, strategic classification). Although most problems are solved in discrete time, the underlying process…
We consider an optimal stochastic impulse control problem over an infinite time horizon motivated by a model of irreversible investment choices with fixed adjustment costs. By employing techniques of viscosity solutions and relying on…
In this paper, we study a discrete-time stochastic optimal control problem under distribution uncertainty with convex control domain. By weak convergence method and Sion's minimax theorem, we obtain the variational inequality for cost…
In this paper, we tackle the dynamic mean-variance portfolio selection problem in a {\it model-free} manner, based on (generative) diffusion models. We propose using data sampled from the real model $\mathbb P$ (which is unknown) with…
We present a stochastic predictive controller for discrete time linear time invariant systems under incomplete state information. Our approach is based on a suitable choice of control policies, stability constraints, and employment of a…
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 address the problem of parameter estimation for diffusion driven stochastic volatility models through Markov chain Monte Carlo (MCMC). To avoid degeneracy issues we introduce an innovative reparametrisation defined through…
In this paper we study a robust utility maximization problem in continuous time under model uncertainty. The model uncertainty is governed by a continuous semimartingale with uncertain local characteristics. Here, the differential…
We study the time-inconsistent linear quadratic optimal control problem for forward-backward stochastic differential equations with potentially indefinite cost weighting matrices for both the state and the control variables. Our research…
We consider the problem of adaptive stabilization for discrete-time, multi-dimensional linear systems with bounded control input constraints and unbounded stochastic disturbances, where the parameters of the true system are unknown. To…
In stochastic control applications, typically only an ideal model (controlled transition kernel) is assumed and the control design is based on the given model, raising the problem of performance loss due to the mismatch between the assumed…
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…
Under mean-variance-utility framework, we propose a new portfolio selection model, which allows wealth and time both have influences on risk aversion in the process of investment. We solved the model under a game theoretic framework and…
We consider a class of optimal control problems, with finite or infinite horizon, for a continuous-time Markov chain with finite state space. In this case, the control process affects the transition rates. We suppose that the controlled…