Related papers: A Finite Horizon Optimal Stochastic Impulse Contro…
In this note, we study a class of indefinite stochastic McKean-Vlasov linear-quadratic (LQ in short) control problem under the control taking nonnegative values. In contrast to the conventional issue, both the classical dynamic programming…
This paper is devoted to studying an infinite time horizon stochastic recursive control problem with jumps, where infinite time horizon stochastic differential equation and backward stochastic differential equation with jumps describe the…
We study a specific class of finite-horizon mean field optimal stopping problems by means of the dynamic programming approach. In particular, we consider problems where the state process is not affected by the stopping time. Such problems…
Deterministic optimal impulse control problem with terminal state constraint is considered. Due to the appearance of the terminal state constraint, the value function might be discontinuous in general. The main contribution of this paper is…
We consider a class of exit time stochastic control problems for diffusion processes with discounted criterion, where the controller can utilize a given amount of resource, called "fuel". In contrast to the vast majority of existing…
The objective of this work is to study continuous-time Markov decision processes on a general Borel state space with both impulsive and continuous controls for the infinite-time horizon discounted cost. The continuous-time controlled…
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…
We study a class of infinite horizon impulse control problems with execution delay when the dynamics of the system is described by a general adapted stochastic process. The problem is solved by means of probabilistic tools relying on the…
In this manuscript we consider a class optimal control problem for stochastic differential delay equations. First, we rewrite the problem in a suitable infinite-dimensional Hilbert space. Then, using the dynamic programming approach, we…
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…
In this paper, we study one kind of stochastic recursive optimal control problem with the obstacle constraints for the cost function where the cost function is described by the solution of one reflected backward stochastic differential…
We characterize the value of swing contracts in continuous time as the unique viscosity solution of a Hamilton-Jacobi-Bellman equation with suitable boundary conditions. The case of contracts with penalties is straightforward, and in that…
We study a class of optimal control problems with state constraints where the state equation is a differential equation with delays. This class includes some problems arising in economics, in particular the so-called models with time to…
This paper introduces a notion of viscosity solutions for second order elliptic Hamilton-Jacobi-Bellman (HJB) equations with infinite delay associated with infinite-horizon optimal control problems for stochastic differential equations with…
In this paper, we study the delayed stochastic recursive optimal control problem with a non-Lipschitz generator, in which both the dynamics of the control system and the recursive cost functional depend on the past path segment of the state…
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…
In this paper, we explore a new class of stochastic control problems characterized by specific control constraints. Specifically, the admissible controls are subject to the ratcheting constraint, meaning they must be non-decreasing over…
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…
In this article, a class of optimal control problems of differential equations with delays are investigated for which the associated Hamilton-Jacobi-Bellman (HJB) equations are nonlinear partial differential equations with delays. This type…
We study a stochastic optimal control problem with the state constrained to a smooth, compact domain. The control influences both the drift and a possibly degenerate, control-dependent dispersion matrix, leading to a fully nonlinear,…