Related papers: A Finite Horizon Optimal Stochastic Impulse Contro…
In this paper we consider nonautonomous optimal control problems of infinite horizon type, whose control actions are given by $L^1$-functions. We verify that the value function is locally Lipschitz. The equivalence between dynamic…
We introduce discontinuous solutions to nonlinear impulsive control systems with state time delays in the dynamics and derive necessary optimality conditions in the form of a Maximum Principle for associated optimal control problems. In the…
Stochastic optimal control control problems with merely measurable coefficients are not well understood. In this manuscript, we consider fully non-linear stochastic optimal control problems in infinite horizon with measurable coefficients…
We introduce a new numerical method to approximate the solution of a finite horizon deterministic optimal control problem. We exploit two Hamilton-Jacobi-Bellman PDE, arising by considering the dynamics in forward and backward time. This…
We present an accelerated algorithm for the solution of static Hamilton-Jacobi-Bellman equations related to optimal control problems. Our scheme is based on a classic policy iteration procedure, which is known to have superlinear…
In this paper we investigate a path dependent optimal control problem on the process space with both drift and volatility controls, with possibly degenerate volatility. The dynamic value function is characterized by a fully nonlinear second…
In this paper, we consider discrete-time infinite horizon problems of optimal control to a terminal set of states. These are the problems that are often taken as the starting point for adaptive dynamic programming. Under very general…
This paper is concerned with a time-inconsistent stochastic optimal control problem in an infinite time horizon with a non-degenerate diffusion in the state equation. A major assumption is that people become rational after a large time.…
We study semi Lagrangian approximation schemes for Hamilton Jacobi Bellman equations arising from finite horizon optimal control problems. Classical error estimates for these schemes include the term $\frac{1}{\Delta t}$ which leads to…
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…
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.…
In the present paper, we study a two-player zero-sum deterministic differential game with both players adopting impulse controls, in infinite time horizon, under rather weak assumptions on the cost functions. We prove by means of the…
We study a family of optimal control problems under a set of controlled-loss constraints holding at different deterministic dates. The characterization of the associated value function by a Hamilton-Jacobi-Bellman equation usually calls for…
We consider the problem of impulse control minimax in finite horizon, when cost functions $(C(t,x,\xi)>0)$. We show existence of value function of the problem. Moreover, the value function is characterized as the unique viscosity solution…
We study the optimal investment-consumption problem for a member of defined contribution plan during the decumulation phase. For a fixed annuitization time, to achieve higher final annuity, we consider a variable consumption rate. Moreover,…
This paper presents a new fast and robust algorithm that provides fuel-optimal impulsive control input sequences that drive a linear time-variant system to a desired state at a specified time. This algorithm is applicable to a broad class…
We study the stochastic control problem of maximizing expected utility from terminal wealth under a non-bankruptcy constraint. The wealth process is subject to shocks produced by a general marked point process. The problem of the agent is…
We study an optimal execution strategy for purchasing a large block of shares over a fixed time horizon. The execution problem is subject to a general price impact that gradually dissipates due to market resilience. We allow for general…
Maximum entropy reinforcement learning (RL) methods have been successfully applied to a range of challenging sequential decision-making and control tasks. However, most of existing techniques are designed for discrete-time systems. As a…
We solve explicitly a two-dimensional singular control problem of finite fuel type for infinite time horizon. The problem stems from the optimal liquidation of an asset position in a financial market with multiplicative and transient price…