Related papers: Inverse stochastic optimal controls
We introduce a new and efficient numerical method for multicriterion optimal control and single criterion optimal control under integral constraints. The approach is based on extending the state space to include information on a "budget"…
In this paper, we consider a class of stochastic control problems for stochastic differential equations with random coefficients. The control domain need not to be convex but the control process is not allowed to enter in diffusion term.…
In this paper, a finite-horizon optimal control problem involving a dynamical system described by a linear Caputo fractional differential equation and a quadratic cost functional is considered. An explicit formula for the value functional…
We provide an overview of recent progress in statistical inverse problems with random experimental design, covering both linear and nonlinear inverse problems. Different regularization schemes have been studied to produce robust and stable…
In this paper, the stochastic verification theorems for stochastic control problems of reflected forward-backward stochastic differential equations are studied. We carry out the work within the frameworks of classical and viscosity…
It is strange but fruitful to think about the functions as random processes. Any function can be viewed as a martingale (in many different ways) with discrete time. But it can be useful to have continuous time too. Processes can emulate…
An optimal control problem is considered for a stochastic differential equation containing a state-dependent regime switching, with a recursive cost functional. Due to the non-exponential discounting in the cost functional, the problem is…
In this paper, we consider an inverse space-dependent source problem for a time-fractional diffusion equation. To deal with the ill-posedness of the problem, we transform the problem into an optimal control problem with total variational…
Using a recently introduced representation of the second order adjoint state as the solution of a function-valued backward stochastic partial differential equation (SPDE), we calculate the viscosity super- and subdifferential of the value…
In this work we investigate the optimal proportional reinsurance-investment strategy of an insurance company which wishes to maximize the expected exponential utility of its terminal wealth in a finite time horizon. Our goal is to extend…
Optimal control theory aims to find an optimal protocol to steer a system between assigned boundary conditions while minimizing a given cost functional in finite time. Equations arising from these types of problems are often non-linear and…
Optimized certainty equivalents (OCEs) is a family of risk measures widely used by both practitioners and academics. This is mostly due to its tractability and the fact that it encompasses important examples, including entropic risk…
Environmental management optimizing a long-run objective is an ergodic control problem whose resolution can be achieved by solving an associated non-local Hamilton-Jacobi-Bellman (HJB) equation having an effective Hamiltonian. Focusing on…
We study methods for solving stochastic control problems of systems of forward-backward mean-field equations with delay, in finite or infinite horizon. Necessary and sufficient maximum principles under partial information are given. The…
We consider continuous-time stochastic optimal control problems featuring Conditional Value-at-Risk (CVaR) in the objective. The major difficulty in these problems arises from time-inconsistency, which prevents us from directly using…
In this work, we propose a class of numerical schemes for solving semilinear Hamilton-Jacobi-Bellman-Isaacs (HJBI) boundary value problems which arise naturally from exit time problems of diffusion processes with controlled drift. We…
We obtain a probabilistic solution to linear-quadratic optimal control problems with state constraints. Given a closed set $\mathcal{D}\subseteq [0,T]\times\mathbb{R}^d$, a diffusion $X$ in $\mathbb{R}^d$ must be linearly controlled in…
This paper studies an optimal dividend problem with a drawdown constraint in a Brownian motion model, requiring the dividend payout rate to remain above a fixed proportion of its historical maximum. This leads to a path-dependent stochastic…
We obtain weighted uniform estimates for the gradient of the solutions to a class of linear parabolic Cauchy problems with unbounded coefficients. Such estimates are then used to prove existence and uniqueness of the mild solution to a…
Autonomous systems have witnessed a rapid increase in their capabilities, but it remains a challenge for them to perform tasks both effectively and safely. The fact that performance and safety can sometimes be competing objectives renders…