Related papers: Two-sided Singular Control of an Inventory with Un…
This paper studies the problem of optimal flow control in dynamic inventory systems. A dynamic optimal distribution problem, including time-varying supply and demand, capacity constraints on the transportation lines, and convex flow cost…
The paper is concerned with an optimal control problem governed by the rate-independent system of quasi-static perfect elasto-plasticity. The objective is optimize the displacement field in the domain occupied by the body by means of…
In this article, we consider transport networks with uncertain demands. Network dynamics are given by linear hyperbolic partial differential equations and suitable coupling conditions, while demands are incorporated as solutions to…
In this article we show a robustness theorem for controlled stochastic differential equations driven by approximations of Brownian motion. Often, Brownian motion is used as an idealized model of a diffusion where approximations such as…
We consider a Bayesian adaptive optimal stochastic control problem where a hidden static signal has a non-separable influence on the drift of a noisy observation. Being allowed to control the specific form of this dependence, we aim at…
We analyze an irreversible investment decision for a project which yields a flow of future operating profits given by a geometric Brownian motion with unknown drift. In contrast to similar optimal stopping problems with incomplete…
We study a version of the stochastic control problem of minimizing the sum of running and controlling costs, where control opportunities are restricted to independent Poisson arrival times. Under a general setting driven by a general L\'evy…
Dual control explicitly addresses the problem of trading off active exploration and exploitation in the optimal control of partially unknown systems. While the problem can be cast in the framework of stochastic dynamic programming, exact…
This paper is concerned with the existence of optimal controls for backward stochastic partial differential equations with random coefficients, in which the control systems are represented in an abstract evolution form, i.e. backward…
We propose a general framework for studying optimal impulse control problem in the presence of uncertainty on the parameters. Given a prior on the distribution of the unknown parameters, we explain how it should evolve according to the…
This paper deals with the reconstruction of the desired demand in an optimal control problem, stated over a tree-shaped transportation network which is governed by a linear hyperbolic conservation law. As desired demands typically undergo…
In this paper we address the problem of optimal dividend payout strategies from a surplus process governed by Brownian motion with drift under a drawdown constraint, i.e. the dividend rate can never decrease below a given fraction $a$ of…
We consider a class of infinite-dimensional singular stochastic control problems. These can be thought of as spatial monotone follower problems and find applications in spatial models of production and climate transition. Let…
We are concerned with optimal control strategies subject to uncertain demands. An Ornstein-Uhlenbeck process describes the uncertain demand. The transport within the supply system is modeled by the linear advection equation. We consider…
We study a problem of finding an optimal stopping strategy to liquidate an asset with unknown drift. Taking a Bayesian approach, we model the initial beliefs of an individual about the drift parameter by allowing an arbitrary probability…
The objectives and contributions of this paper are mathematical and numerical analyses of a stochastic control problem of bounded population dynamics under ambiguity, an important but not well-studied problem, focusing on the optimality…
We analyze a bilinear optimal control problem for the Stokes--Brinkman equations: the control variable enters the state equations as a coefficient. In two- and three-dimensional Lipschitz domains, we perform a complete continuous analysis…
In this paper we consider an energy storage optimization problem in finite time in a model with partial information that allows for a changing economic environment. The state process consists of the storage level controlled by the storage…
We study the singular stochastic optimal control problem with model uncertainty, where the necessary conditions determined by the corresponding maximum principle are trivial. Robust integral form and pointwise second order necessary…
We consider the problem of stochastic optimal control in the presence of an unknown disturbance. We characterize the disturbance via empirical characteristic functions, and employ a chance constrained approach. By exploiting properties of…