Related papers: Harvest management problem in a fractional logisti…
We consider a fractional version of the Heston volatility model which is inspired by [16]. Within this model we treat portfolio optimization problems for power utility functions. Using a suitable representation of the fractional part,…
We study a stochastic control system involving both a standard and a fractional Brownian motion with Hurst parameter less than 1/2. We apply an anticipative Girsanov transformation to transform the system into another one, driven only by…
In this paper we formulate and solve an optimal problem for Stochastic process with a regime absorbing state. The solution for this problem is obtained through a system of partial differential equations. The method is applied to obtain an…
Frequency control rebalances supply and demand while maintaining the network state within operational margins. It is implemented using fast ramping reserves that are expensive and wasteful, and which are expected to grow with the increasing…
We consider the problem of utility maximization for small traders on incomplete financial markets. As opposed to most of the papers dealing with this subject, the investors' trading strategies we allow underly constraints described by…
The minimization of energy-like cost functionals is addressed in the context of optimal control problems. For a general class of dynamical systems, with possibly unstable and nonlinear free dynamics, it is shown that a sequence of solutions…
We discuss the multilevel control problem for linear dynamical systems, consisting in designing a piece-wise constant control function taking values in a finite-dimensional set. In particular, we provide a complete characterization of…
One of the fundamental assumptions in stochastic control of continuous time processes is that the dynamics of the underlying (diffusion) process is known. This is, however, usually obviously not fulfilled in practice. On the other hand,…
We present a modern stochastic control framework for dynamic optimization of river environment and ecology. We focus on a fisheries problem in Japan, and show several examples of simplified optimal control problems of stochastic…
Studying Binomial and Gaussian return dynamics in discrete time, we show how excess volatility can be traded to create growth. We test our results on real world data to confirm the observed model phenomena while also highlighting implicit…
We study solution techniques for a linear-quadratic optimal control problem involving fractional powers of elliptic operators. These fractional operators can be realized as the Dirichlet-to-Neumann map for a nonuniformly elliptic problem…
We aim at understanding how the non-commutation phenomena between a linear transport operator and a fractional diffusion allow the transport operator to satisfy hypoelliptic estimates on the whole space. Such hypoelliptic estimates are…
We present an optimal hybrid control approach to the problem of stochastic route planning for sailing boats, especially in short course fleet races, in which minimum average time is an effective performance index. We show that the hybrid…
In this work, we use the integral definition of the fractional Laplace operator and study a sparse optimal control problem involving a fractional, semilinear, and elliptic partial differential equation as state equation; control constraints…
We present a frequency domain based $H_\infty$-control strategy to solve boundary control problems for systems governed by parabolic or hyperbolic partial differential equation, where controllers are constrained to be physically…
It is well known that excessive harvesting or hunting has driven species to extinction both on local and global scales. This leads to one of the fundamental problems of conservation ecology: how should we harvest a population so that…
A multi-class single-server system with general service time distributions is studied in a moderate deviation heavy traffic regime. In the scaling limit, an optimal control problem associated with the model is shown to be governed by a…
We introduce a numerical technique for controlling the location and stability properties of Hopf bifurcations in dynamical systems. The algorithm consists of solving an optimization problem constrained by an extended system of nonlinear…
We study a multi-commodity Freeway Network Control (FNC) problem aiming at achieving optimal operation of a transportation network through the use of ramp metering and variable speed limits. Straightforward formulations of both single- and…
In this article, we consider a stochastic linear quadratic control problem with partial observation. A near optimal control in the weak formulation is characterized. The main features of this paper are the presence of the control in the…