Related papers: Diffusive limit approximation of pure-jump optimal…
In this paper, we adapt stochastic Perron's method to analyze a stochastic target problem with unbounded controls in a jump diffusion set-up. With this method, we construct a viscosity sub-solution and super-solution to the associated…
This paper mainly investigates reflected stochastic recursive control problems governed by jump-diffusion dynamics. The system's state evolution is described by a stochastic differential equation driven by both Brownian motion and Poisson…
The claim arrival process to an insurance company is modeled by a compound Poisson process whose intensity and/or jump size distribution changes at an unobservable time with a known distribution. It is in the insurance company's interest to…
This paper is concerned with one kind of partially observed progressive optimal control problems of coupled forward-backward stochastic systems driven by both Brownian motion and Poisson random measure with risk-sensitive criteria. The…
In this paper, we proved moderate deviation principles for a fully coupled two-time-scale stochastic systems, where the slow process is given by stochastic differential equations with small noise, while the fast process is a rapidly…
We study an optimal control problem on infinite horizon for a controlled stochastic differential equation driven by Brownian motion, with a discounted reward functional. The equation may have memory or delay effects in the coefficients,…
In this work, we focus on an infinite horizon mean-field linear-quadratic stochastic control problem with jumps. Firstly, the infinite horizon linear mean-field stochastic differential equations and backward stochastic differential…
We study a diffusion approximation for a model of stochastic motion of a particle in one spatial dimension. The velocity of the particle is constant but the direction of the motion undergoes random changes with a Poisson clock. Moreover,…
We study stochastic optimal control problems for (possibly degenerate) McKean-Vlasov controlled diffusions and obtain discrete-time as well as finite interacting particle approximations. (i) Under mild assumptions, we first prove the…
We consider a rate control problem for an $N$-particle weakly interacting finite state Markov process. The process models the state evolution of a large collection of particles and allows for multiple particles to change state…
We study the asymptotic relations between certain singular and constrained control problems for one-dimensional diffusions with both discounted and ergodic objectives. By constrained control problems we mean that controlling is allowed only…
In this paper we consider the numerical solutions for a class of jump diffusions with Markovian switching. After briefly reviewing necessary notions, a new jump-adapted efficient algorithm based on the Euler scheme is constructed for…
IIn this paper, we study a partially observed progressive optimal control problem of forward-backward stochastic differential equations with random jumps, where the control domain is not necessarily convex, and the control variable enter…
This paper is concerned with the partial information optimal control problem of wa controlled forward-backward stochastic differential equation of jump diffusion with correlated noises between the system and the observation. For this type…
Throughout this paper, we focused our aim on the problem of optimal control under a risk-sensitive performance functional, where the system is given by a fully coupled forward-backward stochastic differential equation with jump. The risk…
The paper studies a class of multidimensional optimal stopping problems with infinite horizon for linear switching diffusions. There are two main novelties in the optimal problems considered: the underlying stochastic process has…
We address a class of backward stochastic differential equations on a bounded interval, where the driving noise is a marked, or multivariate, point process. Assuming that the jump times are totally inaccessible and a technical condition…
In this short note we formulate a infinite-horizon stochastic optimal control problem for jump-diffusions of Ito-Levy type as a LP problem in a measure space, and prove that the optimal value functions of both problems coincide. The main…
This paper considers a portfolio optimization problem in which asset prices are represented by SDEs driven by Brownian motion and a Poisson random measure, with drifts that are functions of an auxiliary diffusion factor process. The…
Among various rare events, the effective computation of transition paths connecting metastable states in a stochastic model is an important problem. This paper proposes a stochastic optimal control formulation for transition path problems…