Related papers: Stochastic Maximum Principle for Optimal Liquidati…
Optimal liquidation of an asset with unknown constant drift and stochastic regime-switching volatility is studied. The uncertainty about the drift is represented by an arbitrary probability distribution; the stochastic volatility is…
In this paper, we establish a general stochastic maximum principle for optimal control for systems described by a continuous-time Markov regime-switching stochastic recursive utilities model. The control domain is postulated not to be…
In this paper, we consider the optimal portfolio liquidation problem under the dynamic mean-variance criterion and derive time-consistent solutions in three important models. We give adapted optimal strategies under a reconsidered…
We consider the determination of the optimal stationary singular stochastic control of a linear diffusion for a class of average cumulative cost minimization problems arising in various financial and economic applications of stochastic…
In this paper, an open problem is solved, for the stochastic optimal control problem with delay where the control domain is nonconvex and the diffusion term contains both control and its delayed term. Inspired by previous results by \O…
In this paper, we present an optimal control problem for stochastic differential games under Markov regime-switching forward-backward stochastic differential equations with jumps and partial information. First, we prove a sufficient maximum…
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 stability of stochastic Model Predictive Control (MPC) subject to additive disturbances is often demonstrated in the literature by constructing Lyapunov-like inequalities that guarantee closed-loop performance bounds and boundedness of…
We consider the optimal control of a differential equation that involves the suprema of the state over some part of the history. In many applications, this non-smooth functional dependence is crucial for the successful modeling of…
Tipping points characterize situations where a regulated system may experience a sudden and irreversible change and are generally associated with a random state of the system below which the change materializes. In this paper, we study a…
In this paper, we obtain the maximum principle for optimal controls of stochastic systems with jumps by introducing a new method of variation. The control is allowed to enter both diffusion and jump term and the control domain need not to…
This paper studies a time-changed stochastic control problem, where the underlying stochastic process is a L\'evy noise time-changed by an inverse subordinator. We establish a maximum principle theory for the time-changed stochastic control…
In this paper, we solve an open problem and obtain a general maximum principle for a stochastic optimal control problem where the control domain is an arbitrary non-empty set and all the coefficients (especially the diffusion term and the…
We formulate an optimal stopping problem for a geometric Brownian motion where the probability scale is distorted by a general nonlinear function. The problem is inherently time inconsistent due to the Choquet integration involved. We…
We prove a sufficient stochastic maximum principle for the optimal control of a regime-switching diffusion model. We show the connection to dynamic programming and we apply the result to a quadratic loss minimization problem, which can be…
A problem of computing time-fuel optimal control for state transfer of a single input linear time invariant (LTI) system to the origin is considered. The input is assumed to be bounded. Since, the optimal control is bang-off-bang in nature,…
We consider an investor that trades continuously and wants to liquidate an initial asset position within a prescribed time interval. During the execution of the liquidation order the investor is subject to execution risk. We study the…
Consider, on the one part, a general nonlinear finite-dimensional optimal control problem and assume that it has a unique solution whose state is denoted by $x^*$. On the other part, consider the sampled-data control version of it. Under…
In this article we study an optimal stopping/optimal control problem which models the decision facing a risk-averse agent over when to sell an asset. The market is incomplete so that the asset exposure cannot be hedged. In addition to the…
We study a stochastic optimal control problem for jump-diffusion systems whose drift coefficient is piecewise Lipschitz continuous and exhibits threshold-induced discontinuities. Such dynamics naturally arise in applications with…