Related papers: A Stochastic Control Approach to Public Debt Manag…

We analyze the problem of optimal reduction of the debt-to-GDP ratio in a stochastic control setting. The debt-to-GDP dynamics are modeled through a stochastic differential equation in which fiscal policy simultaneously affects both debt…

Consider the problem of a government that wants to reduce the debt-to-GDP (gross domestic product) ratio of a country. The government aims at choosing a debt reduction policy which minimises the total expected cost of having debt, plus the…

We study a stochastic control problem on a bounded domain, which arises from a continuous-time optimal management model. Via the corresponding Hamilton-Jacobi-Bellman equation the value function is shown to be jointly continuous and to…

We consider a government that aims at reducing the debt-to-gross domestic product (GDP) ratio of a country. The government observes the level of the debt-to-GDP ratio and an indicator of the state of the economy, but does not directly…

We introduce a non-zero-sum game between a government and a legislative body to study the optimal level of debt. Each player, with different time preferences, can intervene on the stochastic dynamics of the debt-to-GDP ratio via singular…

We solve an infinite time-horizon bounded-variation stochastic control problem with regime switching between $N$ states. This is motivated by the problem of a government that wants to control the country's debt-to-GDP (gross domestic…

We consider a class of economic growth models that includes the classical Ramsey--Cass--Koopmans capital accumulation model and verify that, under several assumptions, the value function of the model is the unique viscosity solution to the…

In this manuscript we consider a class optimal control problem for stochastic differential delay equations. First, we rewrite the problem in a suitable infinite-dimensional Hilbert space. Then, using the dynamic programming approach, we…

In this paper, a stochastic optimal control problem is investigated in which the system is governed by a stochastic functional differential equation. In the framework of functional It\^o calculus, we build the dynamic programming principle…

We consider a singular control problem with regime switching that arises in problems of optimal investment decisions of cash-constrained firms. The value function is proved to be the unique viscosity solution of the associated…

We consider a class of stochastic control problems where the state process is a probability measure-valued process satisfying an additional martingale condition on its dynamics, called measure-valued martingales (MVMs). We establish the…

In this manuscript we consider optimal control problems of stochastic differential equations with delays in the state and in the control. First, we prove an equivalent Markovian reformulation on Hilbert spaces of the state equation. Then,…

We show that the value function of a stochastic control problem is the unique solution of the associated Hamilton-Jacobi-Bellman (HJB) equation, completely avoiding the proof of the so-called dynamic programming principle (DPP). Using…

This paper considers a utility maximization and optimal asset allocation problem in the presence of a stochastic endowment that cannot be fully hedged through trading in the financial market. After studying continuity properties of the…

We characterize the value of swing contracts in continuous time as the unique viscosity solution of a Hamilton-Jacobi-Bellman equation with suitable boundary conditions. The case of contracts with penalties is straightforward, and in that…

We consider a kind of stochastic exit time optimal control problems, in which the cost function is defined through a nonlinear backward stochastic differential equation. We study the regularity of the value function for such a control…

In this paper, we investigate a sparse optimal control of continuous-time stochastic systems. We adopt the dynamic programming approach and analyze the optimal control via the value function. Due to the non-smoothness of the $L^0$ cost…

We consider an optimal control problem arising in the context of economic theory of growth, on the lines of the works by Skiba (1978) and Askenazy - Le Van (1999). The economic framework of the model is intertemporal infinite horizon…

We study the optimal control of general stochastic McKean-Vlasov equation. Such problem is motivated originally from the asymptotic formulation of cooperative equilibrium for a large population of particles (players) in mean-field…

We extend the work on optimal investment and consumption of a population considered in [2] to a general stochastic setting over a finite time horizon. We incorporate the Cobb-Douglas production function in the capital dynamics while the…