Related papers: Stochastic representation under g-expectation and …
The target of this paper is to establish the bid-ask pricing frame work for the American contingent claims against risky assets with G-asset price systems (see \cite{Chen2013b}) on the financial market under Knight uncertainty. First, we…
In this paper, we study the reflected backward stochastic differential equations driven by G-Brownian motion with two reflecting obstacles, which means that the solution lies between two prescribed processes. A new kind of approximate…
We present a novel method for solving a class of time-inconsistent optimal stopping problems by reducing them to a family of standard stochastic optimal control problems. In particular, we convert an optimal stopping problem with a…
In this paper we develop a novel, discrete-time optimal control framework for mechanical systems with uncertain model parameters. We consider finite-horizon problems where the performance index depends on the statistical moments of the…
We investigate pathwise turnpike behavior of discrete-time stochastic linear-quadratic optimal control problems. Our analysis is based on a novel strict dissipativity notion for such problems, in which a stationary stochastic process…
We investigate different turnpike phenomena of generalized discrete-time stochastic linear-quadratic optimal control problems. Our analysis is based on a novel strict dissipativity notion for such problems, in which a stationary stochastic…
We develop efficient hierarchical preconditioners for optimal control problems governed by partial differential equations with uncertain coefficients. Adopting a discretize-then-optimize framework that integrates finite element…
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…
We provide an error analysis for the solution of the nonstationary Stokes problem by a variational method in space and time. We use finite elements of higher order for the approximation in space and a Galerkin-Petrov method with first order…
In this paper, we investigate dynamic optimization problems featuring both stochastic control and optimal stopping in a finite time horizon. The paper aims to develop new methodologies, which are significantly different from those of mixed…
We characterize the optimal control for a class of singular stochastic control problems as the unique solution to a related Skorokhod reflection problem. The considered optimization problems concern the minimization of a discounted cost…
This paper deals with partially-observed optimal control problems for the state governed by stochastic differential equation with delay. We develop a stochastic maximum principle for this kind of optimal control problems using a variational…
We study the time-dependent Navier-Stokes equations in the context of stochastic finite element discretizations. Specifically, we assume that the viscosity is a random field given in the form of a generalized polynomial chaos expansion, and…
In this paper, we consider a class of stochastic impulse control problem when there is a fixed delay $\Delta$ between the decision and execution times. The dynamics of the controlled system between two impulses is an arbitrary adapted…
The paper deals with a stochastic Galerkin approximation of elliptic Dirichlet boundary control problems with random input data. The expectation of a tracking cost functional with the deterministic constrained control is minimized. Error…
We consider the general class of time-homogeneous stochastic dynamical systems, both discrete and continuous, and study the problem of learning a representation of the state that faithfully captures its dynamics. This is instrumental to…
This paper studies an optimal control problem for continuous-time stochastic systems subject to reachability objectives specified in a subclass of metric interval temporal logic specifications, a temporal logic with real-time constraints.…
This paper deals with a stochastic optimal feedback control problem for the controlled stochastic partial differential equations. More precisely, we establish the existence of stochastic optimal feedback control for the controlled…
We consider the problem of optimally stopping a general one-dimensional stochastic differential equation (SDE) with generalised drift over an infinite time horizon. First, we derive a complete characterisation of the solution to this…
In this paper we study stochastic control problems with delayed information, that is, the control at time $t$ can depend only on the information observed before time $t-H$ for some delay parameter $H$. Such delay occurs frequently in…