Related papers: Two-sided Poisson control of linear diffusions

We study an optimal control problem in which both the objective function and the dynamic constraint contain an uncertain parameter. Since the distribution of this uncertain parameter is not exactly known, the objective function is taken as…

We investigate an optimal control problem which arises in the optimization of an amplification technique for misfolded proteins. The improvement of this technique may play a role in the detection of prion diseases. The model consists in a…

We study the quasi-neutral limit in an optimal semiconductor design problem constrained by a nonlinear, nonlocal Poisson equation modelling the drift diffusion equations in thermal equilibrium. While a broad knowledge on the asymptotic…

In this paper we consider stochastic optimization problems for an ambiguity averse decision maker who is uncertain about the parameters of the underlying process. In a first part we consider problems of optimal stopping under drift…

We consider optimal control problems governed by systems describing the unsteady flows of an incompressible second grade fluid with Navier-slip boundary conditions. We prove the existence of an optimal solution and derive the corresponding…

This paper investigates a singular stochastic control problem for a multi-dimensional regime-switching diffusion process confined in an unbounded domain. The objective is to maximize the total expected discounted rewards from exerting the…

Given a homogenous Poisson point process in the plane, we prove that it is possible to partition the plane into bounded connected cells of equal volume, in a translation-invariant way, with each point of the process contained in exactly one…

This paper is the first part of our series work to establish pointwise second-order necessary conditions for stochastic optimal controls. In this part, both drift and diffusion terms may contain the control variable but the control region…

In this paper, a sub-optimal boundary control strategy for a free boundary problem is investigated. The model is described by a non-smooth convection-diffusion equation. The control problem is addressed by an instantaneous strategy based on…

We consider a stochastic impulse control problem that is motivated by applications such as the optimal exploitation of a natural resource. In particular, we consider a stochastic system whose uncontrolled state dynamics are modelled by a…

We consider the problem of finite-horizon optimal control of a discrete linear time-varying system subject to a stochastic disturbance and fully observable state. The initial state of the system is drawn from a known Gaussian distribution,…

We consider optimal control problems for partial differential equations where the controls take binary values but vary over the time horizon, they can thus be seen as dynamic switches. The switching patterns may be subject to combinatorial…

In this paper, we consider the stochastic optimal control problem for the interacting particle system. We obtain the stochastic maximum principle of the optimal control system by introducing a generalized backward stochastic differential…

The paper puts forward sufficient conditions for local controllability of a control dynamical system. The results obtained are meaningful in the case when the linear approximation to this system is not completely controllable. As a…

We study the problem of optimal risk policies and dividend strategies for an insurance company operating under the constraint that the timing of shareholder payouts is governed by the arrival times of a Poisson process. Concurrently, risk…

This paper is addressed to studying the exact controllability for stochastic transport equations by two controls: one is a boundary control imposed on the drift term and the other is an internal control imposed on the diffusion term. By…

We provide an asymptotic analysis of linear transport problems in the diffusion limit under minimal regularity assumptions on the domain, the coefficients, and the data. The weak form of the limit equation is derived and the convergence of…

This paper deals with the optimal control of systems governed by nonlinear systems of conservation laws at junctions. The applications considered range from gas compressors in pipelines to open channels management. The existence of an…

In this paper, we consider a time-optimal control problem with uncertainties. Dynamics of controlled object is expressed by crisp linear system of differential equations with fuzzy initial and final states. We introduce a notion of fuzzy…

In this study, we investigate optimal control problems that involve sweeping processes with a drift term and mixed inequality constraints. Our goal is to establish necessary optimality conditions for these problems. We address the…