Related papers: Approximation of the value function for optimal co…
The present paper addresses the issue of the stochastic control of the optimal dynamic reinsurance policy and dynamic dividend strategy, which are state-dependent, for an insurance company that operates under multiple insurance lines of…
Motivated by a control problem of a certain queueing network we consider a control problem where the dynamics is constrained in the nonnegative orthant $\mathbb{R}_+$ of the $d$-dimensional Euclidean space and controlled by the reflections…
We consider a Bayesian adaptive optimal stochastic control problem where a hidden static signal has a non-separable influence on the drift of a noisy observation. Being allowed to control the specific form of this dependence, we aim at…
In this paper, we aim to develop the theory of optimal stochastic control for branching diffusion processes where both the movement and the reproduction of the particles depend on the control. More precisely, we study the problem of…
This paper focuses on the value function in the time-optimal problem for a continuity equation in the space of probability measures. We derive the dynamic programming principle for this problem. In particular, we prove that the Kruzhkov…
We study the stochastic control problem of maximizing expected utility from terminal wealth under a non-bankruptcy constraint. The wealth process is subject to shocks produced by a general marked point process. The problem of the agent is…
We study an optimal control problem on infinite time horizon with semimartingale strategies, random coefficients and regime switching. The value function and the optimal strategy can be characterized in terms of three systems of backward…
In this article, a notion of viscosity solutions is introduced for first order path-dependent Hamilton-Jacobi-Bellman (PHJB) equations associated with optimal control problems for path-dependent evolution equations in Hilbert space. We…
The paper deals with a Bolza optimal control problem for a dynamical system which motion is described by a delay differential equation under an initial condition defined by a piecewise continuous function. For the value functional in this…
This paper is concerned with a stochastic recursive optimal control problem with time delay, where the controlled system is described by a stochastic differential delayed equation (SDDE) and the cost functional is formulated as the solution…
This paper proposes a new framework to model control systems in which a dynamic friction occurs. The model consists in a controlled differential inclusion with a discontinuous right hand side, which still preserves existence and uniqueness…
This paper studies an optimal dividend problem with a drawdown constraint in a Brownian motion model, requiring the dividend payout rate to remain above a fixed proportion of its historical maximum. This leads to a path-dependent stochastic…
In this paper we study the problem of optimal dividend payment strategy which maximizes the expected discounted sum of dividends to a multidimensional set up of n associated insurance companies where the surplus process follows an…
We consider a class of infinite-dimensional singular stochastic control problems. These can be thought of as spatial monotone follower problems and find applications in spatial models of production and climate transition. Let…
We consider the problem of portfolio optimization in a simple incomplete market and under a general utility function. By working with the associated Hamilton-Jacobi-Bellman partial differential equation (HJB PDE), we obtain a closed-form…
This paper focuses on finding approximate solutions to stochastic optimal control problems with control domains being not necessarily convex, where the state trajectory is subject to controlled stochastic differential equations. The…
A general continuous mean-variance problem is considered for a diffusion controlled process where the reward functional has an integral and a terminal-time component. The problem is transformed into a superposition of a static and a dynamic…
We consider the numerical solution of Hamilton-Jacobi-Bellman equations arising in stochastic control theory. We introduce a class of monotone approximation schemes relying on monotone interpolation. These schemes converge under very weak…
In this paper, we study a stochastic recursive optimal control problem in which the objective functional is described by the solution of a backward stochastic differential equation driven by G-Brownian motion. Under standard assumptions, we…
We study a stochastic control problem for continuous multidimensional martingales with fixed quadratic variation. In a radially symmetric environment, we are able to find an explicit solution to the control problem and find an optimal…