Related papers: Ergodic Risk-Sensitive Control for Regime-Switchin…
In this paper, we study the asymptotic of exit problem for controlled Markov diffusion processes with random jumps and vanishing diffusion terms, where the random jumps are introduced in order to modify the evolution of the controlled…
Although the mean-variance control was initially formulated for financial portfolio management problems in which one wants to maximize expected return and control the risk, our motivations also stem from highway vehicle platoon controls…
We deal with the change point problem in ergodic diffusion processes based on high frequency data. Tonaki et al. (2020, 2021) studied the change point problem for the ergodic diffusion process model. However, the change point problem for…
This paper is concerned with the well-posedness and optimal control problem of a reaction-diffusion system for an epidemic Susceptible-Infected-Recovered-Susceptible (SIRS) mathematical model in which the dynamics develops in a spatially…
In this paper, we consider the problem of controlling a diffusion process pertaining to an opioid epidemic dynamical model with random perturbation so as to prevent it from leaving a given bounded open domain. Here, we assume that the…
This study considers an optimal reinsurance, investment, and dividend strategy control problem for insurance companies in a regulated Markov regime-switching environment, intending to maximize long-run average reward. Unlike existing single…
This article presents a constrained policy optimization approach for the optimal control of systems under nonstationary uncertainties. We introduce an assumption that we call Markov embeddability that allows us to cast the stochastic…
This paper investigates the finite horizon risk-sensitive portfolio optimization in a regime-switching credit market with physical and information-induced default contagion. It is assumed that the underlying regime-switching process has…
This work develops asymptotic properties of a class of switching jump diffusion processes. The processes under consideration may be viewed as a number of jump diffusion processes modulated by a random switching mechanism. The underlying…
We consider long term average or `ergodic' optimal control poblems with a special structure: Control is exerted in all directions and the control costs are proportional to the square of the norm of the control field with respect to the…
We investigate the stability of the equilibrium-induced optimal value in one-dimensional diffusion setting for a time-inconsistent stopping problem under non-exponential discounting. We show that the optimal value is semi-continuous with…
This work is devoted to almost sure and moment exponential stability of regime-switching jump diffusions. The Lyapunov function method is used to derive sufficient conditions for stabilities for general nonlinear systems; which further…
This paper deals with the insensitizing controllability property of the quasilinear parabolic equation with dynamic boundary conditions. This problem can be reformulated as a null controllability problem for a cascade quasilinear system…
We provide some criteria on the stability of regime-switching diffusion processes. Both the state-independent and state-dependent regime-switching diffusion processes with switching in a finite state space and an infinite countable state…
We consider a control problem for a heterogeneous population composed of agents able to switch at any time between different options. The controller aims to maximize an average gain per time unit, supposing that the population is of…
In this work, we study the control constrained distributed optimal control of a stationary doubly diffusive flow model. For the control problem, we use a well-posedness analysis based on minimal assumptions on data and domain. We show the…
Motivated by networked systems, stochastic control, optimization, and a wide variety of applications, this work is devoted to systems of switching jump diffusions. Treating such nonlinear systems, we focus on stability issues. First…
An optimal ergodic control problem (EC problem, for short) is investigated for a linear stochastic differential equation with quadratic cost functional. Constant nonhomogeneous terms, not all zero, appear in the state equation, which lead…
We consider the adaptive test for the parameter change in discretely observed ergodic diffusion processes based on the cusum test. Using two test statistics based on the two quasi-log likelihood functions of the diffusion parameter and the…
We consider a risk-sensitive optimization of consumption-utility on infinite time horizon where the one-period investment gain depends on an underlying economic state whose evolution over time is assumed to be described by a discrete-time,…