Related papers: A mixed singular/switching control problem with te…
We consider the determination of the optimal stationary singular stochastic control of a linear diffusion for a class of average cumulative cost minimization problems arising in various financial and economic applications of stochastic…
Consider the problem of a central bank that wants to manage the exchange rate between its domestic currency and a foreign one. The central bank can purchase and sell the foreign currency, and each intervention on the exchange market leads…
We consider a stochastic, dynamic job scheduling problem, formulated as a queueing control problem, in which a single server processes jobs of different types that arrive according to independent Poisson processes. The problem is defined on…
We consider stochastic control with discretionary stopping for the drift of a diffusion process over an infinite time horizon. The objective is to choose a control process and a stopping time to minimize the expectation of a convex terminal…
We consider a stochastic system whose uncontrolled state dynamics are modelled by a general one-dimensional It\^{o} diffusion. The control effort that can be applied to this system takes the form that is associated with the so-called…
We prove two duality descriptions of the value function for a generic stochastic optimal problem. These descriptions also hold when the diffusion is controlled, a case left open by the literature so far.
We consider a mixed stochastic control problem that arises in Mathematical Finance literature with the study of interactions between dividend policy and investment. This problem combines features of both optimal switching and singular…
Incomplete financial markets are considered, defined by a multi-dimensional non-homogeneous diffusion process, being the direct sum of an It\^{o} process (the price process), and another non-homogeneous diffusion process (the exogenous…
The paper deals with a certain class of random evolutions. We develop a construction that yields an invariant measure for a continuous-time Markov process with random transitions. The approach is based on a particular way of constructing…
Tipping points characterize situations where a regulated system may experience a sudden and irreversible change and are generally associated with a random state of the system below which the change materializes. In this paper, we study a…
This work focuses on optimal harvesting-renewing for a stochastic population. A mixed regular-singular control formulation with a state constraint and regime-switching is introduced. The decision-makers either harvest or renew with finite…
This paper studies a time-changed stochastic control problem, where the underlying stochastic process is a L\'evy noise time-changed by an inverse subordinator. We establish a maximum principle theory for the time-changed stochastic control…
We consider a class of stochastic control problems which has been widely used in optimal foraging theory. The state processes have two distinct dynamics, characterized by two pairs of drift and diffusion coefficients, depending on whether…
In this paper we study limit behavior for a Markov-modulated (MM) binomial counting process, also called a binomial counting process under regime switching. Such a process naturally appears in the context of credit risk when multiple…
The finite state semi-Markov process is a generalization over the Markov chain in which the sojourn time distribution is any general distribution. In this article we provide a sufficient stochastic maximum principle for the optimal control…
We study the regularity of the stochastic representation of the solution of a class of initial-boundary value problems related to a regime-switching diffusion. This representation is related to the value function of a finite-horizon optimal…
In this paper, we consider a varying terminal time structure for the stochastic optimal control problem under state constraints, in which the terminal time varies with the mean value of the state. In this new stochastic optimal control…
We propose a unifying theoretical framework for the analysis of first-passage time distributions in two important classes of stochastic processes in which the diffusivity of a particle evolves randomly in time. In the first class of…
This paper introduces a new approach of treating platoon systems using mean-variance control formulation. The underlying system is a controlled switching diffusion in which the random switching process is a continuous-time Markov chain.…
This article is concerned with stochastic control problems for backward doubly stochastic differential equations of mean-field type, where the coefficient functions depend on the joint distribution of the state process and the control…