Related papers: Impulse control of conditional McKean-Vlasov jump …
We study a class of mean-field control problems under partial observation. The controlled dynamics are of McKean-Vlasov type and are subject to regime switching driven by a hidden Markov chain. The observation process depends on the control…
Regularity of the impulse control problem for a non-degenerate $n$-dimensional jump diffusion with infinite activity and finite variation jumps was recently examined by Davis, Guo, and Wu (SICON 2010). Here we extend the analysis to include…
We consider a stochastic optimal control problem governed by a stochastic differential equation with delay in the control. Using a result of existence and uniqueness of a sufficiently regular mild solution of the associated…
A class of optimal control problems governed by linear fractional diffusion equation with control constraint is considered. We first establish some results on the existence of strong solution to the state equation and the existence of…
We consider the problem of optimal multiple switching in finite horizon, when the state of the system, including the switching costs, is a general adapted stochastic process. The problem is formulated as an extended impulse control problem…
In this article, we consider the deterministic impulsively controlled system with infinite horizon and several discounted objective functionals. The constructed optimal control problem with functional constraints is reformulated as a Markov…
This article treats long term average impulse control problems with running costs in the case that the underlying process is a L\'evy process. Under quite general conditions we characterize the value of the control problem as the value of a…
We study optimal control problems in infinite horizon when the dynamics belong to a specific class of piecewise deterministic Markov processes constrained to star-shaped networks (inspired by traffic models). We adapt the results in [H. M.…
This paper is devoted to present a method of proving verification theorems for stochastic optimal control of finite dimensional diffusion processes without control in the diffusion term. The value function is assumed to be continuous in…
We consider the optimal stopping of a class of spectrally negative jump diffusions. We state a set of conditions under which the value is shown to have a representation in terms of an ordinary nonlinear programming problem. We establish a…
We consider a novel McKean--Vlasov control problem with contagion through killing of particles and common noise. Each particle is killed at an exponential rate according to an intensity process that increases whenever the particle is…
In this paper, we investigate the controlled system described by forward-backward stochastic differential equations with the control contained in drift, diffusion and generator of BSDE. A new verification theorem is derived within the…
We consider the stochastic optimal control problem of nonlinear mean-field systems in discrete time. We reformulate the problem into a deterministic control problem with marginal distribution as controlled state variable, and prove that…
In this article, we study the existence of insensitizing controls for a nonlinear reaction-diffusion equation with dynamic boundary conditions. Here, we have a partially unknown data of the system, and the problem consists in finding…
Among various rare events, the effective computation of transition paths connecting metastable states in a stochastic model is an important problem. This paper proposes a stochastic optimal control formulation for transition path problems…
We study the convergence of $N-$particle systems described by SDEs driven by Brownian motion and Poisson random measure, where the coefficients depend on the empirical measure of the system. Every particle jumps with a jump rate depending…
In this paper, we investigate the optimal control problem for systems driven by mixed fractional Brownian motion (including a fractional Brownian motion with Hurst parameter $H>1/2$ and the standard Brownian motion). By using Malliavin…
In this paper, we investigate an optimal control problem governed by parabolic equations with measure-valued controls over time. We establish the well-posedness of the optimal control problem and derive the first-order optimality condition…
This paper considers an optimal impulse control problem of dynamical systems generated by a flow. The performance criteria are total costs over the infinite time horizon. Apart from the main performance to be minimized, there are multiple…
From economics point of view, we investigate a new optimal control problem driven by a stochastic differential equation with a multi-time states cost functional. By constructing a series of first-order adjoint equations, we establish the…