Related papers: The turnpike property for mean-field optimal contr…
In this paper, we study the stochastic optimal control problem for control system with time-varying delay. The corresponding stochastic differential equation is a kind of stochastic differential delay equation. We prove the existence and…
Time change is a powerful technique for generating noises and providing flexible models. In the framework of time changed Brownian and Poisson random measures we study the existence and uniqueness of a solution to a general mean-field…
We propose a reformulation of the problem of optimally controlled transitions in stochastic thermodynamics. We impose that any terminal cost specified by a thermodynamic functional should depend only on state variables and not on control…
We study a specific class of finite-horizon mean field optimal stopping problems by means of the dynamic programming approach. In particular, we consider problems where the state process is not affected by the stopping time. Such problems…
Highway vehicular traffic is an inherently multi-agent problem. Traffic jams can appear and disappear mysteriously. We develop a method for traffic flow control that is applied at the vehicular level via mean-field games. We begin this work…
We present turnpike-type results for the risk tolerance function in an incomplete market setting under time-monotone forward performance criteria. We show that, contrary to the classical case, the temporal and spatial limits do not…
Modeling heterogeneous and multi-lane traffic flow is essential for understanding and controlling complex transportation systems. In this work, we consider three vehicle populations: two classes of human-driven vehicles (cars and trucks)…
A multi-class single-server queueing model with finite buffers, in which scheduling and admission of customers are subject to control, is studied in the moderate deviation heavy traffic regime. A risk-sensitive cost set over a finite time…
We analyze a problem of optimal control of the Fokker-Planck equation with state constraints in the Wasserstein space of probability measures. Our main result is to derive optimality conditions in the form of a Mean Field Game system of…
This paper is concerned with a boundary control problem for the Cahn--Hilliard equation coupled with dynamic boundary conditions. In order to handle the control problem, we restrict our analysis to the case of regular potentials defined on…
In this paper, we study the optimal control of a discrete-time stochastic differential equation (SDE) of mean-field type, where the coefficients can depend on both a function of the law and the state of the process. We establish a new…
In this paper we consider mean-field optimal control problems with selective action of the control, where the constraint is a continuity equation involving a non-local term and diffusion. First order optimality conditions are formally…
In this paper, we consider optimal control problems derived by stochastic systems with delay, where control domains are non-convex and the diffusion coefficients depend on control variables. By an estimate of the integral of…
We study the regularity and long time behavior of the one-dimensional, local, first-order mean field games system and the planning problem, assuming a Hamiltonian of superlinear growth, with a non-separated, strictly monotone dependence on…
Our purpose of this paper is to study stochastic control problem for systems driven by mean-field stochastic differential equations with elephant memory, in the sense that the system (like the elephants) never forgets its history. We study…
We analyze the sensitivity of the extremal equations that arise from the first order necessary optimality conditions of nonlinear optimal control problems with respect to perturbations of the dynamics and of the initial data. To this end,…
Transferring a physical system from an initial to a final state while minimizing energetic losses is an interdisciplinary control problem that bridges stochastic thermodynamics and optimal transport theory. Recent research typically…
This paper investigates the long-time behavior of zero-sum stochastic linear-quadratic (SLQ) differential games within Markov regime-switching diffusion systems and establishes the turnpike property of the optimal triple. By verifying the…
This paper revisits the well-studied \emph{optimal stopping} problem but within the \emph{large-population} framework. In particular, two classes of optimal stopping problems are formulated by taking into account the \emph{relative…
This work is concerned with two optimisation problems that we tackle from a qualitative perspective. The first one deals with quantitative inequalities for spectral optimisation problems for Schr\"{o}dinger operators in general domains, the…