Related papers: Optimal control problems for stochastic processes …
We address the Merton problem of maximizing the expected utility of terminal wealth using techniques from variational analysis. Under a general continuous semimartingale market model with stochastic parameters, we obtain a characterization…
This paper studies an optimal control problem for continuous-time stochastic systems subject to reachability objectives specified in a subclass of metric interval temporal logic specifications, a temporal logic with real-time constraints.…
The goal of this paper is to solve a class of stochastic optimal control problems numerically, in which the state process is governed by an It\^o type stochastic differential equation with control process entering both in the drift and the…
This paper studies a class of continuous-time scalar-state stochastic Linear-Quadratic (LQ) optimal control problem with the linear control constraints. Applying the state separation theorem induced from its special structure, we develop…
This paper presents a method to approximately solve stochastic optimal control problems in which the cost function and the system dynamics are polynomial. For stochastic systems with polynomial dynamics, the moments of the state can be…
Stochastic optimal control problems with constraints on the probability distribution of the final output are considered. Necessary conditions for optimality in the form of a coupled system of partial differential equations involving a…
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 consider a financial market with assets exposed to some risks inducing jumps in the asset prices, and which can still be traded after default times. We use a default-intensity modeling approach, and address in this…
We analyze the problem of stochastic optimal control of SDEs where the driver includes a self-exciting stochastic process. Due to the non-Markovian nature of the problem, we apply the stochastic maximum principle approach. We derive a…
We consider a stochastic control problem, where the control domain is convex and the system is governed by a nonlinear backward stochastic differential equation. With a L1 terminal data, we derive necessary optimality conditions in the form…
We consider a pathwise stochastic optimal control problem and study the associated (not necessarily adapted) Hamilton-Jacobi-Bellman stochastic partial differential equation. We show that the value process is the unique solution of this…
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…
In this paper we consider an energy storage optimization problem in finite time in a model with partial information that allows for a changing economic environment. The state process consists of the storage level controlled by the storage…
The considered optimal control problem of a stochastic power system, is to select the set of power supply vectors which infimizes the probability that the phase-angle differences of any power flow of the network, endangers the transient…
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…
In this paper we study the stochastic control problem of partially observed (multi-dimensional) stochastic system driven by both Brownian motions and fractional Brownian motions. In the absence of the powerful tool of Girsanov…
The study of optimal control problems under uncertainty plays an important role in scientific numerical simulations. This class of optimization problems is strongly utilized in engineering, biology and finance. In this paper, a stochastic…
We study a constrained stochastic control problem with jumps; the jump times of the controlled process are given by a Poisson process. The cost functional comprises quadratic components for an absolutely continuous control and the…
We consider an investor faced with the utility maximization problem in which the risky asset price process has pure-jump dynamics affected by an unobservable continuous-time finite-state Markov chain, the intensity of which can also be…
A new stochastic control problem of population dynamics under partial observation is formulated and analyzed both mathematically and numerically, with an emphasis on environmental and ecological problems. The decision-maker can only…