Related papers: Optimal control problems for stochastic processes …
We consider a stochastic control problem where the set of controls is not necessarily convex and the system is governed by a nonlinear backward stochastic differential equation. We establish necessary as well as sufficient conditions of…
We propose a method for approximating solutions to optimization problems involving the global stability properties of parameter-dependent continuous-time autonomous dynamical systems. The method relies on an approximation of the…
A dual control problem is presented for the optimal stochastic control of a system governed by partial differential equations. Relationships between the optimal values of the original and the dual problems are investigated and two duality…
A continuous-time financial portfolio selection model with expected utility maximization typically boils down to solving a (static) convex stochastic optimization problem in terms of the terminal wealth, with a budget constraint. In…
In this paper we consider the maximum principle of optimal control for a stochastic control problem. This problem is governed by a system of fully coupled multi-dimensional forward-backward doubly stochastic differential equation with…
In this paper we consider a control problem for a Partially Observable Piecewise Deterministic Markov Process of the following type: After the jump of the process the controller receives a noisy signal about the state and the aim is to…
In this paper, we consider a class of continuous-time, continuous-space stochastic optimal control problems. Building upon recent advances in Markov chain approximation methods and sampling-based algorithms for deterministic path planning,…
This paper thoroughly investigates stochastic linear-quadratic optimal control problems with the Markovian regime switching system, where the coefficients of the state equation and the weighting matrices of the cost functional are random.…
This paper investigates a singular stochastic control problem for a multi-dimensional regime-switching diffusion process confined in an unbounded domain. The objective is to maximize the total expected discounted rewards from exerting the…
In this paper we study a representation problem first considered in a simpler version by Bank and El Karoui [2004]. A key ingredient to this problem is a random measure $\mu$ on the time axis which in the present paper is allowed to have…
We consider a financial market with a stock exposed to a counterparty risk inducing a drop in the price, and which can still be traded after this default time. We use a default-density modeling approach, and address in this incomplete…
This paper investigates the optimal harvesting strategy for a single species living in random environments whose growth is given by a regime-switching diffusion. Harvesting acts as a (stochastic) control on the size of the population. The…
We consider the optimal control of quantum systems interacting non-linearly with an electromagnetic field. We propose new monotonically convergent algorithms to solve the optimal equations. The monotonic behavior of the algorithm is ensured…
We revisit closed-loop performance guarantees for Model Predictive Control in the deterministic and stochastic cases, which extend to novel performance results applicable to receding horizon control of Partially Observable Markov Decision…
We present a novel particle filtering framework for continuous-time dynamical systems with continuous-time measurements. Our approach is based on the duality between estimation and optimal control, which allows reformulating the estimation…
In this paper, we consider the implementation of multi-level Monte Carlo method to a stochastic optimal control problem with log-normal coefficients and its surrogate model problem. From the perspective of two optimization problems, i.e.,…
We consider a controlled diffusion process $(X_t)_{t\ge 0}$ where the controller is allowed to choose the drift $\mu_t$ and the volatility $\sigma_t$ from a set $\K(x) \subset \R\times (0,\infty)$ when $X_t=x$. By choosing the largest…
Transmission system operators employ reserves to deal with unexpected variations of demand and generation to guarantee the security of supply. The French transmission system operator RTE dynamically sizes the required margins using a…
In this paper, we propose a new approach for stochastic control problems arising from utility maximization. The main idea is to directly start from the dynamical programming equation and compute the conditional expectation using a novel…
We consider the optimal control problem for a linear conditional McKean-Vlasov equation with quadratic cost functional. The coefficients of the system and the weigh-ting matrices in the cost functional are allowed to be adapted processes…