Related papers: A BSDE approach to the asymmetric risk-sensitive o…
This work addresses the problem of risk-sensitive control for nonlinear systems with imperfect state observations, extending results for the linear case. In particular, we derive an algorithm that can compute local solutions with…
We extend the wellposedness results for second order backward stochastic differential equations introduced by Soner, Touzi and Zhang \cite{stz} to the case of a bounded terminal condition and a generator with quadratic growth in the $z$…
Over the past few years quadratic Backward Stochastic Differential Equations (BSDEs) have been a popular field of research. However there are only very few examples where explicit solutions for these equations are known. In this paper we…
We consider a unifying framework for stochastic control problem including the following features: partial observation, path-dependence (both with respect to the state and the control), and without any non-degeneracy condition on the…
The aim of this paper is to derive a maximum principle for a control problem governed by a stochastic partial differential equation (SPDE) with locally monotone coefficients. In particular, necessary conditions for optimality for this…
This thesis develops equilibrium asset pricing models in incomplete markets with a large number of heterogeneous agents using mean field game theory. The market equilibrium is characterized by a novel form of mean field backward stochastic…
We consider the control of semilinear stochastic partial differential equations (SPDEs) via deterministic controls. In the case of multiplicative noise, existence of optimal controls and necessary conditions for optimality are derived. In…
We formulate and investigate a general stochastic control problem under a progressive enlargement of filtration. The global information is enlarged from a reference filtration and the knowledge of multiple random times together with…
An important step in a multi-sensor surveillance system is to estimate sensor biases from their noisy asynchronous measurements. This estimation problem is computationally challenging due to the highly nonlinear transformation between the…
Nonsmooth composite optimization problems under uncertainty are prevalent in various scientific and engineering applications. We consider risk-neutral composite optimal control problems, where the objective function is the sum of a…
We a controlled system driven by a coupled forward-backward stochastic differential equation (FBSDE) with a non degenerate diffusion matrix. The cost functional is defined by the solution of the controlled backward stochastic differential…
There is a growing literature adopting a stochastic optimal control (SOC) perspective to fine-tune diffusion models and related generative policies. A prominent class of methods, known as iterative diffusion optimization, solves the SOC…
In the context of risk measures, the capital allocation problem is widely studied in the literature where different approaches have been developed, also in connection with cooperative game theory and systemic risk. Although static capital…
In this paper, we consider stochastic optimal control of systems driven by stochastic differential equations with irregular drift coefficient. We establish a necessary and sufficient stochastic maximum principle. To achieve this, we first…
This article studies quadratic semimartingale BSDEs arising in power utility maximization when the market price of risk is of BMO type. In a Brownian setting we provide a necessary and sufficient condition for the existence of a solution…
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…
In this paper, we study a multi-dimensional backward stochastic differential equation (BSDE) with oblique reflection, which is a BSDE reflected on the boundary of a special unbounded convex domain along an oblique direction, and which…
This paper is concerned with a stochastic recursive optimal control problem with time delay, where the controlled system is described by a stochastic differential delayed equation (SDDE) and the cost functional is formulated as the solution…
We discuss an open-loop backward Stackelberg differential game involving single leader and single follower. Unlike most Stackelberg game literature, the state to be controlled is characterized by a backward stochastic differential equation…
We consider optimal design of PDE-based Bayesian linear inverse problems with infinite-dimensional parameters. We focus on the A-optimal design criterion, defined as the average posterior variance and quantified by the trace of the…