Related papers: Refraction strategies in stochastic control: optim…
We study the problem of optimally managing an inventory with unknown demand trend. Our formulation leads to a stochastic control problem under partial observation, in which a Brownian motion with non-observable drift can be singularly…
We study the ergodic control problem for a class of jump diffusions in $\mathbb{R}^d$, which are controlled through the drift with bounded controls. The Levy measure is finite, but has no particular structure; it can be anisotropic and…
This paper presents a millisecond-level look-ahead control algorithm for energy storage with constant space complexity and worst-case linear run-time complexity. The algorithm connects the optimal control with the Lagrangian multiplier…
We consider an optimal control problem that entails the minimization of a nondifferentiable cost functional, fractional diffusion as state equation and constraints on the control variable. We provide existence, uniqueness and regularity…
The entropy regularization is inspired by information entropy from machine learning and the ideas of exploration and exploitation in reinforcement learning, which appears in the control problem to design an approximating algorithm for the…
The optimal control problem of stochastic systems is commonly solved via robust or scenario-based optimization methods, which are both challenging to scale to long optimization horizons. We cast the optimal control problem of a stochastic…
We investigate some recursive procedures based on an exact or ``approximate'' Euler scheme with decreasing step in vue to computation of invariant measures of solutions to S.D.E. driven by a L\'evy process. Our results are valid for a large…
This paper solves a Bayes sequential impulse control problem for a diffusion, whose drift has an unobservable parameter with a change point. The partially-observed problem is reformulated into one with full observations, via a change of…
This paper studies a general L\'evy process model of the bail-out optimal dividend problem with an exponential time horizon, and further extends it to the regime-switching model. We first show the optimality of a double barrier strategy in…
This paper is concerned with the problem of finding the optimal of extraction policies of an oil field in light of various financial and economical restrictions and constraints. Taking into account the fact that the oil price in worldwide…
We study a stochastic control problem for continuous multidimensional martingales with fixed quadratic variation. In a radially symmetric environment, we are able to find an explicit solution to the control problem and find an optimal…
A Cahn-Hilliard equation with stochastic multiplicative noise and a random convection term is considered. The model describes isothermal phase-separation occurring in a moving fluid, and accounts for the randomness appearing at the…
We consider the classical optimal dividend control problem which was proposed by de Finetti [Trans. XVth Internat. Congress Actuaries 2 (1957) 433--443]. Recently Avram, Palmowski and Pistorius [Ann. Appl. Probab. 17 (2007) 156--180]…
This paper examines stochastic optimal control problems in which the state is perfectly known, but the controller's measure of time is a stochastic process derived from a strictly increasing L\'evy process. We provide dynamic programming…
We look at continuum solutions in optimisation problems associated to linear inverse problems $y = Ax$ with non-negativity constraint $x \geq 0$. We focus on the case where the noise model leads to maximum likelihood estimation through…
An optimal control problem for the linear wave equation with control cost chosen as the BV semi-norm in time is analyzed. This formulation enhances piecewise constant optimal controls and penalizes the number of jumps. Existence of optimal…
Stochastic resetting is a protocol of starting anew, which can be used to facilitate the escape kinetics. We demonstrate that restarting can accelerate the escape kinetics from a finite interval restricted by two absorbing boundaries also…
This paper is concerned with the optimal control of hysteresis-reaction-diffusion systems. We study a control problem with two sorts of controls, namely distributed control functions, or controls which act on a part of the boundary of the…
We suppose that a L\'evy process is observed at discrete time points. A rather general construction of minimum-distance estimators is shown to give consistent estimators of the L\'evy-Khinchine characteristics as the number of observations…
We consider an optimal control problem governed by a rate-inde\-pendent system with non-convex energy. The state equation is approximated by means of viscous regularization w.r.t.\ to hierarchy of two different Hilbert spaces. The…