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The objective of this paper is to analyze the existence of equilibria for a class of deterministic mean field games of controls. The interaction between players is due to both a congestion term and a price function which depends on the…
We consider the interaction among agents engaging in a driving task and we model it as general-sum game. This class of games exhibits a plurality of different equilibria posing the issue of equilibrium selection. While selecting the most…
We study games in which a leader makes a single commitment, and then multiple followers (each with a different utility function) respond. In particular, we study ambiguous commitment strategies in these games, in which the leader may commit…
This paper studies a {\it reversible} investment problem where a social planner aims to control its capacity production in order to fit optimally the random demand of a good. Our model allows for general diffusion dynamics on the demand as…
This paper proposes a model predictive controller for discrete-time linear systems with additive, possibly unbounded, stochastic disturbances and subject to chance constraints. By computing a polytopic probabilistic positively invariant set…
The paper considers the optimal control problem of inventory of a discrete product in regeneration scheme with a Poisson flow of customer requirements. In the system deferred demand is allowed, the volume of which is limited by a given…
In display advertising, advertisers want to achieve a marketing objective with constraints on budget and cost-per-outcome. This is usually formulated as an optimization problem that maximizes the total utility under constraints. The…
We prove continuity of certain cost functions arising from optimal control of affine control systems. We give sharp sufficient conditions for this continuity. As an application, we prove a version of weak KAM theorem and consider the…
The paper presents new sufficient conditions for the property of strong bi-metric regularity of the optimality map associated with an optimal control problem which is affine with respect to the control variable ({\em affine problem}). The…
In many areas of engineering and sciences, decision rules and control strategies are usually designed based on nominal values of relevant system parameters. To ensure that a control strategy or decision rule will work properly when the…
Motivated by a new formulation of the classical dividend problem, we show that Peskir's maximality principle can be transferred to singular stochastic control problems with 2-dimensional degenerate dynamics and absorption along the diagonal…
We propose a game-theoretic framework that incorporates both incomplete information and general ambiguity attitudes on factors external to all players. Our starting point is players' preferences on payoff-distribution vectors, essentially…
Applications of machine learning inform human decision makers in a broad range of tasks. The resulting problem is usually formulated in terms of a single decision maker. We argue that it should rather be described as a two-player learning…
This paper analyzes single-item continuous-review inventory models with random supplies in which the inventory dynamic between orders is described by a diffusion process, and a long-term average cost criterion is used to evaluate decisions.…
We investigate several control strategies for the transport of an excitation along a spin chain. We demonstrate that fast, high fidelity transport can be achieved using protocols designed with differentiable programming. Building on this,…
In this paper, the Kyle model of insider trading is extended by characterizing the trading volume with long memory and allowing the noise trading volatility to follow a general stochastic process. Under this newly revised model, the…
This paper investigates the robustness of stochastic optimal control for controlled regime switching diffusions. We consider systems driven by both continuous fluctuations and discrete regime changes, allowing for model misspecification in…
We study the formation of an optimal interbank network in a model where banks control both their supply of liquidity, through cash reserves, and their exposures to other banks' risky projects. The value of each bank's project may suddenly…
This paper focuses on linearisation techniques for a class of mixed singular/continuous control problems and ensuing algorithms. The motivation comes from (re)insurance problems with reserve-dependent premiums with Cram{\'e}r-Lundberg…
We give a general formulation of the utility maximization problem under nondominated model uncertainty in discrete time and show that an optimal portfolio exists for any utility function that is bounded from above. In the unbounded case,…