Related papers: Equilibria for Time-inconsistent Singular Control …
In this paper, we study the dividend strategies for a shareholder with non-constant discount rate in a diffusion risk model. We assume that the dividends can only be paid at a bounded rate and restrict ourselves to the Markov strategies.…
We consider a stochastic control problem where the set of strict (classical) controls is not necessarily convex, and the system is governed by a nonlinear backward stochastic differential equation. By introducing a new approach, we…
We consider a general time-inconsistent stochastic linear-quadratic differential game. The time-inconsistency arises from the presence of quadratic terms of the expected state as well as state-dependent term in the objective functionals. We…
We study a stochastic optimal control problem with the state constrained to a smooth, compact domain. The control influences both the drift and a possibly degenerate, control-dependent dispersion matrix, leading to a fully nonlinear,…
In this paper, a class of time inconsistent linear quadratic optimal control problems of mean-field stochastic differential equations (SDEs) is considered under Markovian framework. Open-loop equilibrium controls and their particular…
We establish the internal exact controllability of a refined stochastic hyperbolic equation by deriving a suitable observability inequality via Carleman estimates for the associated backward stochastic hyperbolic equation. In contrast to…
This work addresses the exact characterization of the covariance dynamics related to linear discrete-time systems subject to both additive and parametric stochastic uncertainties that are potentially unbounded. Using this characterization,…
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 derive the explicit solutions to singular stochastic control problems of the monotone follower type with (a) an expected discounted criterion, (b) an expected ergodic criterion and (c) a pathwise ergodic criterion. These problems have…
It has been recently established that a deterministic infinite horizon discounted optimal control problem in discrete time is closely related to a certain infinite dimensional linear programming problem and its dual. In the present paper,…
In this paper, we investigate the Merton portfolio management problem in the context of non-exponential discounting. This gives rise to time-inconsistency of the decision-maker. If the decision-maker at time t=0 can commit his/her…
We consider a stochastic control problem which is composed of a controlled stochastic differential equation, and whose associated cost functional is defined through a controlled backward stochastic differential equation. Under appropriate…
In this article we study a finite horizon optimal control problem with monotone controls. We consider the associated Hamilton-Jacobi-Bellman (HJB) equation which characterizes the value function. We consider the totally discretized problem…
We consider an infinite horizon control problem for dynamics constrained to remain on a multidimensional junction with entry costs. We derive the associated system of Hamilton-Jacobi equations (HJ), prove the comparison principle and that…
We establish the existence of an optimal control for a general class of singular control problems with state constraints. The proof uses weak convergence arguments and a time rescaling technique. The existence of optimal controls for…
This work addresses stochastic optimal control problems where the unknown state evolves in continuous time while partial, noisy, and possibly controllable measurements are only available in discrete time. We develop a framework for…
Unbounded stochastic control problems may lead to Hamilton-Jacobi-Bellman equations whose Hamiltonians are not always defined, especially when the diffusion term is unbounded with respect to the control. We obtain existence and uniqueness…
This work concentrates on a class of optimal control problems for semilinear parabolic equations subject to control constraint of the form $\|u(t)\|_{L^1(\Omega)} \le \gamma$ for $t \in (0,T)$. This limits the total control that can be…
We consider bounded extremum seeking controls for time-varying linear systems with uncertain coefficient matrices and measurement uncertainty. Using a new change of variables, Lyapunov functions, and a comparison principle, we provide…
We investigate a solvable model for energy conserving non-equilibrium steady states. The time-reversal asymmetry of the dynamics leads to the violation of detailed balance and to ergodicity breaking, as manifested by the presence of…