Related papers: Equilibria for Time-inconsistent Singular Control …
This paper is devoted to a study of infinite horizon optimal control problems with time discounting and time averaging criteria in discrete time. We establish that these problems are related to certain infinite-dimensional linear…
We study a discounted singular stochastic control problem driven by a general L\'evy process, where the objective is to minimize a cost functional composed of a running cost and a control cost that depends on the current state of the…
We prove a sufficient optimality condition for non-linear optimal control problems with delays in both state and control variables. Our result requires the verification of a Hamilton-Jacobi partial differential equation and is obtained…
The optimal time for the controllability of linear hyperbolic systems in one dimensional space with one-side controls has been obtained recently for time-independent coefficients in our previous works. In this paper, we consider linear…
In this brief paper, we consider the problem of minimizing the asymptotic exit rate of diffusion processes from an open connected bounded set pertaining to a multi-channel system with small random perturbations. Specifically, we establish a…
We study singular perturbations of a class of two-scale stochastic control systems with unbounded data. The assumptions are designed to cover some relaxation problems for deep neural networks. We construct effective Hamiltonian and initial…
For a general entropy-regularized time-inconsistent stochastic control problem, we propose a policy iteration algorithm (PIA) and establish its convergence to an equilibrium policy with an exponential convergence rate. The design of the PIA…
In this paper, we study closed-loop strong equilibrium strategies for the time-inconsistent control problem with higher-order moments formulated by [Wang et al. SIAM J. Control. Optim., 63 (2025), 1560--1589]. Since time-inconsistency makes…
We study a discrete-time financial market with a single constrained trader, competitive market makers, and noise traders. Within the class of linear equilibria, the equilibrium structure is shown to be uniquely determined by two state…
The optimal \(H_{\infty}\) control problem over an infinite time horizon, which incorporates a performance function with a discount factor \(e^{-\alpha t}\) (\(\alpha > 0\)), is important in various fields. Solving this optimal…
We provide a unified approach to find equilibrium solutions for time-inconsistent problems with distribution dependent rewards, which are important to the study of behavioral finance and economics. Our approach is based on {\it equilibrium…
We consider a stochastic control problem where the set of strict (classical) controls is not necessarily convex and the the variable control has two components, the first being absolutely continuous and the second singular. The system is…
The purpose of this paper is to describe the numerical solution of the Hamilton-Jacobi-Bellman (HJB) for an optimal control problem for quantum spin systems. This HJB equation is a first order nonlinear partial differential equation defined…
Motivated by a control problem of a certain queueing network we consider a control problem where the dynamics is constrained in the nonnegative orthant $\mathbb{R}_+$ of the $d$-dimensional Euclidean space and controlled by the reflections…
In this paper we study a first extension of the theory of mild solutions for HJB equations in Hilbert spaces to the case when the domain is not the whole space. More precisely, we consider a half-space as domain, and a semilinear…
Environmental management optimizing a long-run objective is an ergodic control problem whose resolution can be achieved by solving an associated non-local Hamilton-Jacobi-Bellman (HJB) equation having an effective Hamiltonian. Focusing on…
In this paper a priori error estimates are derived for full discretization (in space and time) of time-optimal control problems. Various convergence results for the optimal time and the control variable are proved under different…
This paper is concerned with optimal control problems for parabolic partial differential equations with pointwise in time switching constraints on the control. A standard approach to treat constraints in nonlinear optimization is…
In this paper, we study the stochastic optimal control problem for control system with time-varying delay. The corresponding stochastic differential equation is a kind of stochastic differential delay equation. We prove the existence and…
Optimal control and the associated second-order Hamilton-Jacobi-Bellman (HJB) equation are studied for unbounded stochastic evolution systems in Hilbert spaces. A new notion of viscosity solution, featured by absence of B-continuity, is…