Related papers: On the time consistent solution to optimal stoppin…
In this paper, we consider multistopping problems for finite discrete time sequences $X_1,...,X_n$. $m$-stops are allowed and the aim is to maximize the expected value of the best of these $m$ stops. The random variables are neither assumed…
We consider the Chance Constrained Model Predictive Control problem for polynomial systems subject to disturbances. In this problem, we aim at finding optimal control input for given disturbed dynamical system to minimize a given cost…
We study the initial value problem for a kind of Euler equation with a source term. Our main result is the existence of a globally-in-time weak solution whose total variation is bounded on the the domain of definition, allowing the…
This paper addresses, for the first time in the literature, optimal control problems for dynamic systems governed by a novel class of sweeping processes with time delay. We establish well-posedness of such processes, in the sense of the…
One of the main objectives of science is the recognition of a general pattern in a particular phenomenon in some particular regime. In this work, this is achieved with the analytical expression for the optimal protocol that minimizes the…
Within this chapter, we discuss control in the coefficients of an obstacle problem. Utilizing tools from H-convergence, we show existence of optimal solutions. First order necessary optimality conditions are obtained after deriving…
We consider massively dense ad hoc networks and study their continuum limits as the node density increases and as the graph providing the available routes becomes a continuous area with location and congestion dependent costs. We study both…
In this paper we study simulation based optimization algorithms for solving discrete time optimal stopping problems. This type of algorithms became popular among practioneers working in the area of quantitative finance. Using large…
This paper considers a distributionally robust chance constraint model with a general ambiguity set. We show that a sample based approximation of this model converges under suitable sufficient conditions. We also show that upper and lower…
In this paper we discuss the numerical solution of elliptic distributed optimal control problems with state or control constraints when the control is considered in the energy norm. As in the unconstrained case we can relate the…
This paper studies distributed optimal formation control with hard constraints on energy levels and termination time, in which the formation error is to be minimized jointly with the energy cost. The main contributions include a globally…
The timing of strategic exit is one of the most important but difficult business decisions, especially under competition and uncertainty. Motivated by this problem, we examine a stochastic game of exit in which players are uncertain about…
This paper is concerned with impulse approximate controllability for stochastic evolution equations with impulse controls. As direct applications, we formulate captivating minimal norm and time optimal control problems; The minimal norm…
We obtain a probabilistic solution to linear-quadratic optimal control problems with state constraints. Given a closed set $\mathcal{D}\subseteq [0,T]\times\mathbb{R}^d$, a diffusion $X$ in $\mathbb{R}^d$ must be linearly controlled in…
In this paper we consider discrete and continuous time risk sensitive optimal stopping problem. Using suitable properties of the underlying Feller-Markov process we prove continuity of the optimal stopping value function and provide formula…
Tipping points characterize situations where a regulated system may experience a sudden and irreversible change and are generally associated with a random state of the system below which the change materializes. In this paper, we study a…
We propose and analyze a one-dimensional multi-species cross-diffusion system with non-zero-flux boundary conditions on a moving domain, motivated by the mod- eling of a Physical Vapor Deposition process. Using the boundedness by entropy…
We present a novel method for solving a class of time-inconsistent optimal stopping problems by reducing them to a family of standard stochastic optimal control problems. In particular, we convert an optimal stopping problem with a…
According to recent results, convergence in a prespecified or prescribed finite time can be achieved under extreme model uncertainty if control is applied continuously over time. This paper shows that this extreme amount of uncertainty…
In this paper we study optimal stopping problems with respect to distorted expectations of the form \begin{eqnarray*} \mathcal{E}(X)=\int_{-\infty}^{\infty} x\,dG(F_X(x)), \end{eqnarray*} where $F_X$ is the distribution function of $X$ and…