Related papers: The Solution to an Impulse Control Problem Motivat…
In this paper, we study a class of stochastic optimal control problem with jumps under partial information. More precisely, the controlled systems are described by a fully coupled nonlinear multi- dimensional forward-backward stochastic…
In this article we study an optimal stopping/optimal control problem which models the decision facing a risk-averse agent over when to sell an asset. The market is incomplete so that the asset exposure cannot be hedged. In addition to the…
We develop a complete analysis of a general entry-exit-scrapping model. In particular, we consider an investment project that operates within a random environment and yields a payoff rate that is a function of a stochastic economic…
This paper establishes a verification theorem for impulse control problems involving conditional McKean-Vlasov jump diffusions. We obtain a Markovian system by combining the state equation of the problem with the stochastic Fokker-Planck…
In this paper, we study the maximum principle for stochastic optimal control problems of forward-backward stochastic difference systems (FBS{\Delta}Ss) where the uncertainty is modeled by a discrete time, finite state process, rather than…
We consider a singular stochastic control problem, which is called the Monotone Follower Stochastic Control Problem and give sufficient conditions for the existence and uniqueness of a local-time type optimal control. To establish this…
The paper is concerned with a kind of minimal time control problem for the heat equation with impulse controls. The purpose of such a problem is to find an optimal impulse control (among certain control constraint set) steering the solution…
The paper proposes a new stochastic intervention control model conducted in various commodity and stock markets. The essence of the phenomenon of intervention is described in accordance with current economic theory. A review of papers on…
This work deals with optimal control problems as a strategy to drive bifurcating solution of nonlinear parametrized partial differential equations towards a desired branch. Indeed, for these governing equations, multiple solution…
We consider impulse control problems in finite horizon for diffusions with decision lag and execution delay. The new feature is that our general framework deals with the important case when several consecutive orders may be decided before…
We study high-dimensional stochastic optimal control problems in which many agents cooperate to minimize a convex cost functional. We consider both the full-information problem, in which each agent observes the states of all other agents,…
We consider the problem of designing a feedback controller for a multivariable linear time-invariant system which regulates an arbitrary system output to the solution of an equality-constrained convex optimization problem despite unknown…
We consider an optimal control problem for a non-autonomous model of ODEs that describes the evolution of the number of customers in some firm. Namely we study the best marketing strategy. Considering a $L^2$ cost functional, we establish…
In this work, we consider an optimal control problem subject to a nonlinear PDE constraint and apply it to the regularized $p$-Laplace equation. To this end, a reduced unconstrained optimization problem in terms of the control variable is…
The problem of resource allocation of nonlinear networked control systems is investigated, where, unlike the well discussed case of triggering for stability, the objective is optimal triggering. An approximate dynamic programming approach…
We address a general optimal switching problem over finite horizon for a stochastic system described by a differential equation driven by Brownian motion. The main novelty is the fact that we allow for infinitely many modes (or regimes,…
This paper proposes a new indirect solution method for solving state-constrained optimal control problems by revisiting the well-established optimal control theory and addressing the long-standing issue of discontinuous control and costate…
The coordinated and efficient distribution of limited resources by individual decisions is a fundamental, unsolved problem. When individuals compete for road capacities, time, space, money, goods, etc., they normally make decisions based on…
The paper extends an impulsive control-theoretical framework towards dynamic systems in the space of measures. We consider a transport equation describing the time-evolution of a conservative "mass" (probability measure), which represents…
We consider a nonlinear system, affine with respect to an unbounded control $u$ which is allowed to range in a closed cone. To this system we associate a Bolza type minimum problem, with a Lagrangian having sublinear growth with respect to…