Related papers: On the structure of the value function of optimal …
We study optimal control problems in infinite horizon when the dynamics belong to a specific class of piecewise deterministic Markov processes constrained to star-shaped networks (inspired by traffic models). We adapt the results in [H. M.…
This paper deals with a variant of the optimal transportation problem. Given f $\in$ L 1 (R d , [0, 1]) and a cost function c $\in$ C(R d x R d) of the form c(x, y) = k(y -- x), we minimise $\int$ c d$\gamma$ among transport plans $\gamma$…
In this paper, we study boundary-value problems describing the exit distribution of finite-velocity random motions from prescribed domains. For the standard telegraph process, with and without drift, we derive the Dirichlet problems…
In this contribution, we study an optimal control problem for the celebrated nonlocal Cahn-Hilliard equation endowed with the singular Flory-Huggins potential in the three-dimensional setting. The control enters the governing state system…
This paper is concerned with stochastic impulse control problems in which the running cost changes depending on the impulse control. Because of such a dependence, it brings several difficulties when the usual dynamic programming principle…
In this paper, we consider the stochastic optimal control problem for jump diffusion systems with state constraints. In general, the value function of such problems is a discontinuous viscosity solution of the Hamilton-Jacobi-Bellman (HJB)…
We consider a class of closed loop stochastic optimal control problems in finite time horizon, in which the cost is an expectation conditional on the event that the process has not exited a given bounded domain. An important difficulty is…
We investigate an optimal stopping problem for the expected value of a discounted payoff on a regime-switching geometric Brownian motion under two constraints on the possible stopping times: only at exogenous random times and only during a…
We consider the problem of overbounding and underbounding both the backward and forward reachable set for a given polynomial vector field, nonlinear in both state and input, with a given semialgebriac set of initial conditions and with…
In this paper we study a distributed optimal control problem for a nonlocal convective Cahn--Hilliard equation with degenerate mobility and singular potential in three dimensions of space. While the cost functional is of standard tracking…
An optimal control problem for the linear wave equation with control cost chosen as the BV semi-norm in time is analyzed. This formulation enhances piecewise constant optimal controls and penalizes the number of jumps. Existence of optimal…
In this paper we investigate a kind of optimal control problem of coupled forward-backward stochastic system with jumps whose cost functional is defined through a coupled forward-backward stochastic differential equation with Brownian…
We study the optimal stopping time problem $v(S)={\rm ess}\sup_{\theta \geq S} E[\phi(\theta)|\mathcal {F}_S]$, for any stopping time $S$, where the reward is given by a family $(\phi(\theta),\theta\in\mathcal{T}_0)$ \emph{of non negative…
We develop a new variational formulation of the inverse Stefan problem, where information on the heat flux on the fixed boundary is missing and must be found along with the temperature and free boundary. We employ optimal control framework,…
We develop a new variational formulation of the inverse Stefan problem, where information on the heat flux on the fixed boundary is missing and must be found along with the temperature and free boundary. We employ optimal control framework,…
This paper investigates general and generalized differentiation properties of the optimal value function associated with perturbed optimization problems. Fundamental results on nearly convex sets and functions in infinite-dimensional spaces…
We study a class of deterministic mean field games and related optimal control problems, with a finite time horizon and in which the state space is a network. An agent controls her velocity, and, when she occupies a vertex, she can either…
We introduce a general system of ordinary differential equations that includes some classical and recent models for the epidemic spread in a closed population without vital dynamic in a finite time horizon. The model is vectorial, in the…
In this paper, we investigate an optimal control problem governed by parabolic equations with measure-valued controls over time. We establish the well-posedness of the optimal control problem and derive the first-order optimality condition…
One often encounters the curse of dimensionality in the application of dynamic programming to determine optimal policies for controlled Markov chains. In this paper, we provide a method to construct sub-optimal policies along with a bound…