Related papers: Optimal Carbon Emission Control With Allowances Pu…
This paper studies an optimal dividend problem with a drawdown constraint in a Brownian motion model, requiring the dividend payout rate to remain above a fixed proportion of its historical maximum. This leads to a path-dependent stochastic…
We consider a stochastic optimal control problem governed by a stochastic differential equation with delay in the control. Using a result of existence and uniqueness of a sufficiently regular mild solution of the associated…
Achieving net-zero carbon emissions requires a transformation of energy systems, industrial processes, and consumption patterns. In particular, a transition towards that goal involves a gradual reduction of excess carbon emissions that are…
We study the optimal investment-consumption problem for a member of defined contribution plan during the decumulation phase. For a fixed annuitization time, to achieve higher final annuity, we consider a variable consumption rate. Moreover,…
This study investigates a stochastic production planning problem with a running cost composed of quadratic production costs and inventory-dependent costs. The objective is to minimize the expected cost until production stops when inventory…
This paper deals with junction conditions for Hamilton-Jacobi-Bellman (HJB) equations for finite horizon control problems on multi-domains. We consider two different cases where the final cost is continuous or lower semi-continuous. In the…
We study a time-optimal control problem of a two-peakon collision. First, we state the controllability. Next, we find the time-optimal strategy. This is done via the HamiltonJacobi-Bellman equation and the dynamic programming method. We…
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…
This paper introduces a new type of second order stochastic backward Hamilton-Jacobi-Bellman (HJB) equations for optimal stochastic control problems with a currently observable but non-predicable parameter process, in addition to the…
A learning technique for finite horizon optimal control problems and its approximation based on polynomials is analyzed. It allows to circumvent, in part, the curse dimensionality which is involved when the feedback law is constructed by…
We study an optimal investment and consumption problem over a finite-time horizon, in which an individual invests in a risk-free asset and a risky asset, and evaluate utility using a general utility function that exhibits loss aversion with…
In this paper, we present a mean field game to model the production behaviors of a very large number of producers, whose carbon emissions are regulated by government. Especially, an emission permits trading scheme is considered in our…
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 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,…
An optimal control problem is considered for a stochastic differential equation containing a state-dependent regime switching, with a recursive cost functional. Due to the non-exponential discounting in the cost functional, the problem is…
We investigate feedback control for infinite horizon optimal control problems for partial differential equations. The method is based on the coupling between Hamilton-Jacobi-Bellman (HJB) equations and model reduction techniques. It is…
We consider a class of exit time stochastic control problems for diffusion processes with discounted criterion, where the controller can utilize a given amount of resource, called "fuel". In contrast to the vast majority of existing…
This paper draws on two sources of motivation: (1) The European Union Emission Trading Scheme (EU-ETS) aims at limiting the overall emissions of greenhouse gases. The optimal abatement strategy of companies for the use of emission permits…
We show that necessary and sufficient conditions of optimality in periodic optimization problems can be stated in terms of a solution of the corresponding HJB inequality, the latter being equivalent to a max-min type variational problem…
We introduce a regulated stochastic diffusion model for the recycling rate and formulate a joint control problem over production and process innovation via the dynamics of recycling investment and product pricing. The resulting stochastic…