Related papers: Optimal consumption under relaxed benchmark tracki…
The classical optimal investment and consumption problem with infinite horizon is studied in the presence of transaction costs. Both proportional and fixed costs as well as general utility functions are considered. Weak dynamic programming…
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…
Trajectory optimization is a fundamental stochastic optimal control problem. This paper deals with a trajectory optimization approach for dynamical systems subject to measurement noise that can be fitted into linear time-varying stochastic…
This paper studies an optimal consumption problem for a loss-averse agent with reference to past consumption maximum. To account for loss aversion on relative consumption, an S-shaped utility is adopted that measures the difference between…
In this paper, we study the finite-horizon problem of an economic agent's optimal consumption, investment, and job-switching decisions. The key new feature of our model is that the job-switching cost is time-varying. This extension leads to…
We study an explicit mirror-descent method for finite-horizon deterministic optimal control problems. The method is motivated by Pontryagin's maximum principle: at each iteration, one solves the state and adjoint equations and updates the…
We consider a control problem where the system is driven by a decoupled as well as a coupled forward-backward stochastic differential equation. We prove the existence of an optimal control in the class of relaxed controls, which are…
This paper examines a Markovian model for the optimal irreversible investment problem of a firm aiming at minimizing total expected costs of production. We model market uncertainty and the cost of investment per unit of production capacity…
In this paper, we investigate the optimal control problem for systems driven by mixed fractional Brownian motion (including a fractional Brownian motion with Hurst parameter $H>1/2$ and the standard Brownian motion). By using Malliavin…
We introduce a new and efficient numerical method for multicriterion optimal control and single criterion optimal control under integral constraints. The approach is based on extending the state space to include information on a "budget"…
In this paper we investigate a new class of growth rate maximization problems based on impulse control strategies such that the average number of trades per time unit does not exceed a fixed level. Moreover, we include proportional…
This paper investigates solution stability properties of unregularized tracking-type optimal control problems constrained by the Boussinesq system. In our model, the controls may appear linearly and distributed in both of the equations that…
We consider optimal control problems for partial differential equations where the controls take binary values but vary over the time horizon, they can thus be seen as dynamic switches. The switching patterns may be subject to combinatorial…
A theoretical framework and numerical techniques to solve optimal control problems with a spatial trace term in the terminal cost and governed by regularized nonlinear hyperbolic conservation laws are provided. Depending on the spatial…
Non-smooth dynamics driven by stochastic disturbance arise in a wide variety of engineering problems. Impulsive interventions are often employed to control stochastic systems; however, the modeling and analysis subject to execution delay…
An optimal control problem driven by an ordinary differential equation under continuous state constraints is considered in this study. From an operational point of view, we introduce a discrete state constraints optimal control problem and…
This article presents a constrained policy optimization approach for the optimal control of systems under nonstationary uncertainties. We introduce an assumption that we call Markov embeddability that allows us to cast the stochastic…
We study the optimal dividend problem for a firm's manager who has partial information on the profitability of the firm. The problem is formulated as one of singular stochastic control with partial information on the drift of the underlying…
This paper studies a loss-averse version of the multiplicative habit formation preference and the corresponding optimal investment and consumption strategies over an infinite horizon. The agent's consumption preference is depicted by a…
We propose a novel reformulation of the stochastic optimal control problem as an approximate inference problem, demonstrating, that such a interpretation leads to new practical methods for the original problem. In particular we characterise…