Related papers: Optimal consumption under relaxed benchmark tracki…
A thermal analogue of the classical brachistochrone problem, which minimizes the connection time between two equilibrium states of harmonically confined Brownian particles, has recently been solved theoretically. Here we report its…
Optimization problems with stochastic dominance constraints provide a possibility to shape risk by selecting a benchmark random outcome with a desired distribution. The comparison of the relevant random outcomes to the respective benchmarks…
We study the problem of optimal inside control of an SPDE (a stochastic evolution equation) driven by a Brownian motion and a Poisson random measure. Our optimal control problem is new in two ways: (i) The controller has access to inside…
We address the output regulation problem for a general class of linear stochastic systems. Specifically, we formulate and solve the ideal full-information and output-feedback problems, obtaining perfect, but non-causal, asymptotic…
We consider a problem of an optimal consumption strategy on the infinite time horizon when the short-rate is a diffusion process. General existence and uniqueness theorem is illustrated by the Vasicek and so-called invariant interval…
We study a problem of utility maximization under model uncertainty with information including jumps. We prove first that the value process of the robust stochastic control problem is described by the solution of a quadratic-exponential…
We study an optimal investment/consumption problem in a model capturing market and credit risk dependencies. Stochastic factors drive both the default intensity and the volatility of the stocks in the portfolio. We use the martingale…
We consider a mean-field optimal control problem for stochastic differential equations with delay driven by fractional Brownian motion with Hurst parameter greater than one half. Stochastic optimal control problems driven by fractional…
In this paper we study a utility maximization problem with both optimal control and optimal stopping in a finite time horizon. The value function can be characterized by a variational equation that involves a free boundary problem of a…
This study focuses on using direct methods (first-discretize-then-optimize) to solve optimal control problems for a class of nonsmooth dynamical systems governed by differential variational inequalities (DVI), called optimal control…
We consider the energy-optimal control problem for double-integrator systems subject to state and control constraints, with fixed terminal time and free terminal speed. When the constraints become active, the optimal trajectory consists of…
Optimal control problems of tracking type for a class of linear systems with uncertain parameters in the dynamics are investigated. An affine tracking feedback control input is obtained by considering the minimization of an energy-like…
In this paper, we investigate an optimal control problem with terminal stochastic linear complementarity constraints (SLCC), and its discrete approximation using the relaxation, the sample average approximation (SAA) and the implicit Euler…
We consider an investor facing a classical portfolio problem of optimal investment in a log-Brownian stock and a fixed-interest bond, but constrained to choose portfolio and consumption strategies that reduce a dynamic shortfall risk…
This paper considers the problem of optimal liquidation of a position in a risky security in a financial market, where price evolution are risky and trades have an impact on price as well as uncertainty in the filling orders. The problem is…
In this paper, we study expected utility maximization under ratchet and drawdown constraints on consumption in a general incomplete semimartingale market using duality methods. The optimization is considered with respect to two parameters:…
We study the problem of optimal state-feedback tracking control for unknown discrete-time deterministic systems with input constraints. To handle input constraints, state-of-art methods utilize a certain nonquadratic stage cost function,…
It has long been observed that the performance of evolutionary algorithms and other randomized search heuristics can benefit from a non-static choice of the parameters that steer their optimization behavior. Mechanisms that identify…
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 consider a continuous time stochastic optimal control problem under both equality and inequality constraints on the expectation of some functionals of the controlled process. Under a qualification condition, we show that the problem is…