Related papers: Robust optimal stopping with regime switching
The purpose of this paper is to describe the numerical solution of the Hamilton-Jacobi-Bellman (HJB) for an optimal control problem for quantum spin systems. This HJB equation is a first order nonlinear partial differential equation defined…
We consider an illiquid financial market with different regimes modeled by a continuous-time finite-state Markov chain. The investor can trade a stock only at the discrete arrival times of a Cox process with intensity depending on the…
The problem of order execution is cast as a relative entropy-regularized robust optimal control problem in this article. The order execution agent's goal is to maximize an objective functional associated with his profit-and-loss of trading…
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…
We consider a stochastic control problem with the assumption that the system is controlled until the state process breaks the fixed barrier. Assuming some general conditions, it is proved that the resulting Hamilton Jacobi Bellman equations…
We study optimal stopping problems related to the pricing of perpetual American options in an extension of the Black-Merton-Scholes model in which the dividend and volatility rates of the underlying risky asset depend on the running values…
We study driver's optimal trajectory planning under uncertainty in the duration of a traffic light's green phase. We interpret this as an optimal control problem with an objective of minimizing the expected cost based on the fuel use,…
This article proposes an improved trajectory optimization approach for stochastic optimal control of dynamical systems affected by measurement noise by combining optimal control with maximum likelihood techniques to improve the reduction of…
Robust output regulation for linear time-varying systems has remained an open problem for decades. To address this, we propose the trajectory-matching system immersion framework, by reformulating the regulator equation into a more…
This work studies equilibrium problems under uncertainty where firms maximize their profits in a robust way when selling their output. Robust optimization plays an increasingly important role when best guaranteed objective values are to be…
We consider a Bolza-type optimal control problem for a dynamical system described by a fractional differential equation with the Caputo derivative of an order $\alpha \in (0, 1)$. The value of this problem is introduced as a functional in a…
Optimal liquidation of an asset with unknown constant drift and stochastic regime-switching volatility is studied. The uncertainty about the drift is represented by an arbitrary probability distribution; the stochastic volatility is…
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,…
We present a solution to an optimal stopping problem for a process with a wide-class of novel dynamics. The dynamics model the support/resistance line concept from financial technical analysis.
The effects of model parameter uncertainty on traffic flow control problems have recently drawn research attention. While the uncertainty in fundamental diagram related parameters has been investigated in the past, few articles have focused…
This paper studies the robust optimal control design for uncertain nonlinear systems from a perspective of robust adaptive dynamic programming (robust-ADP). The objective is to fill up a gap in the past literature of ADP where dynamic…
Recently, there has been a surge in interest in safe and robust techniques within reinforcement learning (RL). Current notions of risk in RL fail to capture the potential for systemic failures such as abrupt stoppages from system failures…
In this paper we consider stopping problems for continuous-time Markov chains under a general risk-sensitive optimization criterion for problems with finite and infinite time horizon. More precisely our aim is to maximize the certainty…
We study a stochastic recursive optimal control problem in which the cost functional is described by the solution of a backward stochastic differential equation driven by G-Brownian motion. Some of the economic and financial optimization…
This paper is concerned with a stochastic linear-quadratic optimal control problem of Markovian regime switching system with model uncertainty and partial information, where the information available to the control is based on a…