Related papers: Robust optimal stopping with regime switching
We study the optimal portfolio liquidation problem over a finite horizon in a limit order book with bid-ask spread and temporary market price impact penalizing speedy execution trades. We use a continuous-time modeling framework, but in…
In this paper, we investigate dynamic optimization problems featuring both stochastic control and optimal stopping in a finite time horizon. The paper aims to develop new methodologies, which are significantly different from those of mixed…
Time-consistency is an essential requirement in risk sensitive optimal control problems to make rational decisions. An optimization problem is time consistent if its solution policy does not depend on the time sequence of solving the…
The ability to achieve precise and smooth trajectory tracking is crucial for ensuring the successful execution of various tasks involving robotic manipulators. State-of-the-art techniques require accurate mathematical models of the robot…
Motion planning is a fundamental problem and focuses on finding control inputs that enable a robot to reach a goal region while safely avoiding obstacles. However, in many situations, the state of the system may not be known but only…
We study the optimal control of general stochastic McKean-Vlasov equation. Such problem is motivated originally from the asymptotic formulation of cooperative equilibrium for a large population of particles (players) in mean-field…
In this paper, we develop a unified framework for studying constrained robust optimal control problems with adjustable uncertainty sets. In contrast to standard constrained robust optimal control problems with known uncertainty sets, we…
A new stochastic control problem of population dynamics under partial observation is formulated and analyzed both mathematically and numerically, with an emphasis on environmental and ecological problems. The decision-maker can only…
This paper studies the continuous-time reinforcement learning (RL) for optimal switching problems across multiple regimes. We consider a type of exploratory formulation under entropy regularization where the agent randomizes both the timing…
This paper investigates a singular stochastic control problem for a multi-dimensional regime-switching diffusion process confined in an unbounded domain. The objective is to maximize the total expected discounted rewards from exerting the…
This paper considers an optimal impulse control problem of dynamical systems generated by a flow. The performance criteria are total costs over the infinite time horizon. Apart from the main performance to be minimized, there are multiple…
Stochastic optimal control control problems with merely measurable coefficients are not well understood. In this manuscript, we consider fully non-linear stochastic optimal control problems in infinite horizon with measurable coefficients…
Though switched dynamical systems have shown great utility in modeling a variety of physical phenomena, the construction of an optimal control of such systems has proven difficult since it demands some type of optimal mode scheduling. In…
We study the stochastic control problem of maximizing expected utility from terminal wealth under a non-bankruptcy constraint. The wealth process is subject to shocks produced by a general marked point process. The problem of the agent is…
We consider an optimal stopping problem where a constraint is placed on the distribution of the stopping time. Reformulating the problem in terms of so-called measure-valued martingales allows us to transform the marginal constraint into an…
Stochastic maximum principle of nonlinear controlled forward-backward systems, where the set of strict (classical) controls need not be convex and the diffusion coefficient depends explicitly on the variable control, is an open problem…
Following the recent resurgence in establishing linear control theoretic benchmarks for reinforcement leaning (RL)-based policy optimization (PO) for complex dynamical systems with continuous state and action spaces, an optimal control…
We describe the solution of an optimal stopping problem for a stable L\'evy process killed at state-dependent rate, which can be seen as a model for bankruptcy. The killing rate is chosen in such a way that the killed process remains…
In this paper we study the optimal stochastic control problem for a path-dependent stochastic system under a recursive path-dependent cost functional, whose associated Bellman equation from dynamic programming principle is a path-dependent…
This study considers an optimal reinsurance, investment, and dividend strategy control problem for insurance companies in a regulated Markov regime-switching environment, intending to maximize long-run average reward. Unlike existing single…