Related papers: Time-optimal problem in the space of probabilities…
This paper addresses the problem of utility maximization under uncertain parameters. In contrast with the classical approach, where the parameters of the model evolve freely within a given range, we constrain them via a penalty function. We…
In this paper, we consider the mean field optimal switching problem with a Markov chain under viscosity solution notion. Based on the conditional distribution of the Markov chain, the value function and corresponding dynamic programming…
An abstract framework guaranteeing the local continuous differentiability of the value function associated with optimal stabilization problems subject to abstract semilinear parabolic equations subject to a norm constraint on the controls…
In this paper, we investigate an optimal control problem governed by parabolic equations with measure-valued controls over time. We establish the well-posedness of the optimal control problem and derive the first-order optimality condition…
Considering a real-valued diffusion, a real-valued reward function and a positive discount rate, we provide an algorithm to solve the optimal stopping problem consisting in finding the optimal expected discounted reward and the optimal…
The present paper considers a stochastic optimal control problem, in which the cost function is defined through a backward stochastic differential equation with infinite horizon driven by G-Brownian motion. Then we study the regularities of…
We study a finite horizon optimal control problem for the continuity equation under a weighted integral state constraint on the mass outside a fixed set. The model is cast in a Hilbert framework for densities. On a suitable invariant…
A general time-inconsistent optimal control problem is considered for stochastic differential equations with deterministic coefficients. Under suitable conditions, a Hamilton-Jacobi-Bellman type equation is derived for the equilibrium value…
In this paper, we consider a time-optimal control problem with uncertainties. Dynamics of controlled object is expressed by crisp linear system of differential equations with fuzzy initial and final states. We introduce a notion of fuzzy…
In this paper we discuss the optimal liquidation over a finite time horizon until the exit time. The drift and diffusion terms of the asset price are general functions depending on all variables including control and market regime. There is…
In this paper, we aim to develop the theory of optimal stochastic control for branching diffusion processes where both the movement and the reproduction of the particles depend on the control. More precisely, we study the problem of…
This paper studies the stochastic optimal control of jump-diffusion processes and the associated fully nonlinear backward stochastic Hamilton--Jacobi--Bellman (BSHJB) equations. We establish the dynamic programming principle (DPP) via…
We consider optimal control problems for diffusion processes, where the objective functional is defined by a time-consistent dynamic risk measure. We focus on coherent risk measures defined by $g$-evaluations. For such problems, we…
We consider a convexity constrained Hamilton-Jacobi-Bellman-type obstacle problem for the value function of a zero-sum differential game with asymmetric information. We propose a convexity-preserving probabilistic numerical scheme for the…
We apply the Stochastic Perron method, created by Bayraktar and S\^irbu, to a stochastic exit time control problem. Our main assumption is the validity of the Strong Comparison Result for the related Hamilton-Jacobi-Bellman (HJB) equation.…
This paper studies the problem of optimally extracting nonrenewable natural resource in light of various financial and economic restrictions and constraints. Taking into account the fact that the market values of the main natural resources…
We employ the viscosity solution technique to analyze optimal stopping problems with regime switching. Specifically, we obtain the viscosity property of value functions, the uniqueness of viscosity solutions, the regularity of value…
We introduce a stochastic version of the optimal transport problem. We provide an analysis by means of the study of the associated Hamilton-Jacobi-Bellman equation, which is set on the set of probability measures. We introduce a new…
We prove optimality principles for semicontinuous bounded viscosity solutions of Hamilton-Jacobi-Bellman equations. In particular we provide a representation formula for viscosity supersolutions as value functions of suitable obstacle…
We consider the valuation problem of an (insurance) company under partial information. Therefore we use the concept of maximizing discounted future dividend payments. The firm value process is described by a diffusion model with constant…