Related papers: Stochastic Production Planning: Optimal Control an…
In this paper, we investigate a sparse optimal control of continuous-time stochastic systems. We adopt the dynamic programming approach and analyze the optimal control via the value function. Due to the non-smoothness of the $L^0$ cost…
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…
The aim of this work is to develop a deep learning method for solving high-dimensional stochastic control problems based on the Hamilton--Jacobi--Bellman (HJB) equation and physics-informed learning. Our approach is to parameterize the…
We consider a stochastic control problem which is composed of a controlled stochastic differential equation, and whose associated cost functional is defined through a controlled backward stochastic differential equation. Under appropriate…
Consider a storage system where the content is driven by a Brownian motion absent control. At any time, one may increase or decrease the content at a cost proportional to the amount of adjustment. A decrease of the content takes effect…
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…
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…
We study the problem of optimally managing an inventory with unknown demand trend. Our formulation leads to a stochastic control problem under partial observation, in which a Brownian motion with non-observable drift can be singularly…
We study a stochastic control approach to managed futures portfolios. Building on the Schwartz 97 stochastic convenience yield model for commodity prices, we formulate a utility maximization problem for dynamically trading a single-maturity…
We deal with an infinite horizon, infinite dimensional stochastic optimal control problem arising in the study of economic growth in time-space. Such problem has been the object of various papers in deterministic cases when the possible…
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…
This paper is concerned with a stochastic linear-quadratic optimal control problem in a finite time horizon, where the coefficients of the control system are allowed to be random, and the weighting matrices in the cost functional are…
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…
In this paper we provide a complete theoretical analysis of a two-dimensional degenerate non convex singular stochastic control problem. The optimisation is motivated by a storage-consumption model in an electricity market, and features a…
In this paper, we first establish the dynamic programming principle for stochastic optimal control problems defined on compact Riemannian manifolds without boundary. Subsequently, we derive the associated Hamilton-Jacobi-Bellman (HJB)…
We study high-dimensional stochastic optimal control problems in which many agents cooperate to minimize a convex cost functional. We consider both the full-information problem, in which each agent observes the states of all other agents,…
In this paper, a stochastic optimal control problem is investigated in which the system is governed by a stochastic functional differential equation. In the framework of functional It\^o calculus, we build the dynamic programming principle…
In Stochastic Optimal Control (SOC) one minimizes the average cost-to-go, that consists of the cost-of-control (amount of efforts), cost-of-space (where one wants the system to be) and the target cost (where one wants the system to arrive),…
This paper considers a stochastic production planning problem with regime switching. There are two regimes corresponding to different economic cycles. A factory is planning its production so as to minimize production costs. We analyze this…
In this paper, we consider a company can simultaneously reduce its emissions and buy carbon allowances at any time. We establish an optimal control model involving two stochastic processes with two control variables, which is a singular…