Related papers: An infinite horizon sufficient stochastic maximum …
This paper is concerned with cost optimization of an insurance company. The surplus of the insurance company is modeled by a controlled regime switching diffusion, where the regime switching mechanism provides the fluctuations of the random…
It has been recently established that a deterministic infinite horizon discounted optimal control problem in discrete time is closely related to a certain infinite dimensional linear programming problem and its dual. In the present paper,…
We provide sufficient conditions for the continuity of the free-boundary in a general class of finite-horizon optimal stopping problems arising for instance in finance and economics. The underlying process is a strong solution of one…
The maximum principle for optimal control problems of fully coupled forward-backward doubly stochastic differential equations (FBDSDEs in short) in the global form is obtained, under the assumptions that the diffusion coefficients do not…
Stochastic reaction networks is a powerful class of models for the representation a wide variety of population models including biochemistry. The control of such networks has been recently considered due to their important implications for…
This paper is concerned with optimal control problems for systems governed by mean-field stochastic differential equation, in which the control enters both the drift and the diffusion coefficient. We prove that the relaxed state process,…
Optimal control of heterogeneous mean-field stochastic differential equations with common noise has not been addressed in the literature. In this work, we initiate the study of such models. We formulate the problem within a linear-quadratic…
We shall consider a stochastic maximum principle of optimal control for a control problem associated with a stochastic partial differential equations of the following type: d x(t) = (A(t) x(t) + a (t, u(t)) x(t) + b(t, u(t)) dt +…
This paper deals with a stochastic recursive optimal control problem, where the diffusion coefficient depends on the control variable and the control domain is not necessarily convex. We focus on the connection between the general maximum…
Optimal control problems with a very large time horizon can be tackled with the Receding Horizon Control (RHC) method, which consists in solving a sequence of optimal control problems with small prediction horizon. The main result of this…
Necessary conditions of optimality in the form of the Pontryagin Maximum Principle are derived for the Bolza-type discounted problem with free right end. The optimality is understood in the sense of the uniformly overtaking optimality. Such…
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…
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…
We consider a controlled-diffusion process pertaining to a chain of distributed systems with random perturbations that satisfies a weak H\"ormander type condition. In particular, we consider a stochastic control problem with the following…
In this article, we study optimal investment and consumption in an incomplete stochastic factor model for a power utility investor on the infinite horizon. When the state space of the stochastic factor is finite, we give a complete…
We design receding horizon control strategies for stochastic discrete-time linear systems with additive (possibly) unbounded disturbances, while obeying hard bounds on the control inputs. We pose the problem of selecting an appropriate…
We consider the stochastic optimal control problem for the dynamical system of the stochastic differential equation driven by a local martingale with a spatial parameter. Assuming the convexity of the control domain, we obtain the…
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,…
These notes present preliminary results regarding two different approximations of linear infinite-horizon optimal control problems arising in model predictive control. Input and state trajectories are parametrized with basis functions and a…