Related papers: Optimal stochastic impulse control problem with de…
A moment constraint that limits the number of dividends in the optimal dividend problem is suggested. This leads to a new type of time-inconsistent stochastic impulse control problem. First, the optimal solution in the precommitment sense…
We study methods for solving stochastic control problems of systems of forward-backward mean-field equations with delay, in finite or infinite horizon. Necessary and sufficient maximum principles under partial information are given. The…
We consider a continuous time stochastic optimal control problem under both equality and inequality constraints on the expectation of some functionals of the controlled process. Under a qualification condition, we show that the problem is…
We consider an Ito stochastic differential equation with delay, driven by brownian motion, whose solution, by an appropriate reformulation, defines a Markov process $X$ with values in a space of continuous functions $\mathbf C$, with…
We consider the optimal control design problem for discrete-time LTI systems with state feedback, when the actuation signal is subject to unmeasurable switching propagation delays, due to e.g. the routing in a multi-hop communication…
We consider a stochastic control problem where the set of strict (classical) controls is not necessarily convex, and the system is governed by a nonlinear backward stochastic differential equation. By introducing a new approach, we…
This paper introduces a new recursive stochastic optimal control problem driven by a forward-backward stochastic differential equations (FBSDEs), where the ter?minal time varies according to the constraints of the state of the forward…
We consider stochastic control with discretionary stopping for the drift of a diffusion process over an infinite time horizon. The objective is to choose a control process and a stopping time to minimize the expectation of a convex terminal…
In many multi-player interactions, players incur strictly positive costs each time they execute actions e.g. 'menu costs' or transaction costs in financial systems. Since acting at each available opportunity would accumulate prohibitively…
This paper is concerned with stochastic impulse control problems in which the running cost changes depending on the impulse control. Because of such a dependence, it brings several difficulties when the usual dynamic programming principle…
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…
This paper presents a Newton-based stochastic extremum-seeking control method for real-time optimization in multi-input systems with distinct input delays. It combines predictor-based feedback and Hessian inverse estimation via stochastic…
This paper deals with the finite horizon optimal control problem for discrete-time Markov jump linear system with input delay. The correlation among the jumping parameters and the input delay are considered simultaneously, which forms the…
We study an optimal control problem in which both the objective function and the dynamic constraint contain an uncertain parameter. Since the distribution of this uncertain parameter is not exactly known, the objective function is taken as…
We introduce a new probabilistic method for solving a class of impulse control problems based on their representations as Backward Stochastic Differential Equations (BSDEs for short) with constrained jumps. As an example, our method is used…
We consider an optimal stochastic impulse control problem over an infinite time horizon motivated by a model of irreversible investment choices with fixed adjustment costs. By employing techniques of viscosity solutions and relying on…
In this study, we consider an optimal control problem driven by a stochastic differential system with a stopping time terminal cost functional. We establish the stochastic maximum principle for this new kind of an optimal control problem by…
In this manuscript we consider a class optimal control problem for stochastic differential delay equations. First, we rewrite the problem in a suitable infinite-dimensional Hilbert space. Then, using the dynamic programming approach, we…
We consider an optimal control problem for a system governed by a Volterra integral equation with impulsive terms. The impulses act on both the state and the control; the control consists of switchings at discrete times. The cost functional…
A novel model for dynamical traps in intermittent human control is proposed. It describes probabilistic, step-wise transitions between two modes of a subject's behavior - active and passive phases in controlling an object's dynamics - using…