Related papers: On the smooth-fit property for one-dimensional opt…

In this paper we show existence and uniqueness of a solution for a system of m variational partial differential inequalities with inter-connected obstacles. This system is the deterministic version of the Verification Theorem of the…

The maximality principle has been a valuable tool in identifying the free-boundary functions that are associated with the solutions to several optimal stopping problems involving one-dimensional time-homogeneous diffusions and their running…

We show that attractive, translation invariant, one-dimensional spin systems started from the unit step function possess the following basic property. At any time, the entire configuration from a point onward is stochastically decreasing…

We consider optimal control problems with integer-valued controls and a total variation regularization penalty in the objective on domains of dimension two or higher. The penalty yields that the feasible set is sequentially closed in the…

This paper is concerned with a discounted stochastic optimal control problem for regime switching diffusion in an infinite horizon. First, as a preliminary with particular interests in its own right, the global well-posedness of infinite…

In this article, we study the optimization of resource distributions in a one-dimensional logistic diffusive model. The goal is to determine a distribution on a bounded one-dimensional domain that maximizes the total population at…

Motivated by networked systems in random environment and controlled hybrid stochastic dynamic systems, this work focuses on modeling and analysis of a class of switching diffusions consisting of continuous and discrete components. Novel…

We study optimal control problems for interacting branching diffusion processes, a class of measure-valued dynamics capturing both spatial motion and branching mechanisms. From the perspective of the dynamic programming principle, we…

We study a stochastic control problem on a bounded domain, which arises from a continuous-time optimal management model. Via the corresponding Hamilton-Jacobi-Bellman equation the value function is shown to be jointly continuous and to…

The hybrid optimal control problem with reach time to a target set is addressed and the continuity and uniqueness of the associated value function is proved. Hybrid systems involves interaction of different types of dynamics: continuous and…

In this paper we study the optimal m-states switching problem in finite horizon as well as infinite horizon with risk of default. We allow the switching cost functionals and cost of default to be of polynomial growth and arbitrary. We show…

In this paper we study the problem of optimal dividend payment strategy which maximizes the expected discounted sum of dividends to a multidimensional set up of n associated insurance companies where the surplus process follows an…

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 study a specific class of finite-horizon mean field optimal stopping problems by means of the dynamic programming approach. In particular, we consider problems where the state process is not affected by the stopping time. Such problems…

This paper aims to study the relationship between the maximum principle and the dynamic programming principle for recursive optimal control problem of stochastic evolution equations, where the control domain is not necessarily convex and…

In this work we provide explicit conditions on the existence of optimal feedback controls for stochastic processes with regime-switching. We use the compactification method which needs less regularity conditions on the coefficients of the…

We study a stochastic optimal control problem for jump-diffusion systems whose drift coefficient is piecewise Lipschitz continuous and exhibits threshold-induced discontinuities. Such dynamics naturally arise in applications with…

This work studies a class of switching diffusion systems where the switching component takes values in a countable state space and its transition rates depend on the history of the continuous component. Under suitable conditions, we…

We investigate propagation of convexity and convex ordering on a typical discrete-time stochastic optimal control problem, namely the pricing of swing option. The dynamics of the underlying asset is modelled by the Euler scheme of a…

We study sequential cost-efficient design in a situation where each update of covariates involves a fixed time cost typically considerable compared to a single measurement time. The problem arises from parameter estimation in switching…