Related papers: A Direct Solution Method for Stochastic Impulse Co…
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…
We consider a stochastic impulse control problem that is motivated by applications such as the optimal exploitation of a natural resource. In particular, we consider a stochastic system whose uncontrolled state dynamics are modelled by a…
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 characterize the optimal control for a class of singular stochastic control problems as the unique solution to a related Skorokhod reflection problem. The considered optimization problems concern the minimization of a discounted cost…
Reflected diffusions naturally arise in many problems from applications ranging from economics and mathematical biology to queueing theory. In this paper we consider a class of infinite time-horizon singular stochastic control problems for…
We study a single risky financial asset model subject to price impact and transaction cost over an finite time horizon. An investor needs to execute a long position in the asset affecting the price of the asset and possibly incurring in…
In this paper, we propose a direct solution method for optimal switching problems of one-dimensional diffusions. This method is free from conjectures about the form of the value function and switching strategies, or does not require the…
This paper is concerned with solutions to a one dimensional linear diffusion equation and their relation to some problems in stochastic control theory. A stochastic variational formula is obtained for the logarithm of the solution to the…
This paper studies regularity property of the value function for an infinite-horizon discounted cost impulse control problem, where the underlying controlled process is a multidimensional jump diffusion with possibly `infinite-activity'…
This paper analyzes a class of impulse control problems for multi-dimensional jump diffusions in the finite time horizon. Following the basic mathematical setup from Stroock and Varadhan \cite{StroockVaradhan06}, this paper first…
We prove two duality descriptions of the value function for a generic stochastic optimal problem. These descriptions also hold when the diffusion is controlled, a case left open by the literature so far.
Consider a set of discounted optimal stopping problems for a one-parameter family of objective functions and a fixed diffusion process, started at a fixed point. A standard problem in stochastic control/optimal stopping is to solve for the…
Scheduling control problems for a family of unitary networks under heavy traffic with general interarrival and service times, probabilistic routing and an infinite horizon discounted linear holding cost are studied. Diffusion control…
We explicitly solve the optimal switching problem for one-dimensional diffusions by directly employing the dynamic programming principle and the excessive characterization of the value function. The shape of the value function and the…
We consider the problem of representing the value of singular stochastic control problems of linear diffusions as expected suprema. Setting the value accrued from following a standard reflection policy equal with the expected value of a…
We consider the determination of the optimal stationary singular stochastic control of a linear diffusion for a class of average cumulative cost minimization problems arising in various financial and economic applications of stochastic…
We consider a general class of stochastic optimal control problems, where the state process lives in a real separable Hilbert space and is driven by a cylindrical Brownian motion and a Poisson random measure; no special structure is imposed…
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…
This paper studies a {\it reversible} investment problem where a social planner aims to control its capacity production in order to fit optimally the random demand of a good. Our model allows for general diffusion dynamics on the demand as…
We provide an overview on how to use the measurable selection techniques to derive the dynamic programming principle for a general stochastic optimal control/stopping problem. By considering its martingale problem formulation on the…