Related papers: Impulse control problem on finite horizon with exe…
We consider the problem of impulse control minimax in finite horizon, when cost functions $(C(t,x,\xi)>0)$. We show existence of value function of the problem. Moreover, the value function is characterized as the unique viscosity solution…
In this paper, we aim to develop the theory of optimal stochastic control for branching diffusion processes where both the movement and the reproduction of the particles depend on the control. More precisely, we study the problem of…
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…
We develop a mixed control framework that combines absolutely continuous controls with impulse interventions subject to stochastic execution delays. The model extends current impulse control formulations by allowing (i) the controller to…
We consider stochastic impulse control problems where the process is driven by a general one-dimensional diffusion. We shall show a new mathematical characterization of the value function as a linear function in a certain transformed space.…
We develop Bellman equation based approach for infinite time horizon optimal impulsive control problems. Both discounted and time average criteria are considered. We establish very general and at the same time natural conditions under which…
This paper is concerned with a stochastic recursive optimal control problem with time delay, where the controlled system is described by a stochastic differential delayed equation (SDDE) and the cost functional is formulated as the solution…
In this manuscript we consider optimal control problems of stochastic differential equations with delays in the state and in the control. First, we prove an equivalent Markovian reformulation on Hilbert spaces of the state equation. Then,…
The objective of this work is to study continuous-time Markov decision processes on a general Borel state space with both impulsive and continuous controls for the infinite-time horizon discounted cost. The continuous-time controlled…
The classical Dynamic Programming (DP) approach to optimal control problems is based on the characterization of the value function as the unique viscosity solution of a Hamilton-Jacobi-Bellman (HJB) equation. The DP scheme for the numerical…
We consider infinite horizon dynamic programming problems, where the control at each stage consists of several distinct decisions, each one made by one of several agents. In an earlier work we introduced a policy iteration algorithm, where…
In this paper, an open problem is solved, for the stochastic optimal control problem with delay where the control domain is nonconvex and the diffusion term contains both control and its delayed term. Inspired by previous results by \O…
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…
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…
In this work, solution of the finite horizon hybrid optimal control problem as the central element of the receding horizon optimal control (model predictive control) is investigated based on the indirect approach. The response of a hybrid…
We consider discrete-time infinite horizon deterministic optimal control problems with nonnegative cost per stage, and a destination that is cost-free and absorbing. The classical linear-quadratic regulator problem is a special case. Our…
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…
We consider dynamic programming problems with finite, discrete-time horizons and prohibitively high-dimensional, discrete state-spaces for direct computation of the value function from the Bellman equation. For the case that the value…
This paper is devoted to the analysis of a finite horizon discrete-time stochastic optimal control problem, in presence of constraints. We study the regularity of the value function which comes from the dynamic programming algorithm. We…
Model Predictive Control has emerged as a popular tool for robots to generate complex motions. However, the real-time requirement has limited the use of hard constraints and large preview horizons, which are necessary to ensure safety and…