Related papers: Impulse control problem on finite horizon with exe…
Regularity of the impulse control problem for a non-degenerate $n$-dimensional jump diffusion with infinite activity and finite variation jumps was recently examined by Davis, Guo, and Wu (SICON 2010). Here we extend the analysis to include…
This article explores an optimal stopping problem for branching diffusion processes. It consists in looking for optimal stopping lines, a type of stopping time that maintains the branching structure of the processes under analysis. By using…
We consider optimal control problems for diffusion processes, where the objective functional is defined by a time-consistent dynamic risk measure. We focus on coherent risk measures defined by $g$-evaluations. For such problems, we…
This paper considers a class of stochastic control problems with implicitly defined objective functions, which are the sources of time-inconsistency. We study the closed-loop equilibrium solutions in a general controlled diffusion…
A finite horizon optimal stopping problem for an infinite dimensional diffusion $X$ is analyzed by means of variational techniques. The diffusion is driven by a SDE on a Hilbert space $\mathcal{H}$ with a non-linear diffusion coefficient…
In recent years, controllability problems for dispersive systems have been extensively studied. This work is dedicated to proving a new type of controllability for a dispersive fifth order equation that models water waves, what we will now…
We consider a class of stochastic impulse control problems of general stochastic processes i.e. not necessarily Markovian. Under fairly general conditions we establish existence of an optimal impulse control. We also prove existence of…
We consider an impulse control problem in infinite horizon applied with switching technology. We suppose that the firm decides at certain moments (impulse moments) to switch technology, leading to a jump of the firm value. We show that the…
This paper studies value iteration for infinite horizon contracting Markov decision processes under convexity assumptions and when the state space is uncountable. The original value iteration is replaced with a more tractable form and the…
This work investigates an elliptic optimal control problem defined on uncertain domains and discretized by a fictitious domain finite element method and cut elements. Key ingredients of the study are to manage cases considering the usually…
In this paper, we solve an open problem and obtain a general maximum principle for a stochastic optimal control problem where the control domain is an arbitrary non-empty set and all the coefficients (especially the diffusion term and the…
We consider a long-run impulse control problem for a generic Markov process with a multiplicative reward functional. We construct a solution to the associated Bellman equation and provide a verification result. The argument is based on the…
In this paper we investigate infinite horizon optimal control problems for parametrized partial differential equations. We are interested in feedback control via dynamic programming equations which is well-known to suffer from the curse of…
The main objective of this paper is the construction of the solution of an impulsive stochastic differential equation, subject to control conditions in the pulse-times and give sufficient conditions for them to be random variables with…
We consider a class of diffusions controlled through the drift and jump size, and driven by a jump L\'evy process and a nondegenerate Wiener process, and we study infinite horizon (ergodic) risk-sensitive control problem for this model. We…
We consider an impulse control problem in infinite horizon. To solve this problem, we extend to the infinite horizon case results of double barrier reflected backward stochastic differential equations. The properties of the Snell envelope…
We consider a two-player zero-sum deterministic differential game where each player uses both continuous and impulse controls in infinite-time horizon. We assume that the impulses supposed to be of general term and the costs depend on the…
This paper investigates the random horizon optimal stopping problem for measure-valued piecewise deterministic Markov processes (PDMPs). This is motivated by population dynamics applications, when one wants to monitor some characteristics…
We consider a nonlinear system, affine with respect to an unbounded control $u$ which is allowed to range in a closed cone. To this system we associate a Bolza type minimum problem, with a Lagrangian having sublinear growth with respect to…
We study the problem of learning the optimal control policy for fine-tuning a given diffusion process, using general value function approximation. We develop a new class of algorithms by solving a variational inequality problem based on the…