相关论文: Optimal multi-dimensional stochastic harvesting wi…

We establish a connection between stochastic optimal control and generative models based on stochastic differential equations (SDEs), such as recently developed diffusion probabilistic models. In particular, we derive a…

This paper is concerned with the convergence rate of policy iteration for (deterministic) optimal control problems in continuous time. To overcome the problem of ill-posedness due to lack of regularity, we consider a semi-discrete scheme by…

This paper concerns an optimal dividend distribution problem for an insurance company with surplus-dependent premium. In the absence of dividend payments, such a risk process is a particular case of so-called piecewise deterministic Markov…

We prove a general existence result in stochastic optimal control in discrete time where controls take values in conditional metric spaces, and depend on the current state and the information of past decisions through the evolution of a…

We study control of constrained linear systems with only partial statistical information about the uncertainty affecting the system dynamics and the sensor measurements. Specifically, given a finite collection of disturbance realizations…

We study the optimal financing and dividend distribution problem with restricted dividend rates in a diffusion type surplus model where the drift and volatility coefficients are general functions of the level of surplus and the external…

Optimal control of harvested population at the edge of extinction in an unprotected area, is considered. The underlying population dynamics is governed by a Kolmogorov-Petrovsky-Piskunov equation with a harvesting term and space-dependent…

Inventory management problems with periodic and controllable resets occur in the context of managing water storage in the developing world and retailing limited-time availability products. In this paper, we consider a set of sequential…

We study the Merton problem of optimal consumption-investment for the case of two investors sharing a final wealth. The typical example would be a husband and wife sharing a portfolio looking to optimize the expected utility of consumption…

Optimal design of distributed decision policies can be a difficult task, illustrated by the famous Witsenhausen counterexample. In this paper we characterize the optimal control designs for the vector-valued setting assuming that it results…

We consider an ergodic harvesting problem with model ambiguity that arises from biology. To account for the ambiguity, the problem is constructed as a stochastic game with two players: the decision-maker (DM) chooses the `best' harvesting…

We prove convergence of the proximal policy gradient method for a class of constrained stochastic control problems with control in both the drift and diffusion of the state process. The problem requires either the running or terminal cost…

This article presents a constrained policy optimization approach for the optimal control of systems under nonstationary uncertainties. We introduce an assumption that we call Markov embeddability that allows us to cast the stochastic…

We consider an optimal dividend payout problem for an insurance company whose surplus follows the classical Cram\'er-Lundberg model. The dividend rate is subject to a ratcheting constraint (i.e., it must be nondecreasing over time), and the…

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…

Consider a species whose population density solves the steady diffusive logistic equation in a heterogeneous environment modeled with the help of a spatially non constant coefficient standing for a resources distribution in a given box. We…

Optimal stopping is the problem of deciding when to stop a stochastic system to obtain the greatest reward, arising in numerous application areas such as finance, healthcare and marketing. State-of-the-art methods for high-dimensional…

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…

This paper studies decision problems where the decision maker's choice of action affects the probability distribution of a payoff relevant random variable. We establish sufficient conditions for the existence of an expected utility…

We present a novel computational framework for density control in high-dimensional state spaces. The considered dynamical system consists of a large number of indistinguishable agents whose behaviors can be collectively modeled as a…