相关论文: Solution Existence Theorems for Finite Horizon Opt…
This paper is concerned with a time-inconsistent stochastic optimal control problem in an infinite time horizon with a non-degenerate diffusion in the state equation. A major assumption is that people become rational after a large time.…
For a general optimal control problem for dynamical systems with hybrid dynamics, we study the dependency of the optimal cost and of the value function on the initial conditions, parameters, and perturbations. We show that upper and lower…
The Yakubovich Frequency Theorem, in its periodic version and in its general nonautonomous extension, establishes conditions which are equivalent to the global solvability of a minimization problem of infinite horizon type, given by the…
We study a finite horizon optimal contracting problem of a risk-neutral principal and a risk-averse agent who receives a stochastic income stream when the agent is unable to make commitments. The problem involves an infinite number of…
The famous proof of the Pontryagin maximum principle for control problems on a finite horizon bases on the needle variation technique, as well as the separability concept of cones created by disturbances of the trajectories. In this…
This paper is concerned with the axiomatic foundation and explicit construction of a general class of optimality criteria that can be used for investment problems with multiple time horizons, or when the time horizon is not known in…
In this paper we deal with infinite horizon optimal control problems. Basing on weak variations in an extremal problem in weighted function spaces we prove necessary conditions in form of the adjoint equation and a variational inequality.…
We study quadratic optimal stochastic control problems with control dependent noise state equation perturbed by an affine term and with stochastic coefficients. Both infinite horizon case and ergodic case are treated. To this purpose we…
As is well known, average-cost optimality inequalities imply the existence of stationary optimal policies for Markov Decision Processes with average costs per unit time, and these inequalities hold under broad natural conditions. This paper…
This paper studies the infinite-horizon optimal consumption with a path-dependent reference under exponential utility. The performance is measured by the difference between the nonnegative consumption rate and a fraction of the historical…
In the paper we consider the infinite horizon control problems on the interval with free right-hand endpoint. We obtain the necessary conditions of strict optimality. The method of the proof actually follows the classic paper by Halkin, and…
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…
This paper is concerned with a stochastic linear quadratic (LQ, for short) control problem with a recursive cost functional in an infinite horizon. A main difficult is well-posedness of the BSDE in $L^1$ and in infinite horizon. A notion of…
We establish existence and uniqueness of solution for the homogeneous Dirichlet problem associated to a fairly general class of elliptic equations modeled by $$ -\Delta u= h(u){f} \ \ \text{in}\,\ \Omega, $$ where $f$ is an irregular datum,…
We consider a problem of optimal investment with intermediate consumption in the framework of an incomplete semimartingale model of a financial market. We show that a necessary and sufficient condition for the validity of key assertions of…
We prove the existence of optimal strategies for agents with cumulative prospect theory preferences who trade in a continuous-time illiquid market, transcending known results which pertained only to risk-averse utility maximizers. The…
In this paper we investigate necessary conditions of optimality for infinite-horizon optimal control problems with overtaking optimality as an optimality criterion. For the case of local Lipschitz continuity of the payoff function, we…
The paper concerns the study of the Pontryagin Maximum Principle for an infinite dimensional and infinite horizon boundary control problem for linear partial differential equations. The optimal control model has already been studied both in…
We study so{\`u}e infinite-horizon optimization problems on spaces of periodic functions for non periodic Lagrangians. The main strategy relies on the reduction to finite horizon thanks in the introduction of an avering operator.We then…
We consider an optimal control problem for the steady-state Kirchhoff equation, a prototype for nonlocal partial differential equations, different from fractional powers of closed operators. Existence and uniqueness of solutions of the…