相关论文: Local time pushed mixed stopping and smooth fit fo…

This paper is devoted to the distributed continuous-time optimization problem with time-varying objective functions and time-varying nonlinear inequality constraints. Different from most studied distributed optimization problems with…

We consider a singular stochastic control problem, which is called the Monotone Follower Stochastic Control Problem and give sufficient conditions for the existence and uniqueness of a local-time type optimal control. To establish this…

This paper develops a time-inconsistent and path-dependent singular control framework incorporating a running minimum process. We derive a verification theorem that characterizes equilibria under substantially weaker regularity conditions…

We extend the construction of equilibria for linear-quadratic and mean-variance portfolio problems available in the literature to a large class of mean-field time-inconsistent stochastic control problems in continuous time. Our approach…

We consider an optimal stopping time problem related with many models found in real options problems. The main goal of this work is to bring for the field of real options, different and more realistic pay-off functions, and negative…

We investigate stability of a solution of a hybrid system in the sense that the graphs of solutions from nearby initial conditions remain close and tend towards the graph of the given solution. In this manner, a small continuous-time…

In this article, we study the classical finite-horizon optimal stopping problem for multidimensional diffusions through an approach that differs from what is typically found in the literature. More specifically, we first prove a key…

The paper [12] examines a concept of equilibrium policies instead of optimal controls in stochastic optimization to analyze a mean-variance portfolio selection problem. We follow the same approach in order to investigate the Merton…

We study a time-inconsistent singular control problem originating from irreversible reinsurance decisions with non-exponential discount. A novel definition of equilibrium for time-inconsistent singular control problems is introduced. For…

The paper studies a class of multidimensional optimal stopping problems with infinite horizon for linear switching diffusions. There are two main novelties in the optimal problems considered: the underlying stochastic process has…

A new definition of continuous-time equilibrium controls is introduced. As opposed to the standard definition, which involves a derivative-type operation, the new definition parallels how a discrete-time equilibrium is defined, and allows…

This paper studies the large time behavior of aggregation-diffusion equations. For one spatial dimension with certain assumptions on the interaction potential, the diffusion index $m$, and the initial data, we prove the convergence to the…

This paper is interested in the problem of optimal stopping in a mean field game context. The notion of mixed solution is introduced to solve the system of partial differential equations which models this kind of problem. This notion…

We study discrete time linear constrained switching systems with additive disturbances, in which the switching may be on the system matrices, the disturbance sets, the state constraint sets or a combination of the above. In our general…

We formulate an optimal stopping problem for a geometric Brownian motion where the probability scale is distorted by a general nonlinear function. The problem is inherently time inconsistent due to the Choquet integration involved. We…

We investigate the impact of noise on a two-dimensional simple paradigmatic piecewise-smooth dynamical system. For that purpose we consider the motion of a particle subjected to dry friction and coloured noise. The finite correlation time…

In this paper, we study multi-agent network games subject to affine time-varying coupling constraints and a time-varying communication network. We focus on the class of games adopting proximal dynamics and study their convergence to a…

In this paper, we formulate a general time-inconsistent stochastic linear--quadratic (LQ) control problem. The time-inconsistency arises from the presence of a quadratic term of the expected state as well as a state-dependent term in the…

We study the value and the optimal strategies for a two-player zero-sum optimal stopping game with incomplete and asymmetric information. In our Bayesian set-up, the drift of the underlying diffusion process is unknown to one player…

We study a model of two-player, zero-sum, stopping games with asymmetric information. We assume that the payoff depends on two continuous-time Markov chains (X, Y), where X is only observed by player 1 and Y only by player 2, implying that…