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

Given two probability measures on sequential data, we investigate the transport problem with time-inconsistent preferences in a discrete-time setting. Motivating examples are nonlinear objectives, state-dependent costs, and regularized…

In this paper, we study an optimal stopping problem in the presence of model uncertainty and regime switching. The max-min formulation for robust control and the dynamic programming approach are adopted to establish a general theoretical…

Many algorithms have been proposed in prior literature to guarantee resilient multi-agent consensus in the presence of adversarial attacks or faults. The majority of prior work present excellent results that focus on discrete-time or…

We study a generic family of two-player continuous-time nonzero-sum stopping games modeling a war of attrition with symmetric information and stochastic payoffs that depend on an homogeneous linear diffusion. We first show that any…

We provide a characterization of an optimal stopping time for a class of finite horizon time-inconsistent optimal stopping problems (OSPs) of mean-field type, adapted to the Brownian filtration, including those related to mean-field…

Diffusion of a penetrating liquid in a polymeric material does not often satisfy the classical diffusion equations and requires taking relaxational (viscoelastic) properties of the polymer into account. We investigate a boundary value…

In this paper, we propose two discontinuous dynamical systems in continuous time with guaranteed prescribed finite-time local convergence to strict local minima of a given cost function. Our approach consists of exploiting a Lyapunov-based…

This paper studies the problem of output agreement in networks of nonlinear dynamical systems under time-varying disturbances. Necessary and sufficient conditions for output agreement are derived for the class of incrementally passive…

This paper investigates a time-inconsistent portfolio selection problem in the incomplete mar ket model, integrating expected utility maximization with risk control. The objective functional balances the expected utility and variance on log…

In this paper, we study proximal type dynamics in the context of noncooperative multi-agent network games. These dynamics arise in different applications, since they describe distributed decision making in multi-agent networks, e.g., in…

The value function of an optimal stopping problem for jump diffusions is known to be a generalized solution of a variational inequality. Assuming that the diffusion component of the process is nondegenerate and a mild assumption on the…

The main aim of the current work is the study of the conditions under which (finite-time) blow-up of a non-local stochastic parabolic problem occurs. We first establish the existence and uniqueness of the local-in-time weak solution for…

We study the optimal portfolio liquidation problem over a finite horizon in a limit order book with bid-ask spread and temporary market price impact penalizing speedy execution trades. We use a continuous-time modeling framework, but in…

We address the stability problem for linear switching systems with mode-dependent restrictions on the switching intervals. Their lengths can be bounded as from below (the guaranteed dwell-time) as from above. The upper bounds make this…

In this paper we study simulation based optimization algorithms for solving discrete time optimal stopping problems. This type of algorithms became popular among practioneers working in the area of quantitative finance. Using large…

This paper studies the problem of passive grasp stability under an external disturbance, that is, the ability of a grasp to resist a disturbance through passive responses at the contacts. To obtain physically consistent results, such a…

In this paper, we continue our study on a general time-inconsistent stochastic linear--quadratic (LQ) control problem originally formulated in [6]. We derive a necessary and sufficient condition for equilibrium controls via a flow of…

We study stochastic optimal control problems for (possibly degenerate) McKean-Vlasov controlled diffusions and obtain discrete-time as well as finite interacting particle approximations. (i) Under mild assumptions, we first prove the…

We consider the optimal stopping of a class of spectrally negative jump diffusions. We state a set of conditions under which the value is shown to have a representation in terms of an ordinary nonlinear programming problem. We establish a…

This article deals with the consensus problem involving agents with time-varying singularities in the dynamics or communication in undirected graph networks. Existing results provide control laws which guarantee asymptotic consensus. These…