相关论文: Singular Control in Inventory Management with Smoo…
We consider an optimal stochastic impulse control problem over an infinite time horizon motivated by a model of irreversible investment choices with fixed adjustment costs. By employing techniques of viscosity solutions and relying on…
We develop a mathematical model for sailboat navigation that can play the same role that the Black and Scholes model plays in mathematical finance: it captures essential features of sailboat navigation, it can provide insights that might…
In this paper, we consider the portfolio optimization problem in a financial market where the underlying stochastic volatility model is driven by n-dimensional Brownian motions. At first, we derive a Hamilton-Jacobi-Bellman equation…
This paper revisits the question of duality between minimum variance estimation and optimal control first described for the linear Gaussian case in the celebrated paper of Kalman and Bucy. A duality result is established for nonlinear…
This paper is concerned with a kind of linear-quadratic (LQ) optimal control problem of backward stochastic differential equation (BSDE) with partial information. The cost functional includes cross terms between the state and control, and…
We study singular perturbations of a class of two-scale stochastic control systems with unbounded data. The assumptions are designed to cover some relaxation problems for deep neural networks. We construct effective Hamiltonian and initial…
This work aims to control the dynamics of certain non-Newtonian fluids in a bounded domain of $\mathbb{R}^d$, $d=2,3$ perturbed by a multiplicative Wiener noise, the control acts as a predictable distributed random force, and the goal is to…
A key challenge in inventory management is to identify policies that optimally replenish inventory from multiple suppliers. To solve such optimization problems, inventory managers need to decide what quantities to order from each supplier,…
We study an optimal control problem on infinite time horizon with semimartingale strategies, random coefficients and regime switching. The value function and the optimal strategy can be characterized in terms of three systems of backward…
In this article we present a general framework for non-concave robust stochastic control problems under model uncertainty in a discrete time finite horizon setting. Our framework allows to consider a variety of different path-dependent…
This work presents a technique for learning systems, where the learning process is guided by knowledge of the physics of the system. In particular, we solve the problem of the two-point boundary optimal control problem of linear…
We study an optimal control problem with a quadratic cost functional for non-Newtonian fluids of differential type. More precisely, we consider the system governing the evolution of a second grade fluid filling a two-dimensional bounded…
This paper focuses on the discrete-time backward stochastic linear quadratic (BSLQ) optimal control problem with nonhomogeneous system terms and cost function cross terms. The terminal constraint of such systems distinguishes it from…
Optimizing the controls of quantum systems plays a crucial role in advancing quantum technologies. The time-varying noises in quantum systems and the widespread use of inhomogeneous quantum ensembles raise the need for high-quality quantum…
This paper is concerned with a discrete-time mean-field stochastic linear-quadratic optimal control problem arose from financial application. Through matrix dynamical optimization method, a group of linear feedback controls is investigated.…
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 consider the determination of the optimal stationary singular stochastic control of a linear diffusion for a class of average cumulative cost minimization problems arising in various financial and economic applications of stochastic…
The hybrid optimal control problem with reach time to a target set is addressed and the continuity and uniqueness of the associated value function is proved. Hybrid systems involves interaction of different types of dynamics: continuous and…
We consider the problem of optimal control for partially observed dynamical systems. Despite its prevalence in practical applications, there are still very few algorithms available, which take uncertainties in the current state estimates…
A singular stochastic control problem with state constraints in two-dimensions is studied. We show that the value function is $C^1$ and its directional derivatives are the value functions of certain optimal stopping problems. Guided by the…