相关论文: Singular control with state-dependent costs for L\…

We revisit the classical singular control problem of minimizing running and controlling costs. The problem arises in inventory control, as well as in healthcare management and mathematical finance. Existing studies have shown the optimality…

We consider a singular control problem that aims to maximize the expected cumulative rewards, where the instantaneous returns depend on the state of a controlled process. The contributions of this paper are twofold. Firstly, to establish…

We consider an optimal control problem for a linear stochastic integro-diffe\-rential equation with conic constraints on the phase variable and the control of singular-regular type. Our setting includes consumption-investment problems for…

We consider a class of two-sided singular control problems. A controller either increases or decreases a given spectrally negative Levy process so as to minimize the total costs comprising of the running and control costs where the latter…

We consider a stochastic optimal control problem governed by a stochastic differential equation with delay in the control. Using a result of existence and uniqueness of a sufficiently regular mild solution of the associated…

This study investigates a stochastic production planning problem with a running cost composed of quadratic production costs and inventory-dependent costs. The objective is to minimize the expected cost until production stops when inventory…

In this paper we study the optimal stochastic control problem for stochastic differential systems reflected in a domain. The cost functional is a recursive one, which is defined via generalized backward stochastic differential equations…

We investigate the long time behavior of weakly dissipative semilinear Hamilton-Jacobi-Bellman (HJB) equations and the turnpike property for the corresponding stochastic control problems. To this aim, we develop a probabilistic approach…

We study a version of the stochastic control problem of minimizing the sum of running and controlling costs, where control opportunities are restricted to independent Poisson arrival times. Under a general setting driven by a general L\'evy…

This paper studies stochastic control problems motivated by optimal consumption with wealth benchmark tracking. The benchmark process is modeled by a combination of a geometric Brownian motion and a running maximum process, indicating its…

We study a stochastic optimal control problem with the state constrained to a smooth, compact domain. The control influences both the drift and a possibly degenerate, control-dependent dispersion matrix, leading to a fully nonlinear,…

This paper, which is the natural continuation of a previous paper by the same authors, studies a class of optimal control problems with state constraints where the state equation is a differential equation with delays. This class includes…

We revisit an absolutely-continuous version of the stochastic control problem driven by a L\'evy process. A strategy must be absolutely continuous with respect to the Lebesgue measure and the running cost function is assumed to be convex.…

We consider an inventory system whose state is modeled by a L\'{e}vy process. There are two types of costs--the running costs and the inventory control costs. The running costs (also known as the holding/penalty costs) are incurred…

An optimal control problem is considered for a stochastic differential equation containing a state-dependent regime switching, with a recursive cost functional. Due to the non-exponential discounting in the cost functional, the problem is…

In this paper, we explore a new class of stochastic control problems characterized by specific control constraints. Specifically, the admissible controls are subject to the ratcheting constraint, meaning they must be non-decreasing over…

In this paper, we study a time-inconsistent stochastic optimal control problem with a recursive cost functional by a multi-person hierarchical differential game approach. An equilibrium strategy of this problem is constructed and a…

We study a class of optimal control problems with state constraints where the state equation is a differential equation with delays. This class includes some problems arising in economics, in particular the so-called models with time to…

We investigate an optimal control problem for a diffusion whose drift and running cost are merely measurable in the state variable. Such low regularity rules out the use of Pontryagin's maximum principle and also invalidates the standard…

In this paper, we study the optimal singular controls for stochastic recursive systems, in which the control has two components: the regular control, and the singular control. Under certain assumptions, we establish the dynamic programming…