相关论文: A Direct Solution Method for Stochastic Impulse Co…

This paper investigates the exact controllability problem for multi-dimensional stochastic first-order symmetric hyperbolic systems with control inputs acting in two distinct ways: an internal control applied to the diffusion term and a…

We consider the scheduling control problem for a family of unitary networks under heavy traffic, with general interarrival and service times, probabilistic routing and infinite horizon discounted linear holding cost. A natural…

A general continuous mean-variance problem is considered for a diffusion controlled process where the reward functional has an integral and a terminal-time component. The problem is transformed into a superposition of a static and a dynamic…

The stochastic knapsack has been used as a model in wide ranging applications from dynamic resource allocation to admission control in telecommunication. In recent years, a variation of the model has become a basic tool in studying problems…

In this paper we study the optimal stochastic control problem for a path-dependent stochastic system under a recursive path-dependent cost functional, whose associated Bellman equation from dynamic programming principle is a path-dependent…

We study the problem of computing the value function from a discretely-observed trajectory of a continuous-time diffusion process. We develop a new class of algorithms based on easily implementable numerical schemes that are compatible with…

A class of optimal control problems governed by linear fractional diffusion equation with control constraint is considered. We first establish some results on the existence of strong solution to the state equation and the existence of…

In this paper we investigate a path dependent optimal control problem on the process space with both drift and volatility controls, with possibly degenerate volatility. The dynamic value function is characterized by a fully nonlinear second…

Optimal control theory is usually formulated as an indirect method requiring the solution of a two-point boundary value problem. Practically, the solution is obtained by iterative forward and backward propagation of quantum wavepackets.…

For a type of employee stock option (ESO) and an American put option with a barrier, we obtain closed-form formulae for the value functions and provide a complete characterization for optimal stopping/continuation regions. Some comparison…

The main objective of this paper is the construction of the solution of an impulsive stochastic differential equation, subject to control conditions in the pulse-times and give sufficient conditions for them to be random variables with…

This paper focuses on finding approximate solutions to stochastic optimal control problems with control domains being not necessarily convex, where the state trajectory is subject to controlled stochastic differential equations. The…

The control function approach allows the researcher to identify various causal effects of interest. While powerful, it requires a strong invertibility assumption in the selection process, which limits its applicability. This paper expands…

In this paper, we consider a stochastic Model Predictive Control able to account for effects of additive stochastic disturbance with unbounded support, and requiring no restrictive assumption on either independence nor Gaussianity. We…

We study the numerical solution of nonlinear partially observed optimal stopping problems. The system state is taken to be a multi-dimensional diffusion and drives the drift of the observation process, which is another multi-dimensional…

Consider the optimal stopping problem of a one-dimensional diffusion with positive discount. Based on Dynkin's characterization of the value as the minimal excessive majorant of the reward and considering its Riesz representation, we give…

The optimal control problem of stochastic systems is commonly solved via robust or scenario-based optimization methods, which are both challenging to scale to long optimization horizons. We cast the optimal control problem of a stochastic…

Path Integral Control methods were developed for stochastic optimal control covering a wide class of finite horizon formulations with control affine nonlinear dynamics. Characteristic for this class is that the HJB equation is linear and…

We consider a class of infinite-dimensional singular stochastic control problems. These can be thought of as spatial monotone follower problems and find applications in spatial models of production and climate transition. Let…

We discuss a class of debt management problems in a stochastic environment model. We propose a model for the debt-to-GDP (Gross Domestic Product) ratio where the government interventions via fiscal policies affect the public debt and the…