相关论文: Impulse control problem on finite horizon with exe…
In this paper we consider a broad class of infinite horizon discrete-time optimal control models that involve a nonnegative cost function and an affine mapping in their dynamic programming equation. They include as special cases classical…
We consider a problem of optimal control of an infinite horizon system governed by forward-backward stochastic differential equations with delay. Sufficient and necessary maximum principles for optimal control under partial information in…
We present a methodology for obtaining explicit solutions to infinite time horizon optimal stopping problems involving general, one-dimensional, It\^o diffusions, payoff functions that need not be smooth and state-dependent discounting.…
In this manuscript we consider a class optimal control problem for stochastic differential delay equations. First, we rewrite the problem in a suitable infinite-dimensional Hilbert space. Then, using the dynamic programming approach, we…
This paper studies regularity property of the value function for an infinite-horizon discounted cost impulse control problem, where the underlying controlled process is a multidimensional jump diffusion with possibly `infinite-activity'…
We consider a class of exit--time control problems for nonlinear systems with a nonnegative vanishing Lagrangian. In general, the associated PDE may have multiple solutions, and known regularity and stability properties do not hold. In this…
These notes present preliminary results regarding two different approximations of linear infinite-horizon optimal control problems arising in model predictive control. Input and state trajectories are parametrized with basis functions and a…
The solution to the infinite horizon optimal control problem for linear distributed time-delay systems is presented. The proposal is based on the use of the Cauchy solution for distributed time-delay systems. In contrast with previous…
We study here the impulse control minimax problem. We allow the cost functionals and dynamics to be unbounded and hence the value functions can possibly be unbounded. We prove that the value function of the problem is continuous. Moreover,…
Controlling systems of ordinary differential equations (ODEs) is ubiquitous in science and engineering. For finding an optimal feedback controller, the value function and associated fundamental equations such as the Bellman equation and the…
In this paper, we investigate dynamic optimization problems featuring both stochastic control and optimal stopping in a finite time horizon. The paper aims to develop new methodologies, which are significantly different from those of mixed…
In this paper we extend dynamic programming techniques to the study of discrete-time infinite horizon optimal control problems on compact control invariant sets with state-independent best asymptotic average cost. To this end we analyse the…
We study a hybrid control system in which both discrete and continuous controls are involved. The discrete controls act on the system at a given set interface. The state of the system is changed discontinuously when the trajectory hits…
In this paper, we accomplish two objectives: First, we provide a new mathematical characterization of the value function for impulse control problems with implementation delay and present a direct solution method that differs from its…
In this work we show that one can solve a finite horizon non-Markovian impulse control problem with control dependant dynamics. This dynamic satisfies certain functional Lipschitz conditions and is path dependent in such a way that the…
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…
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 describe a nonlinear generalization of dual dynamic programming theory and its application to value function estimation for deterministic control problems over continuous state and action spaces, in a discrete-time infinite horizon…
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…
In this paper, we investigate the exact controllability properties of an advection-diffusion equation on a bounded domain, using time- and space-dependent velocity fields as the control parameters. This partial differential equation (PDE)…