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pro vyhledávání: '"49L20"'
Zero-sum Dynkin games under the Poisson constraint have been studied widely in the recent literature. In such a game the players are only allowed to stop at the event times of a Poisson process. The constraint can be modelled in two different ways: e
Externí odkaz:
http://arxiv.org/abs/2411.07134
Autor:
Marko, Jonas, Wachsmuth, Gerd
We investigate a broad class of integer optimal control problems with vector-valued controls and switching regularization using a total variation functional involving the p-norm, which influences the structure of a solution. We derive optimality cond
Externí odkaz:
http://arxiv.org/abs/2411.06856
Autor:
Baradel, Nicolas, Cormier, Quentin
We consider an optimal control problem inspired by neuroscience, where the dynamics is driven by a Poisson process with a controlled stochastic intensity and an uncertain parameter. Given a prior distribution for the unknown parameter, we describe it
Externí odkaz:
http://arxiv.org/abs/2411.04917
Autor:
Steg, Jan-Henrik
This paper studies oligopolistic irreversible investment with closed-loop strategies. These permit fully dynamic interactions that result in much richer strategic behavior than previous studies with open-loop strategies allow. The tradeoff between pr
Externí odkaz:
http://arxiv.org/abs/2410.17673
This paper studies the robust portfolio selection problem under a state-dependent confidence set. The investor invests in a financial market with a risk-free asset and a risky asset. The ambiguity-averse investor faces uncertainty over the drift of t
Externí odkaz:
http://arxiv.org/abs/2409.19571
Autor:
Gaspard, Mallory E.
This letter proposes a novel continuous-time dynamic programming framework to determine when it is optimal for a pursuer to use MC amidst uncertainty in the evader's escape attempt time. We motivate this framework through the model problem of an ener
Externí odkaz:
http://arxiv.org/abs/2409.09890
We present a novel second-order trajectory optimization algorithm based on Stein Variational Newton's Method and Maximum Entropy Differential Dynamic Programming. The proposed algorithm, called Stein Variational Differential Dynamic Programming, is a
Externí odkaz:
http://arxiv.org/abs/2409.04644
Autor:
Bandini, Elena, Keller, Christian
We study the optimal control of path-dependent piecewise deterministic processes. An appropriate dynamic programming principle is established. We prove that the associated value function is the unique minimax solution of the corresponding non-local p
Externí odkaz:
http://arxiv.org/abs/2408.02147
Autor:
Gee, Marissa, Vladimirsky, Alexander
Piecewise-deterministic Markov processes (PDMPs) are often used to model abrupt changes in the global environment or capabilities of a controlled system. This is typically done by considering a set of "operating modes" (each with its own system dynam
Externí odkaz:
http://arxiv.org/abs/2408.01335
Autor:
Pates, Richard, Rantzer, Anders
An optimal control problem on finite-dimensional positive cones is stated. Under a critical assumption on the cone, the corresponding Bellman equation is satisfied by a linear function, which can be computed by convex optimization. A separate theorem
Externí odkaz:
http://arxiv.org/abs/2407.18774