A risk-sensitive ergodic singular stochastic control problem
Fuente:
arXiv
Saved in:
| Main Authors: | Gwee, Justin, Zervos, Mihail |
|---|---|
| Format: | Preprint |
| Published: |
2025
|
| Subjects: | |
| Online Access: | |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
Similar Items
The Solution to an Impulse Control Problem Motivated by Optimal Harvesting
by: Liu, Zhesheng, et al.
Published: (2024)
by: Liu, Zhesheng, et al.
Published: (2024)
Singular stochastic control problems motivated by the optimal sustainable exploitation of an ecosystem
by: Liang, Gechun, et al.
Published: (2020)
by: Liang, Gechun, et al.
Published: (2020)
Small noise perturbations of stochastic ergodic control problems
by: Kumar, K. Suresh, et al.
Published: (2024)
by: Kumar, K. Suresh, et al.
Published: (2024)
Blackwell optimality in risk-sensitive stochastic control
by: Pitera, Marcin, et al.
Published: (2026)
by: Pitera, Marcin, et al.
Published: (2026)
A dynamic competitive equilibrium model of irreversible capacity investment with stochastic demand and heterogeneous producers
by: Kardaras, Constantinos, et al.
Published: (2025)
by: Kardaras, Constantinos, et al.
Published: (2025)
Constrained mean-field control with singular controls: Existence, stochastic maximum principle and constrained FBSDE
by: Bo, Lijun, et al.
Published: (2025)
by: Bo, Lijun, et al.
Published: (2025)
An entropy penalized approach for stochastic control problems. Complete version
by: Bourdais, Thibaut, et al.
Published: (2023)
by: Bourdais, Thibaut, et al.
Published: (2023)
Time-inconsistent singular control problems: Reflection and Absolutely continuous controls with exploding rates
by: Bodnariu, Andi, et al.
Published: (2025)
by: Bodnariu, Andi, et al.
Published: (2025)
Two sided ergodic singular control and mean field game for diffusions
by: Christensen, Sören, et al.
Published: (2023)
by: Christensen, Sören, et al.
Published: (2023)
Matrix Riccati BSDEs with singular terminal condition and stochastic LQ control with linear terminal constraint
by: Ackermann, Julia, et al.
Published: (2026)
by: Ackermann, Julia, et al.
Published: (2026)
Equilibrium strategies in time-inconsistent stochastic control problems with constraints: necessary conditions
by: Mastrogiacomo, Elisa, et al.
Published: (2021)
by: Mastrogiacomo, Elisa, et al.
Published: (2021)
Maximum principle for recursive optimal control problem of stochastic delay evolution equations
by: Liu, Guomin, et al.
Published: (2023)
by: Liu, Guomin, et al.
Published: (2023)
Team problems and stochastic programming
by: Evstigneev, Igor V., et al.
Published: (2025)
by: Evstigneev, Igor V., et al.
Published: (2025)
Stochastic maximum principle for time-changed forward-backward stochastic control problem with Lévy noise
by: Chen, Jingwei, et al.
Published: (2026)
by: Chen, Jingwei, et al.
Published: (2026)
Duality methods in stochastic optimal control
by: Bank, Peter, et al.
Published: (2026)
by: Bank, Peter, et al.
Published: (2026)
Discrete time stochastic impulse control with delay
by: Hamadène, Said, et al.
Published: (2025)
by: Hamadène, Said, et al.
Published: (2025)
Mean-field optimal control with stochastic leaders
by: Zimper, Sebastian, et al.
Published: (2025)
by: Zimper, Sebastian, et al.
Published: (2025)
Constrained stochastic linear quadratic control under regime switching with controlled jump size
by: Shi, Xiaomin, et al.
Published: (2024)
by: Shi, Xiaomin, et al.
Published: (2024)
On the risk levels of distributionally robust chance constrained problems
by: Heinlein, Moritz, et al.
Published: (2024)
by: Heinlein, Moritz, et al.
Published: (2024)
A non-exchangeable mean field control problem with controlled interactions
by: Djete, Mao Fabrice
Published: (2025)
by: Djete, Mao Fabrice
Published: (2025)
Maximum principle for optimal control of stochastic evolution equations with recursive utilities
by: Liu, Guomin, et al.
Published: (2021)
by: Liu, Guomin, et al.
Published: (2021)
Null controllability for stochastic fourth order semi-discrete parabolic equations
by: Wang, Yu, et al.
Published: (2024)
by: Wang, Yu, et al.
Published: (2024)
Zero-Sum Games for piecewise deterministic Markov decision processes with risk-sensitive finite-horizon cost criterion
by: Golui, Subrata
Published: (2024)
by: Golui, Subrata
Published: (2024)
Global-in-time optimal control of stochastic third-grade fluids with additive noise
by: Kinra, Kush, et al.
Published: (2025)
by: Kinra, Kush, et al.
Published: (2025)
A policy iteration algorithm for non-Markovian control problems
by: Possamaï, Dylan, et al.
Published: (2024)
by: Possamaï, Dylan, et al.
Published: (2024)
Existence of optimal controls for stochastic partial differential equations with fully local monotone coefficients
by: Zong, Gaofeng
Published: (2025)
by: Zong, Gaofeng
Published: (2025)
Limit theory for mean-field control problems with common noise adapted controls
by: Bouchard, Bruno, et al.
Published: (2025)
by: Bouchard, Bruno, et al.
Published: (2025)
A randomisation method for mean-field control problems with common noise
by: Denkert, Robert, et al.
Published: (2024)
by: Denkert, Robert, et al.
Published: (2024)
The Koopmanization of controlled nonlinear Itô stochastic differential systems and its comparison with the Carleman embedding: new results
by: Lambe, Amruta, et al.
Published: (2025)
by: Lambe, Amruta, et al.
Published: (2025)
On stochastic control under Poisson observations: optimality of a barrier strategy in a general Lévy model
by: Noba, Kei, et al.
Published: (2022)
by: Noba, Kei, et al.
Published: (2022)
Inverse problems for stochastic partial differential equations
by: Lü, Qi, et al.
Published: (2024)
by: Lü, Qi, et al.
Published: (2024)
Hopf-Lax approximation for value functions of Lévy optimal control problems
by: Kupper, Michael, et al.
Published: (2025)
by: Kupper, Michael, et al.
Published: (2025)
A stochastic Pontryagin maximum principle on the Sierpinski gasket
by: Liu, Xuan
Published: (2017)
by: Liu, Xuan
Published: (2017)
Linear-quadratic optimal control for non-exchangeable mean-field SDEs and applications to systemic risk
by: de Crescenzo, Anna, et al.
Published: (2025)
by: de Crescenzo, Anna, et al.
Published: (2025)
Infinite horizon McKean-Vlasov FBSDEs and applications to mean field control problems
by: Hua, Tianjiao, et al.
Published: (2024)
by: Hua, Tianjiao, et al.
Published: (2024)
Controlled stochastic processes for simulated annealing
by: Molin, Vincent, et al.
Published: (2025)
by: Molin, Vincent, et al.
Published: (2025)
Optimal control problems with generalized mean-field dynamics and viscosity solution to Master Bellman equation
by: Buckdahn, Rainer, et al.
Published: (2024)
by: Buckdahn, Rainer, et al.
Published: (2024)
Convergence analysis for an implementable scheme to solve the linear-quadratic stochastic optimal control problem with stochastic wave equation
by: Chaudhary, Abhishek
Published: (2025)
by: Chaudhary, Abhishek
Published: (2025)
A stochastic maximum principle of mean-field type with monotonicity conditions
by: He, Bowen, et al.
Published: (2025)
by: He, Bowen, et al.
Published: (2025)
Optimality of a refraction strategy in the optimal dividends problem with absolutely continuous controls subject to Parisian ruin
by: Locas, Félix, et al.
Published: (2023)
by: Locas, Félix, et al.
Published: (2023)
Similar Items
-
The Solution to an Impulse Control Problem Motivated by Optimal Harvesting
by: Liu, Zhesheng, et al.
Published: (2024) -
Singular stochastic control problems motivated by the optimal sustainable exploitation of an ecosystem
by: Liang, Gechun, et al.
Published: (2020) -
Small noise perturbations of stochastic ergodic control problems
by: Kumar, K. Suresh, et al.
Published: (2024) -
Blackwell optimality in risk-sensitive stochastic control
by: Pitera, Marcin, et al.
Published: (2026) -
A dynamic competitive equilibrium model of irreversible capacity investment with stochastic demand and heterogeneous producers
by: Kardaras, Constantinos, et al.
Published: (2025)