Cover Image

Optimal Policy Characterization for a Class of Multi-Dimensional Ergodic Singular Stochastic Control Problems

Fuente: arXiv

Saved in:

Bibliographic Details
Main Authors:	Calvia, Alessandro, Cannerozzi, Federico, Ferrari, Giorgio
Format:	Preprint
Published:	2025
Subjects:	Optimization and Control Probability
Online Access:	Acceder al recurso
Tags:	Add Tag No Tags, Be the first to tag this record!

Similar Items

Cooperation, Correlation and Competition in Ergodic N-player Games and Mean-field Games of Singular Controls: A Case Study
by: Cannerozzi, Federico, et al.
Published: (2024)

Coarse correlated equilibria for continuous time mean field games in open loop strategies
by: Campi, Luciano, et al.
Published: (2023)

Singular Perturbation in Multiscale Stochastic Control Problems with Domain Restriction in the Slow Variable
by: Calixto, Anderson O., et al.
Published: (2025)

Existence of Strong Randomized Equilibria in Mean-Field Games of Optimal Stopping with Common Noise
by: Ferrari, Giorgio, et al.
Published: (2025)

Stationary Mean-Field singular control of an Ornstein-Uhlenbeck process
by: Cannerozzi, Federico
Published: (2026)

Existence of Optimal Stationary Singular Controls and Mean Field Game Equilibria
by: Cohen, Asaf, et al.
Published: (2024)

The Ergodic Linear-Quadratic Optimal Control Problems for Stochastic Mean-Field Systems with Periodic Coefficients
by: Wu, Jiacheng, et al.
Published: (2025)

Optimal Consumption and Portfolio Choice with No-Borrowing Constraint in the Kim-Omberg Model: The Complete Market Case
by: Ferrari, Giorgio, et al.
Published: (2026)

Optimal Control of the Nonlinear Stochastic Fokker--Planck Equation
by: Hambly, Ben, et al.
Published: (2024)

Stationary Discounted and Ergodic Mean Field Games of Singular Control
by: Cao, Haoyang, et al.
Published: (2021)

The Solution to an Impulse Control Problem Motivated by Optimal Harvesting
by: Liu, Zhesheng, et al.
Published: (2024)

Solving non-Markovian Stochastic Control Problems driven by Wiener Functionals
by: Leão, Dorival, et al.
Published: (2020)

Ergodic Risk Sensitive Control of Markovian Multiclass Many-Server Queues with Abandonment
by: Anugu, Sumith Reddy, et al.
Published: (2024)

Necessary and Sufficient Conditions for Optimal Control of Semilinear Stochastic Partial Differential Equations
by: Stannat, Wilhelm, et al.
Published: (2021)

Bridging Schrödinger and Bass: A Semimartingale Optimal Transport Problem with Diffusion Control
by: Henry-Labordere, Pierre, et al.
Published: (2026)

Optimal Doubling Thresholds in Backgammon-like Stochastic Games
by: Ju, Haoru, et al.
Published: (2024)

Stability of Polling Systems for a Large Class of Markovian Switching Policies
by: Avrachenkov, Konstantin, et al.
Published: (2025)

Approximation of Singular-Stopping Control Driven by Hawkes Processes via Rescaled MDPs
by: Agostino, Isabel, et al.
Published: (2026)

Optimal Harvesting of a Stochastic Logistic Model Driven by One-Sided Tempered Stable Process
by: Deng, Wenmin, et al.
Published: (2026)

Martingale Optimal Transport and Martingale Schrödinger Bridges for Calibration of Stochastic Volatility Models
by: Zitridis, Antonios
Published: (2025)

Stochastic Optimal Control Matching
by: Domingo-Enrich, Carles, et al.
Published: (2023)

On the Singular Control of a Diffusion and Its Running Infimum or Supremum
by: Ferrari, Giorgio, et al.
Published: (2025)

Robust Ergodic Control of Jump-Diffusion Systems under Drift and Intensity Uncertainty
by: Azze, Abel, et al.
Published: (2026)

Optimal Risk-Sensitive Scheduling Policies for Remote Estimation of Autoregressive Markov Processes
by: Dutta, Manali, et al.
Published: (2024)

One-Dimensional McKean-Vlasov Stochastic Variational Inequalities and Coupled BSDEs with Locally Holder Noise Coefficients
by: Ning, Ning, et al.
Published: (2023)

Optimal Impulse Control for Cyber Risk Management
by: Hillairet, Caroline, et al.
Published: (2024)

Singular Control in Inventory Management with Smooth Ambiguity
by: Archankul, Arnon, et al.
Published: (2025)

Optimal Control of McKean--Vlasov Branching Diffusion Processes
by: Claisse, Julien, et al.
Published: (2025)

Singular Perturbations of Hamilton-Jacobi Equations in the Wasserstein Space
by: Zitridis, Antonios
Published: (2025)

Mean Field Type Control Problems Driven by Jump-diffusions
by: Bensoussan, Alain, et al.
Published: (2025)

Pathwise Relaxed Optimal Control of Rough Differential Equations
by: Chakraborty, Prakash, et al.
Published: (2024)

Optimal Scheduling of Uplink-Downlink Networked Control Systems with Energy Harvesting Sensor
by: Dutta, Manali, et al.
Published: (2024)

A System of BSDEs with Singular Terminal Values Arising in Optimal Liquidation with Regime Switching
by: Fu, Guanxing, et al.
Published: (2024)

Stochastic Passivity in Stochastic Differential Equations: A Port-Hamiltonian Perspective
by: Ackermann, Julia, et al.
Published: (2025)

Singular mean-field backward stochastic Volterra integral equations in infinite dimensional spaces
by: Asadzade, Javad A., et al.
Published: (2024)

DeepMartingale: Duality of the Optimal Stopping Problem with Expressivity and High-Dimensional Hedging
by: Ye, Junyan, et al.
Published: (2025)

Method of Successive Approximations for Stochastic Optimal Control: Contractivity and Convergence
by: Taoufik, Safouane, et al.
Published: (2024)

Model Predictive Control is almost Optimal for Heterogeneous Restless Multi-armed Bandits
by: Narasimha, Dheeraj, et al.
Published: (2025)

Stochastic Inverse Problem: stability, regularization and Wasserstein gradient flow
by: Li, Qin, et al.
Published: (2024)

A Geometric Framework for Stochastic Iterations
by: Combettes, Patrick L., et al.
Published: (2025)