A class of stochastic control problems with state constraints

Fuente: arXiv
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Auteurs principaux: De Angelis, Tiziano, Ekström, Erik
Format: Preprint
Publié: 2026
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author De Angelis, Tiziano
Ekström, Erik
author_facet De Angelis, Tiziano
Ekström, Erik
contents We obtain a probabilistic solution to linear-quadratic optimal control problems with state constraints. Given a closed set $\mathcal{D}\subseteq [0,T]\times\mathbb{R}^d$, a diffusion $X$ in $\mathbb{R}^d$ must be linearly controlled in order to keep the time-space process $(t,X_t)$ inside the set $\mathcal{C}:=([0,T]\times\mathbb{R}^d)\setminus\mathcal{D}$, while at the same time minimising an expected cost that depends on the state $(t,X_t)$ and is quadratic in the speed of the control exerted. We find a probabilistic representation for the value function and an optimal control under a set of mild sufficient conditions concerning the coefficients of the underlying dynamics and the regularity of the set $\mathcal{D}$. The optimally controlled dynamics is in strong form, in the sense that it is adapted to the filtration generated by the driving Brownian motion. Fully explicit formulae are presented in some relevant examples.
format Preprint
id arxiv_https___arxiv_org_abs_2603_04880
institution arXiv
publishDate 2026
record_format arxiv
spellingShingle A class of stochastic control problems with state constraints
De Angelis, Tiziano
Ekström, Erik
Optimization and Control
Probability
Mathematical Finance
93E20, 49N10, 35K58, 49L20, 60J70
We obtain a probabilistic solution to linear-quadratic optimal control problems with state constraints. Given a closed set $\mathcal{D}\subseteq [0,T]\times\mathbb{R}^d$, a diffusion $X$ in $\mathbb{R}^d$ must be linearly controlled in order to keep the time-space process $(t,X_t)$ inside the set $\mathcal{C}:=([0,T]\times\mathbb{R}^d)\setminus\mathcal{D}$, while at the same time minimising an expected cost that depends on the state $(t,X_t)$ and is quadratic in the speed of the control exerted. We find a probabilistic representation for the value function and an optimal control under a set of mild sufficient conditions concerning the coefficients of the underlying dynamics and the regularity of the set $\mathcal{D}$. The optimally controlled dynamics is in strong form, in the sense that it is adapted to the filtration generated by the driving Brownian motion. Fully explicit formulae are presented in some relevant examples.
title A class of stochastic control problems with state constraints
topic Optimization and Control
Probability
Mathematical Finance
93E20, 49N10, 35K58, 49L20, 60J70
url https://arxiv.org/abs/2603.04880