Displaying similar documents to “A stochastic impulse control problem with quadratic growth Hamiltonian and the corresponding quasi variational inequality.”

Equivalent cost functionals and stochastic linear quadratic optimal control problems

Zhiyong Yu (2013)

ESAIM: Control, Optimisation and Calculus of Variations

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This paper is concerned with the stochastic linear quadratic optimal control problems (LQ problems, for short) for which the coefficients are allowed to be random and the cost functionals are allowed to have negative weights on the square of control variables. We propose a new method, the equivalent cost functional method, to deal with the LQ problems. Comparing to the classical methods, the new method is simple, flexible and non-abstract. The new method can also be applied to deal with...

Optimal position targeting with stochastic linear-quadratic costs

Stefan Ankirchner, Thomas Kruse (2015)

Banach Center Publications

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We consider the dynamic control problem of attaining a target position at a finite time T, while minimizing a linear-quadratic cost functional depending on the position and speed. We assume that the coefficients of the linear-quadratic cost functional are stochastic processes adapted to a Brownian filtration. We provide a probabilistic solution in terms of two coupled backward stochastic differential equations possessing a singularity at the terminal time T. We verify optimality of the...

Dynamic reforming of a quasi pay-as-you-go social security system within a discrete stochastic multidimensional framework using optimal control methods

Athanasios A. Pantelous, Alexandros A. Zimbidis (2008)

Applicationes Mathematicae

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In many western economies, the phenomenon of ageing population implies that the large Pay-As-You-Go (PAYGO) social security system will run into several severe financial difficulties. In that direction, this paper constructs a discrete-time stochastic model for a quasi PAYGO social security system to allow the potential accumulation of a special (contingency) fund, which can oscillate so as to absorb fluctuations in the various system parameters involved. The basic difference equation...

Smooth Solutions of systems of quasilinear parabolic equations

Alain Bensoussan, Jens Frehse (2010)

ESAIM: Control, Optimisation and Calculus of Variations

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We consider in this article diagonal parabolic systems arising in the context of stochastic differential games. We address the issue of finding smooth solutions of the system. Such a regularity result is extremely important to derive an optimal feedback proving the existence of a Nash point of a certain class of stochastic differential games. Unlike in the case of scalar equation, smoothness of solutions is not achieved in general. A special structure of the nonlinear Hamiltonian...