We propose an actor-critic framework to solve the time-continuous stochastic optimal control
problem. A least square temporal difference method is applied to compute the value function …

An optimization problem of controlling a dam installed in a river is analyzed based on a
stochastic control formalism of a diffusion process under model ambiguity: a new …

This paper is concerned with existence of a C^ α C α viscosity solution of a second order
non-translation invariant integro-PDE. We first obtain a weak Harnack inequality for such …

We introduce a class of fully nonlinear mean field games posed in. We justify that they are
related to controlled local or nonlocal diffusions, and more generally in our setting, to a new …

In this paper we continue investigating the optimal dividend and investment problems under
the Sparre Andersen model. More precisely, we try to give a more complete description of …

This paper is concerned with higher Hölder regularity for viscosity solutions to non-
translation invariant second order integro-PDEs, compared to Mou (2018). We first obtain C …

We prove a stochastic representation formula for the viscosity solution of Dirichlet terminal-
boundary value problem for a degenerate Hamilton–Jacobi–Bellman integro-partial …

In this paper we continue investigating the optimal dividend and investment problems under
the Sparre Andersen model. More precisely, we assume that the claim frequency is a …