We study the optimal control of battery energy storage under a general “pay-for-
performance” setup such as providing frequency regulation and renewable integration. In …

We analyze a problem of optimal control of the Fokker-Planck equation with state constraints
in the Wasserstein space of probability measures. We give first-order necessary conditions …

We provide a dynamic programming principle for stochastic optimal control problems with
expectation constraints. A weak formulation, using test functions and a probabilistic …

We investigate in this paper dynamic mean-downside risk portfolio optimization problems in
continuous-time, where the downside risk measures can be either the lower-partial moments …

We consider an optimal stochastic target problem for branching diffusion processes. This
problem consists in finding the minimal condition for which a control allows the underlying …

This paper investigates the moral hazard problem in finite horizon with both continuous and
lump‐sum payments, involving a time‐inconsistent sophisticated agent and a standard utility …

In this paper, we consider the risk-sensitive optimal control problem for forward–backward
stochastic differential equations (FBSDEs). We consider two different cases:(Case 1) the drift …

Optimal feedback control is classically based on linear approximations, whose accuracy
drops off rapidly in highly nonlinear dynamics. Several nonlinear optimal feedback control …

This paper provides an introduction to optimal investment rules in electricity generation. It
attempts to bring together methods commonly used in practice to assess electricity …

We consider a continuous time stochastic optimal control problem under both equality and
inequality constraints on the expectation of some functionals of the controlled process …