Optimal battery control under cycle aging mechanisms in pay for performance settings
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 …
performance” setup such as providing frequency regulation and renewable integration. In …
Optimal control of the Fokker-Planck equation under state constraints in the Wasserstein space
S Daudin - Journal de Mathématiques Pures et Appliquées, 2023 - Elsevier
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 …
in the Wasserstein space of probability measures. We give first-order necessary conditions …
Weak dynamic programming for generalized state constraints
B Bouchard, M Nutz - SIAM Journal on Control and Optimization, 2012 - SIAM
We provide a dynamic programming principle for stochastic optimal control problems with
expectation constraints. A weak formulation, using test functions and a probabilistic …
expectation constraints. A weak formulation, using test functions and a probabilistic …
Dynamic mean-LPM and mean-CVaR portfolio optimization in continuous-time
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 …
continuous-time, where the downside risk measures can be either the lower-partial moments …
A stochastic target problem for branching diffusion processes
I Kharroubi, A Ocello - Stochastic Processes and their Applications, 2024 - Elsevier
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 …
problem consists in finding the minimal condition for which a control allows the underlying …
Time‐inconsistent contract theory
C Hernández, D Possamaï - Mathematical Finance, 2024 - Wiley Online Library
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 …
lump‐sum payments, involving a time‐inconsistent sophisticated agent and a standard utility …
The risk-sensitive maximum principle for controlled forward–backward stochastic differential equations
J Moon - Automatica, 2020 - Elsevier
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 …
stochastic differential equations (FBSDEs). We consider two different cases:(Case 1) the drift …
High order optimal feedback control of space trajectories with bounded control
Optimal feedback control is classically based on linear approximations, whose accuracy
drops off rapidly in highly nonlinear dynamics. Several nonlinear optimal feedback control …
drops off rapidly in highly nonlinear dynamics. Several nonlinear optimal feedback control …
A review of optimal investment rules in electricity generation
R Aïd - Quantitative Energy Finance: Modeling, Pricing, and …, 2013 - Springer
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 …
attempts to bring together methods commonly used in practice to assess electricity …
Duality and approximation of stochastic optimal control problems under expectation constraints
L Pfeiffer, X Tan, YL Zhou - SIAM Journal on Control and Optimization, 2021 - SIAM
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 …
inequality constraints on the expectation of some functionals of the controlled process …