Optimal stochastic control with recursive cost functionals of stochastic differential systems reflected in a domain

Stochastic Homogenization of Reflected Stochastic Differential Equations

We investigate a functional limit theorem (homogenization) for Reflected Stochastic Differential Equations on a half-plane with stationary coefficients when it is necessary to analyze both the effective Brownian motion and the effective local time. We prove that the limiting process is a reflected non-standard Brownian motion. Beyond the result, this problem is known as a prototype of non-trans...

Anticipating Reflected Stochastic Differential Equations

In this paper, we establish the existence of the solutions (X,L) of reflected stochastic differential equations with possible anticipating initial random variables. The key is to obtain some substitution formula for Stratonovich integrals via a uniform convergence of the corresponding Riemann sums.

Quantitative Determination Of Optimal Fiscal And Monetary Policies: A Stochastic Optimal Control Analysis For Iran

Optimal control of stochastic differential equations with dynamical boundary conditions

In this paper we investigate the optimal control problem for a class of stochastic Cauchy evolution problem with non standard boundary dynamic and control. The model is composed by an infinite dimensional dynamical system coupled with a finite dimensional dynamics, which describes the boundary conditions of the internal system. In other terms, we are concerned with non standard boundary conditi...

Existence of an Optimal Control for Stochastic Control Systems with Nonlinear Cost Functional

We consider a stochastic control problem which is composed of a controlled stochastic differential equation, and whose associated cost functional is defined through a controlled backward stochastic differential equation. Under appropriate convexity assumptions on the coefficients of the forward and the backward equations we prove the existence of an optimal control on a suitable reference stoch...