Model Predictive Control is analyzed as a strategy for coping with the unknown, variable and non-deterministic action and measurement delays which can occur in congestion control of available-bit-rate teletraffic control for highspeed data networks. It is shown that the state-feedbackplus-estimator certainty equivalence nature of this control law is particularly amenable to coping with these de...

Abstract: In this article the problem of optimal trading in illiquid markets is addressed when the deviations from a given stochastic target function describing, for instance, external aggregate client flow are penalised. Using techniques of singular stochastic control, we extend the results of [NW11] to a two-sided limit order market with temporary market impact and resilience, where the bid a...

Existence and uniqueness results of fully coupled forward-backward stochastic differential equations with an arbitrarily large time duration are obtained. Some stochastic Hamilton systems arising in stochastic optimal control systems and mathematical finance can be treated within our framework.

Two stochastic control problems with partial observations are studied, one where the policy or control law depends only on the latest observation (the controller does not have recall of observations), and the other with the standard partial observations model. The equivalent full observation problems are formulated, and the equivalence is proven using a new method. The results are illustrated w...

In this note, we give the stochastic maximum principle for optimal control of stochastic PDEs in the general case (when the control domain need not be convex and the diffusion coefficient can contain a control variable).

We consider optimal control problems for systems described by stochastic differential equations with delay. We prove two (sufficient) maximum principles for certain classes of such systems, one for ordinary stochastic delay control and one which also includes singular stochastic delay control. As an application we find explicitly the optimal consumption rate from an economic quantity described ...

We prove that a class of fully coupled forward-backward systems in infinite dimensions has a local unique solution. After studying the regularity property of the solution, we prove that for a peculiar class of systems arising in the theory of stochastic optimal control, the solution exists in arbitrary large time interval. Finally, we investigate the connection between the solution to the syste...