We discuss ergodicity properties of a controlled jumps diffusion process reflected from the boundary of a bounded domain. The control parameters act on the drift term and on a first order type jump density. The controlled process is generated via a Girsanov change of probability, and a long run average criterion is to be optimized. By means of the Hamilton-Jacobi-Bellman equation, an optimal st...

We study the optimal control of general stochastic McKean-Vlasov equation. Such problem is motivated originally from the asymptotic formulation of cooperative equilibrium for a large population of particles (players) in mean-field interaction under common noise. Our first main result is to state a dynamic programming principle for the value function in the Wasserstein space of probability measu...

In this paper, we study a class of risk-sensitive mean-field stochastic differential games. Under regularity assumptions, we use results from standard risk-sensitive differential game theory to show that the mean-field value of the exponentiated cost functional coincides with the value function of a Hamilton-Jacobi-Bellman-Fleming (HJBF) equation with an additional quadratic term. We provide an...

Trajectory-based approaches to quantum mechanics include the de Broglie-Bohm interpretation and Nelson’s stochastic interpretation. It is shown that the usual route to establishing the validity of such interpretations, via a decomposition of the Schrödinger equation into a continuity equation and a modified Hamilton-Jacobi equation, fails for some quantum states. A very simple example is provid...

In this paper we present a version of the balancing technique for nonlinear systems which are dissipative with respect to a general quadratic supply rate that depends on the input and the output of the system. We discuss an input output approach that allows us to apply the theory of balancing based upon Hankel singular value analysis. In order to do that we prove that the available storage and ...

Using the Hamilton-Jacobi-Bellman equation, we derive both a Keynes-Ramsey rule and a closed form solution for an optimal consumption-investment problem with labor income. The utility function is unbounded and uncertainty stems from a Poisson process. Our results can be derived because of the proofs presented in the accompanying paper by Sennewald (2006). Additional examples are given which hig...

We study a class of optimal control problems with state constraints, where the state equation is a differential equation with delays. This class includes some problems arising in economics, in particular the so-called models with time to build, see [1, 2, 26]. We embed the problem in a suitable Hilbert space H and consider the associated Hamilton-Jacobi-Bellman (HJB) equation. This kind of infi...

We study a model of a corporation which has the possibility to choose various production/business policies with different expected profits and risks. In the model there are restrictions on the dividend distribution rates as well as restrictions on the risk the company can undertake. The objective is to maximize the expected present value of the total dividend distributions. We outline the corre...

We consider the problem of optimal investment and consumption when the investment opportunity is represented by a hedge-fund charging proportional fees on profit. The value of the fund evolves as a geometric Brownian motion and the performance of the investment and consumption strategy is measured using discounted power utility from consumption on infinite horizon. The resulting stochastic cont...

We consider the optimal control of stochastic delayed systems with jumps, in which both the state and controls can depend on the past history of the system, for a value function which depends on the initial path of the process. We derive the Hamilton-Jacobi-Bellman equation and the associated verification theorem and prove a necessary and a sufficient maximum principles for such problems. Expli...