Covariance control problems over martingales with fixed terminal distribution arising from game theory

Kovtanyuk, A.E., Chebotarev, A.Yu., Botkin, N.D., Hoffmann, K.-H.: Optimal boundary control of a steady-state heat transfer model accounting for radiative effects. Pinnau,

We derive regularity properties of the value function of the principal’s problem and characterize the optimal contract in the class of contracts inducing effort at any time.. Section

Bergounioux, Optimal control of abstract elliptic variational inequalities with state constraints,, to appear, SIAM Journal on Control and Optimization, Vol. Tiba, General

Under models that contain only moral hazard, the economic intuition is that only the limited liability constraint in case of failure may be binding because agent’s utility in case

In the second section we prove that the value function is a viscosity solution of (HJBI) in the sense of Definition 3, and a uniqueness result for the solutions of this

We first penalize the state equation and we obtain an optimization problem with non convex constraints, that we are going to study with mathematical programming methods once again

Energy-optimal drive control under several scenarios (acceleration, decelera- tion, driving between stops, approaching traffic lights, cruise within a speed band) [3] can be treated

The problem turns into the study of a specic reected BSDE with a stochastic Lipschitz coecient for which we show existence and uniqueness of the solution.. We then establish