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math.OC2024
On approximations of stochastic optimal control problems with an application to climate equations
Franco Flandoli, Giuseppina Guatteri, Umberto Pappalettera +1
The paper is devoted to the optimal control of a system with two time-scales, in a regime when the limit equation is not of averaging type but, in the spirit of Wong-Zakai principl…
math.OC2024
Stochastic Maximum Principle for optimal advertising models with delay and non-convex control space
Giuseppina Guatteri, Federica Masiero
In this paper we study optimal advertising problems that models the introduction of a new product into the market in the presence of carryover effects of the advertisement and with…
math.OC2024
Singular limit of BSDEs and optimal control of two scale systems with jumps in infinite dimensional spaces
Elena Bandini, Giuseppina Guatteri, Gianmario Tessitore
The paper is devoted to a stochastic optimal control problem for a two scale, infinite dimensional, stochastic system. The state of the system consists of slow and fast component a…