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math.OC2026
Ergodic Linear-Quadratic Optimal Control with Stochastic Coefficients
Xuyang Lin, Nizar Touzi
We investigate ergodic linear-quadratic optimal control problems with stochastic coefficients and introduce the associated stochastic ergodic Hamilton-Jacobi-Bellman (HJB) equation…
math.OC2026
Optimal resource allocation for maintaining system solvency
Gaoyue Guo, Wenpin Tang, Nizar Touzi
We study two optimal allocation problems for a system of independent Brownian agents whose states evolve under a limited shared control. At each time, a unit of resource can be div…
math.OC2025
Sensitivity Analysis of Distributionally Robust BSDEs and RBSDEs
Arthur Compoint, Nathan Sauldubois, Nizar Touzi
We examine the sensitivity properties of backward stochastic differential equations and reflected backward stochastic differential equations, which naturally arise in the context o…