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math.OC2025
Optimal control under unknown intensity with Bayesian learning
Nicolas Baradel, Quentin Cormier
We investigate an optimal control problem motivated by neuroscience, where the dynamics is driven by a Poisson process with a controlled stochastic intensity and an unknown paramet…
math.OC2024
Optimal control under uncertainty: Application to the issue of CAT bonds
Nicolas Baradel
We propose a general framework for studying optimal issue of CAT bonds in the presence of uncertainty on the parameters. In particular, the intensity of arrival of natural disaster…