2 papers
math.OC2025
Singular Perturbation in Multiscale Stochastic Control Problems with Domain Restriction in the Slow Variable
Anderson O. Calixto, Bernardo Freitas Paulo da Costa, Glauco Valle
We study a multiscale stochastic optimal control problem subject to state constraints on the slow variable. To address this class of problems, we develop a rigorous theoretical fra…
math.OC2025
Stochastic Optimal Control with Control-Dependent Diffusion and State Constraints: A Degenerate Elliptic Approach
Anderson O. Calixto, Bernardo Freitas Paulo da Costa, Glauco Valle
We study a stochastic optimal control problem with the state constrained to a smooth, compact domain. The control influences both the drift and a possibly degenerate, control-depen…