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We consider the framework of high dimensional stochastic control problem, in which the controls are aggregated in the cost function. As first contribution we introduce a modified problem, whose optimal control is under some reasonable assumptions an $varepsilon$-optimal solution of the original problem. As second contribution, we present a decentralized algorithm whose convergence to the solution of the modified problem is established. Finally, we study the application to a problem of coordination of energy consumption and production of domestic appliances.
We study a class of infinite-dimensional singular stochastic control problems with applications in economic theory and finance. The control process linearly affects an abstract evolution equation on a suitable partially-ordered infinite-dimensional s
This paper is concerned with a backward stochastic linear-quadratic (LQ, for short) optimal control problem with deterministic coefficients. The weighting matrices are allowed to be indefinite, and cross-product terms in the control and state process
This paper deals with a family of stochastic control problems in Hilbert spaces which arises in typical applications (such as boundary control and control of delay equations with delay in the control) and for which is difficult to apply the dynamic p
In this paper we study a class of combined regular and singular stochastic control problems that can be expressed as constrained BSDEs. In the Markovian case, this reduces to a characterization through a PDE with gradient constraint. But the BSDE for
This paper studies a class of non$-$Markovian singular stochastic control problems, for which we provide a novel probabilistic representation. The solution of such control problem is proved to identify with the solution of a $Z-$constrained BSDE, wit