Related papers: A maximum principle for relaxed stochastic control…
We propose a novel reformulation of the stochastic optimal control problem as an approximate inference problem, demonstrating, that such a interpretation leads to new practical methods for the original problem. In particular we characterise…
The paper is concerned with an optimal control problem governed by the rate-independent system of quasi-static perfect elasto-plasticity. The objective is to optimize the stress field by controlling the displacement at prescribed parts of…
We consider integer-restricted optimal control of systems governed by abstract semilinear evolution equations. This includes the problem of optimal control design for certain distributed parameter systems endowed with multiple actuators,…
In this paper we study a continuous-time stochastic linear quadratic control problem arising from mathematical finance. We model the asset dynamics with random market coefficients and portfolio strategies with convex constraints. Following…
In this paper, we focus on a method based on optimal control to address the optimization problem. The objective is to find the optimal solution that minimizes the objective function. We transform the optimization problem into optimal…
We study a stochastic recursive optimal control problem in which the cost functional is described by the solution of a backward stochastic differential equation driven by G-Brownian motion. Some of the economic and financial optimization…
In this paper, we consider optimal control problems of stochastic Volterra equations (SVEs) with singular kernels, where the control domain is not necessarily convex. We establish a global maximum principle by means of the spike variation…
In this article we consider a stochastic optimal control problem where the dynamics of the state process, $X(t)$, is a controlled stochastic differential equation with jumps, delay and \emph{noisy memory}. The term noisy memory is, to the…
This paper study a type of fully coupled mean-field forward-backward stochastic differential equations with jumps under the monotonicity condition, including the existence and the uniqueness of the solution of our equation as well as the…
This paper is concerned with providing the maximum principle for a control problem governed by a stochastic evolution system on a separable Hilbert space. In particular, necessary conditions for optimality for this stochastic optimal…
The aim of this paper is to investigate the existence of optimal controls for systems described by stochastic partial differential equations (SPDEs) with locally monotone coefficients controlled by different external forces which are…
This work addresses an optimal control problem constrained by a degenerate kinetic equation of parabolic-hyperbolic type. Using a hypocoercivity framework we establish the well-posedness of the problem and demonstrate that the optimal…
We characterize the optimal control for a class of singular stochastic control problems as the unique solution to a related Skorokhod reflection problem. The considered optimization problems concern the minimization of a discounted cost…
We consider a system that is exactly controllable. For given initial state, terminal state and objective function, an optimal control is often well-defined. Such an optimal control has the disadvantage that although it works perfectly well…
This paper is concerned with necessary and sufficient conditions for near-optimal singular stochastic controls for systems driven by a nonlinear stochastic differential equations (SDEs in short). The proof of our result is based on…
This paper is concerned with the stochastic recursive optimal control problem with mixed delay. The connection between Pontryagin's maximum principle and Bellman's dynamic programming principle is discussed. Without containing any…
Time change is a powerful technique for generating noises and providing flexible models. In the framework of time changed Brownian and Poisson random measures we study the existence and uniqueness of a solution to a general mean-field…
This paper is concerned with a discounted stochastic optimal control problem for regime switching diffusion in an infinite horizon. First, as a preliminary with particular interests in its own right, the global well-posedness of infinite…
Optimal control of stochastic nonlinear dynamical systems is a major challenge in the domain of robot learning. Given the intractability of the global control problem, state-of-the-art algorithms focus on approximate sequential optimization…
From economics point of view, we investigate a new optimal control problem driven by a stochastic differential equation with a multi-time states cost functional. By constructing a series of first-order adjoint equations, we establish the…