Related papers: Stochastic Verification Theorem of Forward-Backwar…

This paper is concerned with a general maximum principle for the fully coupled forward-backward stochastic optimal control problem with jumps, where the control domain is not necessarily convex, within the progressively measurable…

It is well known that type-1 fuzzy sets (T1 FSs) have limited capabilities to handle some data uncertainties directly, and type-2 fuzzy sets (T2 FSs) can cover the shortcoming of T1 FSs to a certain extent. Fuzzy discrete event systems…

The main purpose of this paper is to establish the first and second order necessary optimality conditions for stochastic optimal controls using the classical variational analysis approach. The control system is governed by a stochastic…

This paper addresses the problem of computing controllers that are correct by design for safety-critical systems and can provably satisfy (complex) functional requirements. We develop new methods for models of systems subject to both…

This paper investigates the robustness of stochastic optimal control for controlled regime switching diffusions. We consider systems driven by both continuous fluctuations and discrete regime changes, allowing for model misspecification in…

We consider a Bayesian adaptive optimal stochastic control problem where a hidden static signal has a non-separable influence on the drift of a noisy observation. Being allowed to control the specific form of this dependence, we aim at…

We study a coupled system of controlled stochastic differential equations (SDEs) driven by a Brownian motion and a compensated Poisson random measure, consisting of a forward SDE in the unknown process $X(t)$ and a \emph{predictive…

In this paper, we study the optimal singular controls for stochastic recursive systems, in which the control has two components: the regular control, and the singular control. Under certain assumptions, we establish the dynamic programming…

We consider the stochastic optimal control problem of McKean-Vlasov stochastic differential equation where the coefficients may depend upon the joint law of the state and control. By using feedback controls, we reformulate the problem into…

We study the problem of optimal inside control of an SPDE (a stochastic evolution equation) driven by a Brownian motion and a Poisson random measure. Our optimal control problem is new in two ways: (i) The controller has access to inside…

We introduce a class of backward stochastic differential equations (BSDEs) on the Wasserstein space of probability measures. This formulation extends the classical correspondence between BSDEs, stochastic control, and partial differential…

This paper presents a novel approach for steering the state of a stochastic control-affine system to a desired target within a finite time horizon. Our method leverages the time-reversal of diffusion processes to construct the required…

In this paper we make a survey on the so called randomization method, a recent methodology to study stochastic optimization problems. It allows to represent the value function of an optimal control problem by a suitable backward stochastic…

This paper investigates an optimal control problem where the system is described by a stochastic differential equation with extended mixed delays that contain point delay, extended distributed delay, and extended noisy memory. The model is…

We study linear-quadratic stochastic optimal control problems with bilinear state dependence for which the underlying stochastic differential equation (SDE) consists of slow and fast degrees of freedom. We show that, in the same way in…

In control theory, typically a nominal model is assumed based on which an optimal control is designed and then applied to an actual (true) system. This gives rise to the problem of performance loss due to the mismatch between the true model…

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…

Connections between a system of Forward-Backward SDEs and Backward Stochastic PDEs related to the utility maximiza- tion problem is established. Besides, we derive another version of FBSDE of the same problem and prove an existence of a…

This paper deals with existence and uniqueness, in viscosity sense, of a solution for a system of m variational partial differential inequalities with inter-connected obstacles. A particular case of this system is the deterministic version…

In this paper, we mainly focus on solving high-dimensional stochastic Hamiltonian systems with boundary condition, which is essentially a Forward Backward Stochastic Differential Equation (FBSDE in short), and propose a novel method from…