Related papers: On the dynamic programming principle for controlle…

This paper investigates the relationship between Pontryagin's maximum principle and dynamic programming principle in the context of stochastic optimal control systems governed by stochastic evolution equations with random coefficients in…

Of stochastic differential equations, diffusion processes have been adopted in numerous applications, as more relevant and flexible models. This paper studies diffusion processes in a different setting, where for a given stationary…

This paper aims to study the relationship between the maximum principle and the dynamic programming principle for recursive optimal control problem of stochastic evolution equations, where the control domain is not necessarily convex and…

In this paper, we consider the stochastic optimal control problem for the interacting particle system. We obtain the stochastic maximum principle of the optimal control system by introducing a generalized backward stochastic differential…

We consider a collection of weakly interacting diffusion processes moving in a two-scale locally periodic environment. We study the large deviations principle of the empirical distribution of the particles' positions in the combined limit…

In this paper, we consider stochastic optimal control of systems driven by stochastic differential equations with irregular drift coefficient. We establish a necessary and sufficient stochastic maximum principle. To achieve this, we first…

The aim of this paper is to address optimality of stochastic control strategies via dynamic programming subject to total variation distance ambiguity on the conditional distribution of the controlled process. We formulate the stochastic…

We consider an optimal stopping problem where a constraint is placed on the distribution of the stopping time. Reformulating the problem in terms of so-called measure-valued martingales allows us to transform the marginal constraint into an…

In this paper, we introduce a mathematical apparatus that is relevant for understanding a dynamical system with small random perturbations and coupled with the so-called transmutation process -- where the latter jumps from one mode to…

The article is devoted to the problem of applying the maximum principle for finding optimal control parameters in simulation tasks of interest for a variety of engineering and industrial systems and processes. Especially important is the…

In this note, we propose two different approaches to rigorously justify a pseudo-Markov property for controlled diffusion processes which is often (explicitly or implicitly) used to prove the dynamic programming principle in the stochastic…

This paper considers the problem of designing time-dependent, real-time control policies for controllable nonlinear diffusion processes, with the goal of obtaining maximally-informative observations about parameters of interest. More…

This paper investigates the optimal control problem for a class of parabolic equations where the diffusion coefficient is influenced by a control function acting nonlocally. Specifically, we consider the optimization of a cost functional…

We consider covariance control problems for nonlinear stochastic systems. Our objective is to find an optimal control strategy to steer the state from an initial distribution to a terminal one with specified mean and covariance. This…

We establish a Pontryagin maximum principle for discrete time optimal control problems under the following three types of constraints: a) constraints on the states pointwise in time, b) constraints on the control actions pointwise in time,…

A stochastic procedure is developed which allows one to express Pontryagin's maximum principle for dissipative quantum system solely in terms of stochastic wave functions. Time-optimal controls can be efficiently computed without computing…

In this paper, we obtain the maximum principle for optimal controls of stochastic systems with jumps by introducing a new method of variation. The control is allowed to enter both diffusion and jump term and the control domain need not to…

We study the optimal stopping problem of McKean-Vlasov diffusions when the criterion is a function of the law of the stopped process. A remarkable new feature in this setting is that the stopping time also impacts the dynamics of the…

This paper considers an optimal impulse control problem of dynamical systems generated by a flow. The performance criteria are total costs over the infinite time horizon. Apart from the main performance to be minimized, there are multiple…

We develop a discrete-time optimal control framework for systems evolving on Lie groups. Our work generalizes the original Differential Dynamic Programming method, by employing a coordinate-free, Lie-theoretic approach for its derivation. A…