Related papers: On the dynamic programming principle for controlle…
In this paper, we analyze dynamic programming as a novel approach to solve the problem of maximizing the profits of a bank. The mathematical model of the problem and the description of a bank's work is described in this paper. The problem…
Working within the quantum filtering framework, we establish a dynamic programming principle in an infinite-dimensional setting by embedding the state space into the Hilbert-Schmidt space. We then study a stabilization problem for…
We present a method of solving the T-optimal design problem for nonlinear dynamical systems using dynamic programming. In contrast with previous dynamic programming formulations, we avoid adding an equation for the dispersion to the system…
A general maximum principle is proved for optimal controls of abstract semilinear stochastic evolution equations. The control variable, as well as linear unbounded operators, acts in both drift and diffusion terms, and the control set need…
In this paper, we consider the problem of minimizing the exit rate with which a diffusion process pertaining to a chain of distributed control systems, with random perturbations, exits from a given bounded open domain. In particular, we…
In this article we derive a strong version of the Pontryagin Maximum Principle for general nonlinear optimal control problems on time scales in finite dimension. The final time can be fixed or not, and in the case of general boundary…
This paper introduces an approach to endow generative diffusion processes the ability to satisfy and certify compliance with constraints and physical principles. The proposed method recast the traditional sampling process of generative…
We formulate a finite-size particle numerical model of strongly magnetized plasmas in the drift-kinetic approximation. We use the phase space action as an alternative to previous variational formulations based on Low's Lagrangian or on a…
This paper is concerned with the relationship between maximum principle and dynamic programming principle for risk-sensitive stochastic optimal control problems. Under the smooth assumption of the value function, relations among the adjoint…
A general stochastic maximum principle is proved for optimal controls of semilinear stochastic evolution equations. Stochastic evolution operators, and the control with values in a general set enter into both drift and diffusion terms.
Based on stochastic curvilinear integrals in the Cairoli-Walsh sense and in the It\^{o}-Udri\c{s}te sense, we develop an original theory regarding the multitime stochastic differential systems. The first group of the original results refer…
In this paper, we study the delayed stochastic recursive optimal control problem with a non-Lipschitz generator, in which both the dynamics of the control system and the recursive cost functional depend on the past path segment of the state…
Time-inhomogeneous controlled diffusion processes in both cylindrical and noncylindrical domains are considered. Bellman's principle and its applications to proving the continuity of value functions are investigated.
We study a nonlinear coupled system of partial differential equations arising from thermo--reaction--phase models. The system combines a heat diffusion equation, temperature-dependent chemical reactions of Arrhenius type, and a phase…
We proceed from the fact that the classical paths of irreducible massive spinning particle lie on a circular cylinder with the time-like axis in Minkowski space. Assuming that all the classical paths on the cylinder are gauge-equivalent, we…
We establish a variety of results extending the well-known Pontryagin maximum principle of optimal control to discrete-time optimal control problems posed on smooth manifolds. These results are organized around a new theorem on critical and…
We introduce a Langevin equation characterized by a time dependent drift. By assuming a temporal power-law dependence of the drift we show that a great variety of behavior is observed in the dynamics of the variance of the process. In…
We present a method for determining optimal modes of operation for autonomously oscillating systems with uncertain parameters. In a typical application of the method, a nonlinear dynamical system is optimized with respect to an economic…
We derive an integration by parts formula for functionals of determinantal processes on compact sets, completing the arguments of [4]. This is used to show the existence of a configuration-valued diffusion process which is non-colliding and…
We study optimal control problems for interacting branching diffusion processes, a class of measure-valued dynamics capturing both spatial motion and branching mechanisms. From the perspective of the dynamic programming principle, we…