Related papers: Stochastic Minimum Principle for Partially Observe…
This paper is concerned with a linear-quadratic partially observed Stackelberg stochastic differential game with correlated state and observation noises, where the diffusion coefficient does not contain the control variable and the control…
We consider a controlled-diffusion process pertaining to a chain of distributed systems with random perturbations that satisfies a weak H\"ormander type condition. In particular, we consider a stochastic control problem with the following…
In this paper, we present an optimal control problem for stochastic differential games under Markov regime-switching forward-backward stochastic differential equations with jumps and partial information. First, we prove a sufficient maximum…
The considered optimal control problem of a stochastic power system, is to select the set of power supply vectors which infimizes the probability that the phase-angle differences of any power flow of the network, endangers the transient…
Optimality conditions in the form of a variational inequality are proved for a class of constrained optimal control problems of stochastic differential equations. The cost function and the inequality constraints are functions of the…
We study an optimal control problem in which both the objective function and the dynamic constraint contain an uncertain parameter. Since the distribution of this uncertain parameter is not exactly known, the objective function is taken as…
Many time series are effectively generated by a combination of deterministic continuous flows along with discrete jumps sparked by stochastic events. However, we usually do not have the equation of motion describing the flows, or how they…
This article is concerned with stochastic control problems for backward doubly stochastic differential equations of mean-field type, where the coefficient functions depend on the joint distribution of the state process and the control…
We present existence and discrete-time approximation results on optimal control policies for continuous-time stochastic control problems under a variety of information structures. These include fully observed models, partially observed…
We review recent progress in optimal control in stochastic thermodynamics. Theoretical advances provide in-depth insight into minimum-dissipation control with either full or limited (parametric) control, and spanning the limits from slow to…
In this paper, we investigate a mean-field singular stochastic optimal control problem for systems governed by mean-field regime-switching singular stochastic differential equations. The state process is assumed to depend on both a regular…
The standard practice in modeling dynamics and optimal control of a large population, ensemble, multi-agent system represented by it's continuum density, is to model individual decision making using local feedback information. In comparison…
In this paper, we study numerical approximations for optimal control of a class of stochastic partial differential equations with partial observations. The system state evolves in a Hilbert space, whereas observations are given in…
In this paper, we examine a stochastic linear-quadratic control problem characterized by regime switching and Poisson jumps. All the coefficients in the problem are random processes adapted to the filtration generated by Brownian motion and…
We prove maximum principles for the problem of optimal control for a jump diffusion with infinite horizon and partial information. The results are applied to partial information optimal consumption and portfolio problems in infinite…
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…
This paper develops a comprehensive framework for optimal control of systems governed by fractional backward stochastic evolution equations (FBSEEs) in Hilbert spaces. We first establish a stochastic maximum principle (SMP) as a necessary…
This paper is the first part of a series of papers on filtering for partially observed jump diffusions satisfying a stochastic differential equation driven by Wiener processes and Poisson martingale measures. The coefficients of the…
The paper is devoted to the study of a new class of optimal control problems governed by discontinuous constrained differential inclusions of the sweeping type with involving the duration of the dynamic process into optimization. We develop…
We study the numerical solution of nonlinear partially observed optimal stopping problems. The system state is taken to be a multi-dimensional diffusion and drives the drift of the observation process, which is another multi-dimensional…