Related papers: Multivalued Stochastic Delay Differential Equation…
This paper proposes a supervisory control structure for networked systems with time-varying delays. The control structure, in which a supervisor triggers the most appropriate controller from a multi-controller unit, aims at improving the…
This paper is mainly concerned with the solutions to both forward and backward mean-field stochastic partial differential equation and the corresponding optimal control problem for mean-field stochastic partial differential equation. We…
We consider the problem of optimal control of a mean-field stochastic differential equation under model uncertainty. The model uncertainty is represented by ambiguity about the law $\mathcal{L}(X(t))$ of the state $X(t)$ at time $t$. For…
We consider the problem of optimally stopping a general one-dimensional stochastic differential equation (SDE) with generalised drift over an infinite time horizon. First, we derive a complete characterisation of the solution to this…
We establish existence and uniqueness of minimax solutions for a fairly general class of path-dependent Hamilton-Jacobi equations. In particular, the relevant Hamiltonians can contain the solution and they only need to be measurable with…
We extend Peng's maximum principle to the case of stochastic delay differential equations of mean-field type. More precisely, the coefficients of our control problem depend on the state, on the past trajectory and on its expected value.…
We consider a stochastic delay differential equation driven by a Holder continuous process and a Wiener process. Under fairly general assumptions on its coefficients, we prove that this equation is uniquely solvable. We also give sufficient…
The present paper considers a stochastic optimal control problem, in which the cost function is defined through a backward stochastic differential equation with infinite horizon driven by G-Brownian motion. Then we study the regularities of…
In this paper, we study backward doubly stochastic recursive optimal control problem where the cost function is described by the solution of a backward doubly stochastic differential equation. We give the dynamical programming principle for…
We provide sufficient conditions for the existence of invariant probability measures for generic stochastic differential equations with finite time delay. This is achieved by means of the Krylov-Bogoliubov method. Furthermore, we focus on…
In this article we approach a class of stochastic reachability problems with state constraints from an optimal control perspective. Preceding approaches to solving these reachability problems are either confined to the deterministic setting…
We prove a sufficient optimality condition for non-linear optimal control problems with delays in both state and control variables. Our result requires the verification of a Hamilton-Jacobi partial differential equation and is obtained…
In this paper, the stochastic verification theorems for stochastic control problems of reflected forward-backward stochastic differential equations are studied. We carry out the work within the frameworks of classical and viscosity…
In this paper, we study an optimal control problem of linear backward stochastic differential equation (BSDE) with quadratic cost functional under partial information. This problem is solved completely and explicitly by using a stochastic…
This paper studies optimal control and stabilization problems for continuous-time mean-field systems with input delay, which are the fundamental development of control and stabilization problems for mean-field systems. There are two main…
We study a class of zero-sum stochastic games between a stopper and a singular-controller, previously considered in [Bovo and De Angelis (2025)]. The underlying singularly-controlled dynamics takes values in…
This paper studies the optimal control problems of stochastic evolution equations with infinite delay of general functional type. By introducing a non-anticipative path derivative and its infinite-window dual operator, we derive the…
In this paper, we study a time-inconsistent stochastic optimal control problem with a recursive cost functional by a multi-person hierarchical differential game approach. An equilibrium strategy of this problem is constructed and a…
This paper investigates the existence of a G-relaxed optimal control of a controlled stochastic differential delay equation driven by G-Brownian motion (G-SDDE in short). First, we show that optimal control of G-SDDE exists for the finite…
The main objective of this paper is the construction of the solution of an impulsive stochastic differential equation, subject to control conditions in the pulse-times and give sufficient conditions for them to be random variables with…