Related papers: Stochastic Optimal Control as Non-equilibrium Stat…
We consider damped stochastic systems in a controlled (time-varying) quadratic potential and study their transition between specified Gibbs-equilibria states in finite time. By the second law of thermodynamics, the minimum amount of work…
This paper is concerned with cost optimization of an insurance company. The surplus of the insurance company is modeled by a controlled regime switching diffusion, where the regime switching mechanism provides the fluctuations of the random…
We consider a class of stochastic optimal control problems for discrete-time stochastic linear systems which seek for control policies that will steer the probability distribution of the terminal state of the system close to a desired…
We present a modern stochastic control framework for dynamic optimization of river environment and ecology. We focus on a fisheries problem in Japan, and show several examples of simplified optimal control problems of stochastic…
We study a stochastic control problem for nonlinear systems governed by stochastic differential equations with irregular drift. The drift coefficient is assumed to decompose as $b(t,x,a)=b_1(t,x)+b_2(x)b_3(t,a)$, where $b_1$ is bounded and…
In this paper we investigate a kind of optimal control problem of coupled forward-backward stochastic system with jumps whose cost functional is defined through a coupled forward-backward stochastic differential equation with Brownian…
We consider optimal transport problems where the cost is optimized over controlled dynamics and the end time is free. Unlike the classical setting, the search for optimal transport plans also requires the identification of optimal "stopping…
We consider piecewise-deterministic optimal control problems in which the environment randomly switches among several deterministic modes, and the goal is to optimize the expected cost up to the termination while taking the likelihood of…
In this paper we consider an energy storage optimization problem in finite time in a model with partial information that allows for a changing economic environment. The state process consists of the storage level controlled by the storage…
In this paper, we aim to develop the theory of optimal stochastic control for branching diffusion processes where both the movement and the reproduction of the particles depend on the control. More precisely, we study the problem of…
In this paper we derive a novel characterization result for time-consistent stochastic control problems with higher-order moments, originally formulated by Wang et al. [SIAM J. Control. Optim., 63 (2025), 1560--1589], and newly explore many…
We tackle a nonlinear optimal control problem for a stochastic differential equation in Euclidean space and its state-linear counterpart for the Fokker-Planck-Kolmogorov equation in the space of probabilities. Our approach is founded on a…
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…
An optimal control problem described by the Hamilton-Jacobi-Bellman equation can be developed into a problem that can be solved by general computational fluid dynamics packages. We describe how this formulation would allow a classical…
Stochastic optimal control (SOC) aims to direct the behavior of noisy systems and has widespread applications in science, engineering, and artificial intelligence. In particular, reward fine-tuning of diffusion and flow matching models and…
The dynamic programming approach for the control of a 3D flow governed by the stochastic Navier-Stokes equations for incompressible fluid in a bounded domain is studied. By a compactness argument, existence of solutions for the associated…
The Inverse Optimal Control (IOC) problem is a structured system identification problem that aims to identify the underlying objective function based on observed optimal trajectories. This provides a data-driven way to model experts'…
The optimal control of a mechanical system is of crucial importance in many realms. Typical examples are the determination of a time-minimal path in vehicle dynamics, a minimal energy trajectory in space mission design, or optimal motion…
From economics point of view, we investigate a new optimal control problem driven by a stochastic differential equation with a multi-time states cost functional. By constructing a series of first-order adjoint equations, we establish the…
In this paper, we study the optimal control problem for steering the state covariance of a discrete-time linear stochastic system over a finite time horizon. First, we establish the existence and uniqueness of the optimal control law for a…