Related papers: The Maximum Principle in Time-Inconsistent LQ Opti…
An optimal control problem for the linear wave equation with control cost chosen as the BV semi-norm in time is analyzed. This formulation enhances piecewise constant optimal controls and penalizes the number of jumps. Existence of optimal…
In this paper, we propose a novel equilibrium solution notion for the time-inconsistent stochastic linear-quadratic optimal control problem. This notion is called the mixed equilibrium solution, which consists of two parts: a…
In this short note we formulate a infinite-horizon stochastic optimal control problem for jump-diffusions of Ito-Levy type as a LP problem in a measure space, and prove that the optimal value functions of both problems coincide. The main…
In this paper we study strongly robust optimal control problems under volatility uncertainty. In the $G$-framework we adapt the stochastic maximum principle to find necessary and sufficient conditions for the existence of a strongly robust…
We consider a stochastic transportation problem between two prescribed probability distributions (a source and a target) over processes with general drift dependence and with free end times. First, and in order to establish a dual…
This paper examines stochastic optimal control problems in which the state is perfectly known, but the controller's measure of time is a stochastic process derived from a strictly increasing L\'evy process. We provide dynamic programming…
This paper studies open-loop equilibriums for a general class of time-inconsistent stochastic control problems under jump-diffusion SDEs with deterministic coefficients. Inspired by the idea of Four-Step-Scheme for forward-backward…
Optimal control theory, also known as Pontryagin's Maximum Principle, is applied to the quantum parameter estimation in the presence of decoherence. An efficient procedure is devised to compute the gradient of quantum Fisher information…
This paper revisits the partial information optimal control problem considered by Wang, Wu and Xiong [Wang et al 2013], where the system is derived by a controlled forward-backward stochastic differential equation with correlated noises…
An optimal control problem is considered for linear stochastic differential equations with quadratic cost functional. The coefficients of the state equation and the weights in the cost functional are bounded operators on the spaces of…
Time estimation is a fundamental task that underpins precision measurement, global navigation systems, financial markets, and the organisation of everyday life. Many biological processes also depend on time estimation by nanoscale clocks,…
We study the time-inconsistent linear quadratic optimal control problem for forward-backward stochastic differential equations with potentially indefinite cost weighting matrices for both the state and the control variables. Our research…
A finite horizon linear quadratic(LQ) optimal control problem is studied for a class of discrete-time linear fractional systems (LFSs) affected by multiplicative, independent random perturbations. Based on the dynamic programming technique,…
This paper presents a novel synthesis method for designing an optimal and robust guidance law for a non-throttleable upper stage of a launch vehicle, using a convex approach. In the unperturbed scenario, a combination of lossless and…
We introduce a new optimal control problem where the controlled dynamical system depends on multi-order (incommensurate) fractional differential equations. The cost functional to be maximized is of Bolza type and depends on incommensurate…
Here we derive a nonsmooth maximum principle for optimal control problems with both state and mixed constraints. Crucial to our development is a convexity assumption on the "velocity set". The approach consists of applying known…
We study deterministic nonstationary discrete-time optimal control problems in both finite and infinite horizon. With the aid of Gateaux differentials, we prove a discrete-time maximum principle in analogy with the well-known…
We consider a variant of the classical linear quadratic Gaussian regulator (LQG) in which penalties on the endpoint state are replaced by the specification of the terminal state distribution. The resulting theory considerably differs from…
In this article, we address the velocity tracking control problem for a class of stochastic non-Newtonian fluids. More precisely, we consider the stochastic third-grade fluid equation perturbed by infinite-dimensional additive white noise…
We study an optimal control problem for the stochastic wave equation driven by affine multiplicative noise, formulated as a stochastic linear-quadratic (SLQ) problem. By applying a stochastic Pontryagin's maximum principle, we characterize…