Related papers: An optimal control problem for mean-field forward-…
This paper investigates the stabilization and control problems for linear continuous-time mean-field systems (MFS). Under standard assumptions, necessary and sufficient conditions to stabilize the mean-field systems in the mean square sense…
This paper presents a novel methodology to tackle feedback optimal control problems in scenarios where the exact state of the controlled process is unknown. It integrates data assimilation techniques and optimal control solvers to manage…
In this paper, we focus on mean-field anticipated backward stochastic differential equations (MF-BSDEs, for short) driven by fractional Brownian motion with Hurst parameter H>1/2. First, the existence and uniqueness of this new type of…
In this article, we present a general methodology for control problems driven by the Brownian motion filtration including non-Markovian and non-semimartingale state processes controlled by mutually singular measures. The main result of this…
We study a stochastic optimal control problem for jump-diffusion systems whose drift coefficient is piecewise Lipschitz continuous and exhibits threshold-induced discontinuities. Such dynamics naturally arise in applications with…
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 consider a mean field optimal control problem with an aggregation-diffusion constraint, where agents interact through a potential, in the presence of a Gaussian noise term. Our analysis focuses on a PDE system coupling a…
We consider a control problem for the nonlinear stochastic Fokker--Planck equation. This equation describes the evolution of the distribution of nonlocally interacting particles affected by a common source of noise. The system is directed…
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…
In this paper, we study the optimal control system driven by stochastic differential equations (SDEs) of mean-field type, in which the control variable has two components, the first being absolutely continuous and the second singular. On…
This paper considers the stochastic linear quadratic optimal control problem in which the control domain is nonconvex. By the functional analysis and convex perturbation methods, we establish a novel maximum principle. The application of…
Throughout this paper, we focused our aim on the problem of optimal control under a risk-sensitive performance functional, where the system is given by a fully coupled forward-backward stochastic differential equation with jump. The risk…
This paper investigates optimal control problems for delayed systems governed by Infinitely Anticipated Backward Stochastic Differential Equations (IABSDEs). Unlike existing frameworks limited to bounded delays, we introduce a generalized…
The well-posedness of a class of optimal control problems is analysed, where the state equation couples a nonlinear degenerate Fokker-Planck equation with a system of Ordinary Differential Equations (ODEs). Such problems naturally arise as…
We study an optimal relaxed control problem for a class of semilinear stochastic PDEs on Banach spaces perturbed by multiplicative noise and driven by a cylindrical Wiener process. The state equation is controlled through the nonlinear part…
We consider a stochastic control problem where the set of strict (classical) controls is not necessarily convex and the the variable control has two components, the first being absolutely continuous and the second singular. The system is…
This paper addresses the mean-square optimal control problem for \a class of discrete-time linear systems with a quasi-colored control-dependent multiplicative noise via output feedback. The noise under study is novel and shown to have…
The paper is devoted to the optimal control of a system with two time-scales, in a regime when the limit equation is not of averaging type but, in the spirit of Wong-Zakai principle, it is a stochastic differential equation for the slow…
The maximum principle for optimal control problems of fully coupled forward-backward doubly stochastic differential equations (FBDSDEs in short) in the global form is obtained, under the assumptions that the diffusion coefficients do not…
We characterize the optimal control for a class of singular stochastic control problems as the unique solution to a related Skorokhod reflection problem. The considered optimization problems concern the minimization of a discounted cost…