Related papers: Stochastic control for a class of nonlinear kernel…

In this paper, we consider optimal control problems of stochastic Volterra equations (SVEs) with singular kernels, where the control domain is not necessarily convex. We establish a global maximum principle by means of the spike variation…

We consider a stochastic impulse control problem that is motivated by applications such as the optimal exploitation of a natural resource. In particular, we consider a stochastic system whose uncontrolled state dynamics are modelled by a…

In this paper, we investigate how to achieve the unpredictability against malicious inferences for linear systems. The key idea is to add stochastic control inputs, named as unpredictable control, to make the outputs irregular. The future…

This paper studies the dynamic programming principle using the measurable selection method for stochastic control of continuous processes. The novelty of this work is to incorporate intermediate expectation constraints on the canonical…

This paper is concerned with a stochastic recursive optimal control problem with time delay, where the controlled system is described by a stochastic differential delayed equation (SDDE) and the cost functional is formulated as the solution…

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…

In this paper we study a family of nonlinear (conditional) expectations that can be understood as a continuous semimartingale with uncertain local characteristics. Here, the differential characteristics are prescribed by a set-valued…

In this paper, we establish the invariance of observability for the observed backward stochastic differential equations (BSDEs) with constant coefficients, relative to the filtered probability space. This signifies that the observability of…

This paper addresses the challenge of time-inconsistent stochastic control within a continuous-time framework. Its primary focus lies in uncovering a probabilistic representation, specifically in the shape of a system of backward stochastic…

Stochastic linearization is a method used in Quasilinear Control (QLC) to replace a nonlinearity by an equivalent gain and a bias, utilizing the statistical properties of random inputs. In this paper, the theory of stochastic linearization…

We consider a control problem constrained by the unsteady stochastic Stokes equations with nonhomogeneous boundary conditions in connected and bounded domains. In this paper, controls are defined inside the domain as well as on the…

We present a data-driven algorithm for efficiently computing stochastic control policies for general joint chance constrained optimal control problems. Our approach leverages the theory of kernel distribution embeddings, which allows…

We derive an efficient stochastic algorithm for inverse problems that present an unknown linear forcing term and a set of nonlinear parameters to be recovered. It is assumed that the data is noisy and that the linear part of the problem is…

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…

This work addresses the optimal covariance control problem for stochastic discrete-time linear time-varying systems subject to chance constraints. Covariance steering is a stochastic control problem to steer the system state Gaussian…

We consider an infinite horizon discounted optimal control problem for piecewise deterministic Markov processes, where a piecewise open-loop control acts continuously on the jump dynamics and on the deterministic flow. For this class of…

We formulate and investigate a general stochastic control problem under a progressive enlargement of filtration. The global information is enlarged from a reference filtration and the knowledge of multiple random times together with…

In this article, we focus on the global stabilizability problem for a class of second order uncertain stochastic control systems, where both the drift term and the diffusion term are nonlinear functions of the state variables and the…

This paper considers the problem of uniqueness of the solutions to a class of Markovian backward stochastic differential equations (BSDEs) which are also connected to certain nonlinear partial differential equation (PDE) through a…

The numerical reconstruction of controls for nonlinear partial differential equations (PDEs) remains a challenging and relatively underdeveloped problem, despite the extensive literature on controllability theory. In this work, we introduce…