Related papers: Optimal control of forward-backward stochastic Vol…
In this paper, the notion of singular backward stochastic Volterra integral equations (singular BSVIEs for short) in infinite dimensional space is introduced, and the corresponding well-posedness is carefully established. A class of…
This paper is devoted to the study, for the first time in the literature, of optimal control problems for sweeping processes governed by integro-differential inclusions of the Volterra type with different classes of control functions acting…
We study \emph{optimal insider control problems}, i.e. optimal control problems of stochastic systems where the controller at any time $t$ in addition to knowledge about the history of the system up to this time, also has additional…
The entropy regularization is inspired by information entropy from machine learning and the ideas of exploration and exploitation in reinforcement learning, which appears in the control problem to design an approximating algorithm for the…
We study an optimal distributed control problem associated to a stochastic Cahn-Hilliard equation with a classical double-well potential and Wiener multiplicative noise, where the control is represented by a source-term in the definition of…
In the context of optimal control, we consider the inverse problem of Lagrangian identification given system dynamics and optimal trajectories. Many of its theoretical and practical aspects are still open. Potential applications are very…
In this paper, we propose a new policy iteration algorithm to compute the value function and the optimal controls of continuous time stochastic control problems. The algorithm relies on successive approximations using linear-quadratic…
Models involving hybrid systems are versatile in their application but difficult to optimize efficiently due to their combinatorial nature. This work presents a method to cope with hybrid optimal control problems which, in contrast to…
This paper is concerned with a linear quadratic optimal control for a class of singular Volterra integral equations. Under proper convexity conditions, optimal control uniquely exists, and it could be characterized via Frechet derivative of…
This article investigates the exact controllability of three-dimensional stochastic Maxwell equations, a coupled system comprising two stochastic partial differential equations. The research establishes the observability inequality for the…
In this paper, we study the following nonlinear backward stochastic integral partial differential equation with jumps \begin{equation*} \left\{ \begin{split} -d V(t,x) =&\displaystyle\inf_{u\in U}\bigg\{H(t,x,u, DV(t,x),D \Phi(t,x), D^2…
In this paper, we study the stochastic optimal control problem for control system with time-varying delay. The corresponding stochastic differential equation is a kind of stochastic differential delay equation. We prove the existence and…
Most existing neural network-based approaches for solving stochastic optimal control problems using the associated backward dynamic programming principle rely on the ability to simulate the underlying state variables. However, in some…
Linear-quadratic optimal control problem for systems governed by forward-backward stochastic differential equations has been extensively studied over the past three decades. Recent research has revealed that for forward-backward control…
In this paper, we consider the fully coupled forward-backward stochastic functional differential equations (FBSFDEs) with stochastic functional differential equations as the forward equations and the generalized anticipated backward…
In this manuscript we consider a class optimal control problem for stochastic differential delay equations. First, we rewrite the problem in a suitable infinite-dimensional Hilbert space. Then, using the dynamic programming approach, we…
We derive an algorithm in the spirit of Rogers and Davis & Burstein that leads to upper bounds for stochastic control problems. Our bounds complement lower biased estimates recently obtained in the work of Guyon & Henry-Labord\`ere. We…
This paper is concerned with a linear quadratic optimal control problem of delayed backward stochastic differential equations. An explicit representation is derived for the optimal control, which is a linear feedback of the entire past…
This paper is concerned with a backward stochastic linear-quadratic (LQ, for short) optimal control problem with deterministic coefficients. The weighting matrices are allowed to be indefinite, and cross-product terms in the control and…
In this paper we study stochastic optimal control problems of fully coupled forward-backward stochastic differential equations (FBSDEs). The recursive cost functionals are defined by controlled fully coupled FBSDEs. We study two cases of…