Related papers: On optimal control of forward backward stochastic …
Solving optimal control problems to determine a stabilizing controller involves a significant computational effort. Time-varying optimal control provides a remedy by designing a tracking system, given as an ordinary differential equation,…
In the present paper we derive, via a backward induction technique, and ad hoc maximum principle for an optimal control problem with multiple random terminal times. Therefore we apply the aforementioned result to the case of a linear…
We establish the internal exact controllability of a refined stochastic hyperbolic equation by deriving a suitable observability inequality via Carleman estimates for the associated backward stochastic hyperbolic equation. In contrast to…
This paper is concerned with optimal control of stochastic fully coupled forward-backward linear quadratic (FBLQ) problems with indefinite control weight costs. In order to obtain the state feedback representation of the optimal control, we…
We consider a stochastic control problem with the assumption that the system is controlled until the state process breaks the fixed barrier. Assuming some general conditions, it is proved that the resulting Hamilton Jacobi Bellman equations…
This paper first makes an attempt to investigate the partial information near optimal control of systems governed by forward-backward stochastic differential equations with observation noise under the assumption of a convex control domain.…
In this paper, we consider a stochastic recursive optimal control problem under model uncertainty. In this framework, the cost function is described by solutions of a family of backward stochastic differential equations. With the help of…
In this manuscript, we consider a control system governed by a general ordinary differential equation on a Riemannian manifold, with its endpoints satisfying some inequalities and equalities, and its control constrained to a closed convex…
Optimal control of the singular nonlinear parabolic PDE which is a distributional formulation of multidimensional and multiphase Stefan-type free boundary problem is analyzed. Approximating sequence of finite-dimensional optimal 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…
This paper investigates the exact controllability problem for multi-dimensional stochastic first-order symmetric hyperbolic systems with control inputs acting in two distinct ways: an internal control applied to the diffusion term and a…
This paper investigates the synthesis of distributed economic control algorithms under which dynamically coupled physical systems are regulated to a variational equilibrium of a constrained convex game. We study two complementary cases: (i)…
In the present paper, by using the relaxed transposition method[29], we solve the second-order adjoint equations, corresponding to the optimal control of quantum stochastic systems in fermion fields, which plays the fundamental roles in the…
The control of relaxation-type systems of ordinary differential equations is investigated using the Hamilton-Jacobi-Bellman equation. First, we recast the model as a singularly perturbed dynamics which we embed in a family of controlled…
A new relation among a class of optimal control systems and Lagrangian systems with symmetry is discussed. It will be shown that a family of solutions of optimal control systems whose control equation are obtained by means of a group action…
We consider a stochastic optimal control problem governed by a stochastic differential equation with delay in the control. Using a result of existence and uniqueness of a sufficiently regular mild solution of the associated…
This paper addresses the problem of learning the optimal control policy for a nonlinear stochastic dynamical system with continuous state space, continuous action space and unknown dynamics. This class of problems are typically addressed in…
In this work, we study the control constrained distributed optimal control of a stationary doubly diffusive flow model. For the control problem, we use a well-posedness analysis based on minimal assumptions on data and domain. We show the…
We study an optimal control problem on infinite horizon for a controlled stochastic differential equation driven by Brownian motion, with a discounted reward functional. The equation may have memory or delay effects in the coefficients,…
The purpose of this article is to study a stochastic control problem on a junction, with control at the junction point. The problem of control is formulated in the weak sense, using a relaxed control, namely a control which takes values in…