Related papers: On optimal control of forward backward stochastic …
In this paper we investigate the optimal control problem for a class of stochastic Cauchy evolution problem with non standard boundary dynamic and control. The model is composed by an infinite dimensional dynamical system coupled with a…
The optimal control problem of stochastic systems is commonly solved via robust or scenario-based optimization methods, which are both challenging to scale to long optimization horizons. We cast the optimal control problem of a stochastic…
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 investigate an optimal control problem governed by parabolic equations with measure-valued controls over time. We establish the well-posedness of the optimal control problem and derive the first-order optimality condition…
We study a class of backward stochastic differential equations (BSDEs) driven by a random measure or, equivalently, by a marked point process. Under appropriate assumptions we prove well-posedness and continuous dependence of the solution…
In this paper, we study a stochastic optimal control problem under a type of consistent convex expectation dominated by G-expectation. By the separation theorem for convex sets, we get the representation theorems for this convex expectation…
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…
In this paper, we study two kinds of singular optimal controls (SOCs for short) problems where the systems governed by forward-backward stochastic differential equations (FBSDEs for short), in which the control has two components: the…
This paper is mainly concerned with the solutions to both forward and backward mean-field stochastic partial differential equation and the corresponding optimal control problem for mean-field stochastic partial differential equation. We…
This paper investigates the optimal control problem for a class of nonlinear fully coupled forward-backward stochastic difference equations (FBS$\Delta$Es). Under the convexity assumption of the control domain, we establish a variational…
A class of optimal control problems governed by linear fractional diffusion equation with control constraint is considered. We first establish some results on the existence of strong solution to the state equation and the existence of…
This paper deals with partially-observed optimal control problems for the state governed by stochastic differential equation with delay. We develop a stochastic maximum principle for this kind of optimal control problems using a variational…
In this paper, we investigate the controlled system described by forward-backward stochastic differential equations with the control contained in drift, diffusion and generator of BSDE. A new verification theorem is derived within the…
We consider a class of stochastic impulse control problems of general stochastic processes i.e. not necessarily Markovian. Under fairly general conditions we establish existence of an optimal impulse control. We also prove existence of…
In this paper we prove a necessary condition of the optimal control problem for a class of general mean-field forward-backward stochastic systems with jumps in the case where the diffusion coefficients depend on control, the control set…
We consider a problem of optimal control of an infinite horizon system governed by forward-backward stochastic differential equations with delay. Sufficient and necessary maximum principles for optimal control under partial information in…
This article is concerned with an optimal control problem derived by mean-field forward-backward stochastic differential equation with noisy observation, where the drift coefficients of the state equation and the observation equation are…
This paper is concerned with a general maximum principle for the fully coupled forward-backward stochastic optimal control problem with jumps, where the control domain is not necessarily convex, within the progressively measurable…
This paper is addressed to studying the exact controllability for stochastic transport equations by two controls: one is a boundary control imposed on the drift term and the other is an internal control imposed on the diffusion term. By…
We prove convergence of the proximal policy gradient method for a class of constrained stochastic control problems with control in both the drift and diffusion of the state process. The problem requires either the running or terminal cost…