Related papers: On relaxed stochastic optimal control for stochast…
In this paper, we study the doubly reflected backward stochastic differential equations driven by $G$-Brownian motion ($G$-BSDEs for short) when the generator has quadratic growth in the $z$-component. Based on the theory of $G$-BMO…
This paper addresses the optimal covariance steering problem for stochastic discrete-time linear systems subject to probabilistic state and control constraints. A method is presented for efficiently attaining the exact solution of the…
This article is concerned with stochastic control problems for backward doubly stochastic differential equations of mean-field type, where the coefficient functions depend on the joint distribution of the state process and the control…
We study linear-quadratic stochastic optimal control problems with bilinear state dependence for which the underlying stochastic differential equation (SDE) consists of slow and fast degrees of freedom. We show that, in the same way in…
There has been a great deal of recent interest in learning and approximation of functions that can be expressed as expectations of a given nonlinearity with respect to its random internal parameters. Examples of such representations include…
A variational representation for functionals of G-Brownian motion is established by a finite-dimensional approximate technique. As an application of the variational representation, we obtain a large deviation principle for stochastic flows…
Devising optimal interventions for constraining stochastic systems is a challenging endeavour that has to confront the interplay between randomness and nonlinearity. Existing methods for identifying the necessary dynamical adjustments…
The aim of this paper is to investigate the existence of optimal controls for systems described by stochastic partial differential equations (SPDEs) with locally monotone coefficients controlled by different external forces which are…
This paper proposes an algorithmic technique for a class of optimal control problems where it is easy to compute a pointwise minimizer of the Hamiltonian associated with every applied control. The algorithm operates in the space of relaxed…
We consider integer-restricted optimal control of systems governed by abstract semilinear evolution equations. This includes the problem of optimal control design for certain distributed parameter systems endowed with multiple actuators,…
We study the problem of optimal inside control of a stochastic Volterra equation driven by a Brownian motion and a Poisson random measure. We prove a sufficient and a necessary maximum principle for the optimal control when the trader has…
We present a numerically tractable formulation for computing the optimal control of the class of hybrid dynamical systems whose trajectories are continuous. Our formulation, an extension of existing relaxed-control techniques for switched…
This paper is concerned with an optimal control problem for a mean-field linear stochastic differential equation with a quadratic functional in the infinite time horizon. Under suitable conditions, including the stabilizability, the…
A dual control problem is presented for the optimal stochastic control of a system governed by partial differential equations. Relationships between the optimal values of the original and the dual problems are investigated and two duality…
We consider a pathwise stochastic optimal control problem and study the associated (not necessarily adapted) Hamilton-Jacobi-Bellman stochastic partial differential equation. We show that the value process is the unique solution of this…
This paper is concerned with optimal control problems for a linear homogeneous stochastic differential equation having regime switching with purely quadratic functional in the large time horizons. We establish the so-called turnpike…
This paper is concerned with a discounted optimal control problem of partially observed forward-backward stochastic systems with jumps on infinite horizon. The control domain is convex and a kind of infinite horizon observation equation is…
This work establishes a general stochastic maximum principle for partially observed optimal control of semi-linear stochastic partial differential equations in a nonconvex control domain. The state evolves in a Hilbert space driven by a…
In this paper, we establish some second order necessary/sufficient optimality conditions for optimal control problems of stochastic evolution equations in infinite dimensions. The control acts on both the drift and diffusion terms and the…
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…