Related papers: Optimal control for two-dimensional stochastic sec…
This paper is the second part of our series of work to establish pointwise second-order necessary conditions for stochastic optimal controls. In this part, we consider the general cases, i.e., the control region is allowed to be nonconvex,…
Novel nonlinear damping control is proposed for the second-order systems. The proportional output feedback is combined with the damping term which is quadratic to the output derivative and inverse to the set-point distance. The global…
In this paper, we are concerned with a stochastic optimal control problem of mean-field type under partial observation, where the state equation is governed by the controlled nonlinear mean-field stochastic differential equation, moreover…
This short note shows how to solve optimal control problems using second order sensitivity analysis
We consider an optimal control problem governed by an elliptic variational inequality of the second kind. The problem is discretized by linear finite elements for the state and a variational discrete approach for the control. Based on a…
We study a constrained stochastic control problem with jumps; the jump times of the controlled process are given by a Poisson process. The cost functional comprises quadratic components for an absolutely continuous control and 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 this paper, we consider linear quadratic optimal control with mean-field type for discrete-time stochastic systems with state and control dependent noise. An optimal control problem is studied for a linear mean-field stochastic…
We consider a stochastic control problem where the set of strict (classical) controls is not necessarily convex, and the system is governed by a nonlinear backward stochastic differential equation. By introducing a new approach, we…
In this paper we study the stochastic control problem of partially observed (multi-dimensional) stochastic system driven by both Brownian motions and fractional Brownian motions. In the absence of the powerful tool of Girsanov…
This paper is concerned with the existence of optimal controls for backward stochastic partial differential equations with random coefficients, in which the control systems are represented in an abstract evolution form, i.e. backward…
The flow of nematic liquid crystals can be described by a highly nonlinear stochastic hydrodynamical model, thus is often influenced by random fluctuations, such as uncertainty in specifying initial conditions and boundary conditions. In…
In this paper we study the optimal stochastic control problem for a path-dependent stochastic system under a recursive path-dependent cost functional, whose associated Bellman equation from dynamic programming principle is a path-dependent…
In this paper, we study a class of stochastic optimal control problem with jumps under partial information. More precisely, the controlled systems are described by a fully coupled nonlinear multi- dimensional forward-backward stochastic…
This note is addressed to giving a short introduction to control theory of stochastic systems, governed by stochastic differential equations in both finite and infinite dimensions. We will mainly explain the new phenomenon and difficulties…
In this paper, we establish a general stochastic maximum principle for optimal control for systems described by a continuous-time Markov regime-switching stochastic recursive utilities model. The control domain is postulated not to be…
The paper puts forward sufficient conditions for local controllability of a control dynamical system. The results obtained are meaningful in the case when the linear approximation to this system is not completely controllable. As a…
We investigate the asymptotic properties of a finite-time horizon linear-quadratic optimal control problem driven by a multiscale stochastic process with multiplicative Brownian noise. We approach the problem by considering the associated…
We consider the existence and first order conditions of optimality for a stochastic optimal control problem inspired by the celebrated FitzHugh-Nagumo model, with nonlinear diffusion term, perturbed by a linear multiplicative Brownian-type…
This paper deals with the controllability of the second grade fluids, a class of non-Newtonian of differentiel type, on a two-dimensional torus. Using the method of Agrachev-Sarychev [1], [2] and of Sirikyan [26], we prove that the system…