Related papers: Optimal control for two-dimensional stochastic sec…
In this article, we study the strong well-posedness, stability and optimal control of an incompressible magneto-viscoelastic fluid model in two dimensions. The model consists of an incompressible Navier--Stokes equation for the velocity…
An optimal control problem for the linear wave equation with control cost chosen as the BV semi-norm in time is analyzed. This formulation enhances piecewise constant optimal controls and penalizes the number of jumps. Existence of optimal…
The classical maximum principle for optimal stochastic control states that if a control $\hat{u}$ is optimal, then the corresponding Hamiltonian has a maximum at $u=\hat{u}$. The first proofs for this result assumed that the control did not…
This paper investigates the stochastic linear-quadratic (LQ, for short) optimal control problems with non-Markovian regime switching in a finite time horizon where the state equation is multi-dimensional. Similar to the classical stochastic…
This paper is concerned with optimal control problems for systems governed by mean-field stochastic differential equation, in which the control enters both the drift and the diffusion coefficient. We prove that the relaxed state process,…
A class of time-optimal control problems governed by semilinear parabolic equations with mixed pointwise constraints and final point constraints is considered. By introducing the so-called locally optimal solution to time-optimal control…
The paper is devoted to a stochastic optimal control problem for a two scale, infinite dimensional, stochastic system. The state of the system consists of slow and fast component and its evolution is driven by both continuous Wiener noises…
We consider a stochastic control problem which is composed of a controlled stochastic differential equation, and whose associated cost functional is defined through a controlled backward stochastic differential equation. Under appropriate…
Dual control denotes a class of control problems where the parameters governing the system are imperfectly known. The challenge is to find the optimal balance between probing, i.e. exciting the system to understand it more, and caution,…
We consider an optimal control problem for the steady-state Kirchhoff equation, a prototype for nonlocal partial differential equations, different from fractional powers of closed operators. Existence and uniqueness of solutions of the…
We address the role of noise and the issue of efficient computation in stochastic optimal control problems. We consider a class of non-linear control problems that can be formulated as a path integral and where the noise plays the role of…
Many techniques originally developed in the context of deterministic control theory have been recently applied to the quest for optimal protocols in stochastic processes. Given a system subject to environmental fluctuations, one may ask…
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…
We provide an overview on how to use the measurable selection techniques to derive the dynamic programming principle for a general stochastic optimal control/stopping problem. By considering its martingale problem formulation on the…
In this paper, we consider the stochastic optimal control problem for a generalized Volterra control system. The corresponding state process is a kind of a generalized stochastic Volterra integral differential equations. We prove the…
In this paper, we investigate an optimal boundary control problem for a two dimensional simplified Ericksen--Leslie system modelling the incompressible nematic liquid crystal flows. The hydrodynamic system consists of the Navier--Stokes…
The study of optimal control problems under uncertainty plays an important role in scientific numerical simulations. This class of optimization problems is strongly utilized in engineering, biology and finance. In this paper, a stochastic…
In this paper, we develop a theoretical framework for nonlinear stochastic optimal control problems with optimal stopping by establishing a density-based deterministic representation of the underlying diffusion. For state-independent…
In this paper, we consider the problem of multi-objective optimal control of a dynamical system with additive and multiplicative noises with given second moments and arbitrary probability distributions. The objectives are given by quadratic…
Non-smooth dynamics driven by stochastic disturbance arise in a wide variety of engineering problems. Impulsive interventions are often employed to control stochastic systems; however, the modeling and analysis subject to execution delay…