Related papers: Stochastic Evolution Equation Driven by Teugels Ma…
In this work we first present the existence, uniqueness and regularity of the strong solution of the tidal dynamics model perturbed by L\'evy noise. Monotonicity arguments have been exploited in the proofs. We then formulate a martingale…
The classical Euler's problem on stationary configurations of elastic rod with fixed endpoints and tangents at the endpoints is considered as a left-invariant optimal control problem on the group of motions of a two-dimensional plane…
We consider the problem of optimal singular control of a stochastic partial differential equation (SPDE) with space-mean dependence. Such systems are proposed as models for population growth in a random environment. We obtain sufficient and…
The main purpose of this paper is to establish the first and second order necessary optimality conditions for stochastic optimal controls using the classical variational analysis approach. The control system is governed by a stochastic…
A new global stochastic search, guided mainly through derivative-free directional information computable from the sample statistical moments of the design variables within a Monte Carlo setup, is proposed. The search is aided by imparting…
In this paper, we consider a class of stochastic optimal control problems with risk constraints that are expressed as bounded probabilities of failure for particular initial states. We present here a martingale approach that diffuses a risk…
In this paper, we consider the optimal control problem for a class of evolution inclusions with Volterra type operators, which can be history-dependent. We establish the existence of a solution to the stated optimal control problem under…
We consider a bilinear optimal control for an evolution equation involving the fractional Laplace operator of order $0<s<1$. We first give some existence and uniqueness results for the considered evolution equation. Next, we establish some…
This article is devoted to the existence and uniqueness of pathwise solutions to stochastic evolution equations, driven by a H\"older continuous function with H\"older exponent in $(1/2,1)$, and with nontrivial multiplicative noise. As a…
A stochastic optimal control problem driven by an abstract evolution equation in a separable Hilbert space is considered. Thanks to the identification of the mild solution of the state equation as $\nu$-weak Dirichlet process, the value…
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,…
We investigate constrained optimal control problems for linear stochastic dynamical systems evolving in discrete time. We consider minimization of an expected value cost over a finite horizon. Hard constraints are introduced first, and then…
We study a class of infinite-dimensional singular stochastic control problems with applications in economic theory and finance. The control process linearly affects an abstract evolution equation on a suitable partially-ordered…
This paper aims to study the relationship between the maximum principle and the dynamic programming principle for recursive optimal control problem of stochastic evolution equations, where the control domain is not necessarily convex and…
We prove that the mild solution to a semilinear stochastic evolution equation on a Hilbert space, driven by either a square integrable martingale or a Poisson random measure, is (jointly) continuous, in a suitable topology, with respect to…
We consider a class of optimal control problems, with finite or infinite horizon, for a continuous-time Markov chain with finite state space. In this case, the control process affects the transition rates. We suppose that the controlled…
We consider a unifying framework for stochastic control problem including the following features: partial observation, path-dependence (both with respect to the state and the control), and without any non-degeneracy condition on the…
Optimality conditions in the form of a variational inequality are proved for a class of constrained optimal control problems of stochastic differential equations. The cost function and the inequality constraints are functions of the…
The main goal of this article is to prove the existence of a random attractor for a stochastic evolution equation driven by a fractional Brownian motion with $H\in (1/2,1)$. We would like to emphasize that we do not use the usual cohomology…
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…