Related papers: Stochastic Control with Delayed Information and Re…
In this paper, we study the stochastic optimal control problem for control system with time-varying delay. The corresponding stochastic differential equation is a kind of stochastic differential delay equation. We prove the existence and…
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 consider a class of stochastic impulse control problem when there is a fixed delay $\Delta$ between the decision and execution times. The dynamics of the controlled system between two impulses is an arbitrary adapted…
In this paper, we consider optimal control problems derived by stochastic systems with delay, where control domains are non-convex and the diffusion coefficients depend on control variables. By an estimate of the integral of…
Stochastic optimal control problems governed by delay equations with delay in the control are usually more difficult to study than the the ones when the delay appears only in the state. This is particularly true when we look at the…
We study the existence and uniqueness of a solution for the multivalued stochastic differential equation with delay (the multivalued term is of subdifferential type): \[ \left\{\begin{array} [c]{r} dX(t)+\partial\varphi\left(X(t)\right)…
Stochastic optimal control problems governed by delay equations with delay in the control are usually more difficult to study than the the ones when the delay appears only in the state. This is particularly true when we look at the…
In this paper we are interested in a new type of {\it mean-field}, non-Markovian stochastic control problems with partial observations. More precisely, we assume that the coefficients of the controlled dynamics depend not only on the paths…
We study methods for solving stochastic control problems of systems of forward-backward mean-field equations with delay, in finite or infinite horizon. Necessary and sufficient maximum principles under partial information are given. The…
We investigate a stochastic optimal control problem where the controlled system is depicted as a stochastic differential delayed equation; however, at the terminal time, the state is constrained in a convex set. We firstly introduce an…
We consider a stochastic optimal control problem governed by a stochastic differential equation with delay in the control. Using a result of existence and uniqueness of a sufficiently regular mild solution of the associated…
The main contributions of this paper are three fold. First, our primary concern is to investigate a class of stochastic recursive delayed control problems which arise naturally with sound backgrounds but have not been well-studied yet. For…
A novel approach to design the feedback control based on past states is proposed for hybrid stochastic differential equations (HSDEs). This new theorem builds up the connection between the delay feedback control and the control function…
This paper investigates optimal control problems for delayed systems governed by Infinitely Anticipated Backward Stochastic Differential Equations (IABSDEs). Unlike existing frameworks limited to bounded delays, we introduce a generalized…
The $n$-step delayed sharing information structure is investigated. This information structure comprises of $K$ controllers that share their information with a delay of $n$ time steps. This information structure is a link between the…
We give answer to an open question by proving a sufficient optimality condition for state-linear optimal control problems with time delays in state and control variables. In the proof of our main result, we transform a delayed state-linear…
As a main step in the numerical solution of control problems in continuous time, the controlled process is approximated by sequences of controlled Markov chains, thus discretising time and space. A new feature in this context is to allow…
In this paper, we first introduce a new spatial-temporal interaction operator to describe the space-time dependent phenomena. Then we consider the stochastic optimal control of a new system governed by a stochastic partial differential…
We investigate the problem of coordinating human-driven vehicles in road intersections without any traffic lights or signs by issuing speed advices. The vehicles in the intersection are assumed to move along an a priori known path and to be…
We prove a general existence result in stochastic optimal control in discrete time where controls take values in conditional metric spaces, and depend on the current state and the information of past decisions through the evolution of a…