Related papers: A maximum principle for a stochastic control probl…
In this paper we present a dynamic programing approach to stochastic optimal control problems with dynamic, time-consistent risk constraints. Constrained stochastic optimal control problems, which naturally arise when one has to consider…
In this paper, we propose a new policy iteration algorithm to compute the value function and the optimal controls of continuous time stochastic control problems. The algorithm relies on successive approximations using linear-quadratic…
We consider a stochastic control problem where the set of strict (classical) controls is not necessarily convex and the the variable control has two components, the first being absolutely continuous and the second singular. The system is…
This article explores the discrete-time stochastic optimal LQR control with delay and quadratic constraints. The inclusion of delay, compared to delay-free optimal LQR control with quadratic constraints, significantly increases the…
In this paper, we study the linear-quadratic control problem for mean-field backward stochastic differential equations (MF-BSDE) with random coefficients. We first derive a preliminary stochastic maximum principle to analyze the unique…
This paper investigates the optimal co-design of logical and continuous controls for switched linear systems governed by controlled logical switching dynamics. Unlike traditional switched systems with arbitrary or state-dependent switching,…
Stochastic maximum principle (SMP) specifies a necessary condition for the solution of a stochastic optimal control problem. The condition involves a coupled system of forward and backward stochastic differential equations (FBSDE) for the…
This paper is devoted to an optimal control problem of fully coupled forward-backward stochastic differential equations driven by sub-diffusion, whose solutions are not Markov processes. The stochastic maximum principle is obtained, where…
In this paper, we investigate the optimal control problem for systems driven by mixed fractional Brownian motion (including a fractional Brownian motion with Hurst parameter $H>1/2$ and the standard Brownian motion). By using Malliavin…
We consider stochastic control with discretionary stopping for the drift of a diffusion process over an infinite time horizon. The objective is to choose a control process and a stopping time to minimize the expectation of a convex terminal…
We consider a two-sided singular stochastic control problem with a risk-sensitive ergodic criterion. In particular, we consider a stochastic system whose uncontrolled dynamics are modelled by a linear diffusion. The control that can be…
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 concern with the ergodic linear-quadratic closed-loop optimal control problems with random periodic coefficients. We put forward the random periodic mean-square exponentially stable condition, and prove the random…
This paper is concerned with optimal control of stochastic fully coupled forward-backward linear quadratic (FBLQ) problems with indefinite control weight costs. In order to obtain the state feedback representation of the optimal control, we…
A stochastic procedure is developed which allows one to express Pontryagin's maximum principle for dissipative quantum system solely in terms of stochastic wave functions. Time-optimal controls can be efficiently computed without computing…
This paper addresses the challenge of time-inconsistent stochastic control within a continuous-time framework. Its primary focus lies in uncovering a probabilistic representation, specifically in the shape of a system of backward stochastic…
In this paper we prove necessary conditions for optimality of a stochastic control problem for a class of stochastic partial differential equations that is controlled through the boundary. This kind of problems can be interpreted as a…
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…
We study a stochastic control problem with regime switching arising in an optimal liquidation problem with dark pools and multiple regimes. The new feature of this model is that it introduces a system of BSDEs with jumps and with singular…
This paper is concerned with a stochastic linear-quadratic (LQ) optimal control problem on infinite time horizon, with regime switching, random coefficients, and cone control constraint. To tackle the problem, two new extended stochastic…