Related papers: Optimal control of diffusion processes pertaining …
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…
This paper aims to explore the relationship between maximum principle and dynamic programming principle for stochastic recursive control problem with random coefficients. Under certain regular conditions for the coefficients, the…
In this manuscript we consider a class optimal control problem for stochastic differential delay equations. First, we rewrite the problem in a suitable infinite-dimensional Hilbert space. Then, using the dynamic programming approach, we…
We study a stochastic optimal control problem for jump-diffusion systems whose drift coefficient is piecewise Lipschitz continuous and exhibits threshold-induced discontinuities. Such dynamics naturally arise in applications with…
The standard practice in modeling dynamics and optimal control of a large population, ensemble, multi-agent system represented by it's continuum density, is to model individual decision making using local feedback information. In comparison…
We consider a general class of stochastic optimal control problems, where the state process lives in a real separable Hilbert space and is driven by a cylindrical Brownian motion and a Poisson random measure; no special structure is imposed…
Predicting the response of an observed system to a known input is a fruitful first step to accurately control the system's dynamics. Despite the recent advances in fully data-driven algorithms, the most interpretable way to reach this goal…
We study the problem of optimal control of dissipative quantum dynamics. Although under most circumstances dissipation leads to an increase in entropy (or a decrease in purity) of the system, there is an important class of problems for…
This paper considers optimal control of dynamical systems which are represented by nonlinear stochastic differential equations. It is well-known that the optimal control policy for this problem can be obtained as a function of a value…
This work investigates the optimal control of the variable-exponent subdiffusion, which extends the work [Gunzburger and Wang, {\it SIAM J. Control Optim.} 2019] to the variable-exponent case to account for the multiscale and crossover…
We study the problem of optimal portfolio selection under stochastic volatility within a continuous time reinforcement learning framework with portfolio constraints. Exploration is modeled through entropy-regularized relaxed controls, where…
In this paper, we investigate the distributed optimal control problem for a kind of nonlinear multi-agent systems. In particular,both the state and the system dynamic structures of each agent are private and can only be shared among…
In this paper, we address an optimal distributed control problem for a non-local model of phase-field type, describing the evolution of tumour cells in presence of a nutrient. The model couples a non-local and viscous Cahn-Hilliard equation…
We study the temperature control problem for Langevin diffusions in the context of non-convex optimization. The classical optimal control of such a problem is of the bang-bang type, which is overly sensitive to errors. A remedy is to allow…
In this work, we present numerical analysis for a distributed optimal control problem, with box constraint on the control, governed by a subdiffusion equation which involves a fractional derivative of order $\alpha\in(0,1)$ in time. The…
In the present paper we deal with an optimal control problem related to a model in population dynamics; more precisely, the goal is to modify the behavior of a given density of individuals via another population of agents interacting with…
A class of optimal control problems governed by linear fractional diffusion equation with control constraint is considered. We first establish some results on the existence of strong solution to the state equation and the existence of…
This paper is concerned with stochastic impulse control problems in which the running cost changes depending on the impulse control. Because of such a dependence, it brings several difficulties when the usual dynamic programming principle…
In this paper, we consider an importance sampling problem for a certain rare-event simulations involving the behavior of a diffusion process pertaining to a chain of distributed systems with random perturbations. We also assume that the…
An optimal control problem is considered for a stochastic differential equation containing a state-dependent regime switching, with a recursive cost functional. Due to the non-exponential discounting in the cost functional, the problem is…