Related papers: A sufficient optimality condition for delayed stat…
Inspired by recent work of P.-L. Lions on conditional optimal control, we introduce a problem of optimal stopping under bounded rationality: the objective is the expected payoff at the time of stopping, conditioned on another event. For…
In this work, we consider optimality conditions of an optimal control problem governed by an obstacle problem. Here, we focus on introducing a, matrix valued, control variable as the coefficients of the obstacle problem. As it is well…
We develop a theory for solving continuous time optimal stopping problems for non-linear expectations. Our motivation is to consider problems in which the stopper uses risk measures to evaluate future rewards.
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…
An optimal control problem with a time-parameter is considered. The functional to be optimized includes the maximum over time-horizon reached by a function of the state variable, and so an $L^\infty$-term. In addition to the classical…
This paper studies a class of continuous-time scalar-state stochastic Linear-Quadratic (LQ) optimal control problem with the linear control constraints. Applying the state separation theorem induced from its special structure, we develop…
In this paper, we study the relative controllability of linear difference equations with multiple delays in the state by using a suitable formula for the solutions of such systems in terms of their initial conditions, their control inputs,…
In this paper, we study the optimal control problem for steering the state covariance of a discrete-time linear stochastic system over a finite time horizon. First, we establish the existence and uniqueness of the optimal control law for a…
We consider a stochastic control problem, where the control domain is convex and the system is governed by a nonlinear backward stochastic differential equation. With a L1 terminal data, we derive necessary optimality conditions in the form…
In this study, we propose a varying terminal time structure for the optimal control problem under state constraints, in which the terminal time follows the varying of the control via the constrained condition. Focusing on this new optimal…
Model-free algorithms are brought into the control system's research with the emergence of reinforcement learning algorithms. However, there are two practical challenges of reinforcement learning-based methods. First, learning by…
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…
In this paper we study the conditioning of optimal control problems constrained by linear parabolic equations with Neumann boundary conditions. While we concentrate on a given end-time target function the results hold also when the target…
This paper is concerned with a linear quadratic optimal control problem of delayed backward stochastic differential equations. An explicit representation is derived for the optimal control, which is a linear feedback of the entire past…
We consider a class of closed loop stochastic optimal control problems in finite time horizon, in which the cost is an expectation conditional on the event that the process has not exited a given bounded domain. An important difficulty is…
In this paper we introduce a new procedure to solve nonlinear optimal control problems with delays which exploits indirect methods combined with numerical homotopy procedures. It is known that solving this kind of problems via indirect…
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…
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 investigate the transient times for the onset of control of steady states by time-delayed feedback. The optimization of control by minimising the transient time before control becomes effective is discussed analytically and numerically,…
This paper investigates the stochastic linear-quadratic control problems with affine constraints, in which both equality and inequality constraints are involved. With the help of the Pontryagin maximum principle and Lagrangian duality…