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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…
Trajectory optimization is a fundamental stochastic optimal control problem. This paper deals with a trajectory optimization approach for dynamical systems subject to measurement noise that can be fitted into linear time-varying stochastic…
An abstract framework guaranteeing the continuous differentiability of local value functions on $H^1(\Omega)$ associated with optimal stabilization problems subject to abstract semilinear parabolic equations in the presence of norm…
We study an optimal execution problem in a continuous-time market model that considers market impact. We formulate the problem as a stochastic control problem and investigate properties of the corresponding value function. We find that…
This paper contains a summary of mathematical researches of stochastic properties of the long time behavior of a continuously observed (and interactively controlled) quantum--field top. Applications to interactively controlled stochastic…
This paper investigates the optimal control problems for the finite-horizon continuous-time Markov decision processes with delay-dependent control policies. We develop compactification methods in decision processes, and show that the…
The paper presents a novel method for designing an optimal controller for discrete-time switched linear systems. The problem is formulated as one of computing the discrete mode sequence and the continuous input sequence that jointly…
An optimal control for a dynamical system optimizes a certain objective function. Here we consider the construction of an optimal control for a stochastic dynamical system with a random structure, Poisson perturbations and random jumps,…
In this paper, for any homogeneous system of agents with linear continuous time dynamics, we formulate an optimal control problem. In this problem a convex cost functional of the control signals of the agents shall be minimized, while the…
Consider the problem of a government that wants to reduce the debt-to-GDP (gross domestic product) ratio of a country. The government aims at choosing a debt reduction policy which minimises the total expected cost of having debt, plus the…
We study the optimal control of path-dependent piecewise deterministic processes. An appropriate dynamic programming principle is established. We prove that the associated value function is the unique minimax solution of the corresponding…
Motivated by robotic surveillance applications, this paper studies the novel problem of maximizing the return time entropy of a Markov chain, subject to a graph topology with travel times and stationary distribution. The return time entropy…
In this paper we study strongly robust optimal control problems under volatility uncertainty. In the $G$-framework we adapt the stochastic maximum principle to find necessary and sufficient conditions for the existence of a strongly robust…
The aim of this paper is to investigate the existence of optimal controls for systems described by stochastic partial differential equations (SPDEs) with locally monotone coefficients controlled by different external forces which are…
In this paper, we study a stochastic recursive optimal control problem in which the system is governed by a functional forward-backward stochastic differential equation. Under standard assumptions, we establish the dynamic programming…
This paper studies a kind of minimal time control problems related to the exact synchronization for a controlled linear system of parabolic equations. Each problem depends on two parameters: the bound of controls and the initial state. The…
In this paper we consider discrete time stochastic optimal control problems over infinite and finite time horizons. We show that for a large class of such problems the Taylor polynomials of the solutions to the associated Dynamic…
We consider a zero-sum stochastic game for continuous-time Markov chain with countable state space and unbounded transition and pay-off rates. The additional feature of the game is that the controllers together with taking actions are also…
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…
Environmental management optimizing a long-run objective is an ergodic control problem whose resolution can be achieved by solving an associated non-local Hamilton-Jacobi-Bellman (HJB) equation having an effective Hamiltonian. Focusing on…