Related papers: Optimal control on graphs: existence, uniqueness, …
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…
We study a finite-dimensional continuous-time optimal control problem on finite horizon for a controlled diffusion driven by Brownian motion, in the linear-quadratic case. We admit stochastic coefficients, possibly depending on an…
We introduce a spatial economic growth model where space is described as a network of interconnected geographic locations and we study a corresponding finite-dimensional optimal control problem on a graph with state constraints. Economic…
In this paper, we first establish the dynamic programming principle for stochastic optimal control problems defined on compact Riemannian manifolds without boundary. Subsequently, we derive the associated Hamilton-Jacobi-Bellman (HJB)…
In this study, we consider an optimal control problem driven by a stochastic differential system with a stopping time terminal cost functional. We establish the stochastic maximum principle for this new kind of an optimal control problem by…
We establish the existence of an optimal control for a general class of singular control problems with state constraints. The proof uses weak convergence arguments and a time rescaling technique. The existence of optimal controls for…
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…
In this paper, we study a time-inconsistent stochastic optimal control problem with a recursive cost functional by a multi-person hierarchical differential game approach. An equilibrium strategy of this problem is constructed and a…
This paper deals with a stochastic optimal feedback control problem for the controlled stochastic partial differential equations. More precisely, we establish the existence of stochastic optimal feedback control for the controlled…
This paper mainly investigates the optimal control and stabilization problems for linear discrete-time Markov jump systems. The general case for the finite-horizon optimal controller is considered, where the input weighting matrix in the…
In this paper, problems of optimal control are considered where in the objective function, in addition to the control cost there is a tracking term that measures the distance to a desired stationary state. The tracking term is given by some…
We establish the existence of optimal scheduling strategies for time-bounded reachability in continuous-time Markov decision processes, and of co-optimal strategies for continuous-time Markov games. Furthermore, we show that optimal control…
Stochastic optimal control problems have a long tradition in applied probability, with the questions addressed being of high relevance in a multitude of fields. Even though theoretical solutions are well understood in many scenarios, their…
We study a regulation problem for stochastic systems subject to both continuous fluctuations and rare but significant shocks, modeled as a jump-diffusion with uncertainty in both the drift and the jump intensity. Such settings arise in…
We consider an infinite horizon discounted optimal control problem for piecewise deterministic Markov processes, where a piecewise open-loop control acts continuously on the jump dynamics and on the deterministic flow. For this class of…
This paper is concerned with an optimal control problem for a nonhomogeneous linear stochastic differential equation having regime switching with a quadratic functional in the large time horizon. This is a continuation of the paper…
In this paper, we consider the problem of distributed optimal control of linear dynamical systems with a quadratic cost criterion. We study the case of output feedback control for two interconnected dynamical systems, and show that the…
We derive the explicit solutions to singular stochastic control problems of the monotone follower type with (a) an expected discounted criterion, (b) an expected ergodic criterion and (c) a pathwise ergodic criterion. These problems have…
This paper studies an optimal stochastic impulse control problem in a finite horizon with a decision lag, by which we mean that after an impulse is made, a fixed number units of time has to be elapsed before the next impulse is allowed to…
This paper considers an optimal control problem for a linear mean-field stochastic differential equation having regime switching with quadratic functional in the large time horizons. Our main contribution lies in establishing the strong…