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We propose a novel reformulation of the stochastic optimal control problem as an approximate inference problem, demonstrating, that such a interpretation leads to new practical methods for the original problem. In particular we characterise…
In this paper, we establish a general stochastic maximum principle for optimal control for systems described by a continuous-time Markov regime-switching stochastic recursive utilities model. The control domain is postulated not to be…
We present a method to solve fractional optimal control problems, where the dynamic depends on integer and Caputo fractional derivatives. Our approach consists to approximate the initial fractional order problem with a new one that involves…
Optimal control under uncertainty is a prevailing challenge for many reasons. One of the critical difficulties lies in producing tractable solutions for the underlying stochastic optimization problem. We show how advanced approximate…
We analyze a class of multidimensional linear-quadratic stochastic control problems with random coefficients, motivated by multi-asset optimal trade execution. The problems feature non-diffusive controlled state dynamics and a terminal…
This article deals with a stochastic control problem for certain fluids of non-Newtonian type. More precisely, the state equation is given by the two-dimensional stochastic second grade fluids perturbed by a multiplicative white noise. The…
We consider a control problem constrained by the unsteady stochastic Stokes equations with nonhomogeneous boundary conditions in connected and bounded domains. In this paper, controls are defined inside the domain as well as on the…
In this paper we make a survey on the so called randomization method, a recent methodology to study stochastic optimization problems. It allows to represent the value function of an optimal control problem by a suitable backward stochastic…
We consider a stochastic control problem with the assumption that the system is controlled until the state process breaks the fixed barrier. Assuming some general conditions, it is proved that the resulting Hamilton Jacobi Bellman equations…
This paper is concerned with a general non-homogeneous stochastic linear quadratic (LQ) control problem with regime switching and random coefficients. We obtain the explicit optimal state feedback control and optimal value for this problem…
In this paper we formulate and solve an optimal problem for Stochastic process with a regime absorbing state. The solution for this problem is obtained through a system of partial differential equations. The method is applied to obtain an…
In this paper we investigate the optimal control problem for a class of stochastic Cauchy evolution problem with non standard boundary dynamic and control. The model is composed by an infinite dimensional dynamical system coupled with a…
We study a class of stochastic evolution equations of jump type with random coefficients and its optimal control problem. There are three major ingredients. The first is to prove the existence and uniqueness of the solutions by continuous…
Optimality conditions in the form of a variational inequality are proved for a class of constrained optimal control problems of stochastic differential equations. The cost function and the inequality constraints are functions of the…
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 the stochastic optimal control problem for the dynamical system of the stochastic differential equation driven by a local martingale with a spatial parameter. Assuming the convexity of the control domain, we obtain the…
This paper is concerned with linear quadratic optimal control problems for mean-field backward stochastic differential equations (MF-BSDEs, for short) with deterministic coefficients. The optimality system, which is a linear mean-field…
The problem of open-loop dynamical control of generic open quantum systems is addressed. In particular, I focus on the task of effectively switching off environmental couplings responsible for unwanted decoherence and dissipation effects.…
In this paper, we investigate the closed-loop solvability of the quantum stochastic linear quadratic optimal control problem. We derive the Pontryagin maximum principle for the linear quadratic control problem of infinite-dimensional…
A dual control problem is presented for the optimal stochastic control of a system governed by partial differential equations. Relationships between the optimal values of the original and the dual problems are investigated and two duality…