Related papers: On a Class of Infinite-Dimensional Singular Stocha…
Reliable controllers with high flexibility and performance are necessary for the control of intricate, advanced, and expensive systems such as aircraft, marine vessels, automotive vehicles, and satellites. Meanwhile, control allocation has…
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…
We study a class of stochastic control problems where a cost of the form \begin{equation}\mathbb{E}\int_{[0,\infty)}e^{-\beta s}[\ell(X_s) ds+h(Y^{\circ}_s) d|Y|_s]\end{equation} is to be minimized over control processes $Y$ whose…
We study the closed-loop solvability of a stochastic linear quadratic optimal control problem for systems governed by stochastic evolution equations. This solvability is established by means of solvability of the corresponding Riccati…
We propose finitely convergent methods for solving convex feasibility problems defined over a possibly infinite pool of constraints. Following other works in this area, we assume that the interior of the solution set is nonempty and that…
We consider a singular stochastic control problem, which is called the Monotone Follower Stochastic Control Problem and give sufficient conditions for the existence and uniqueness of a local-time type optimal control. To establish this…
This paper examines a class of singular stochastic control problems with convex objective functions. In Section 2, we use tools from convex analysis to derive necessary and sufficient first order conditions for this class of optimisation…
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 investigate propagation of convexity and convex ordering on a typical discrete-time stochastic optimal control problem, namely the pricing of swing option. The dynamics of the underlying asset is modelled by the Euler scheme of a…
We study optimal control problems governed by abstract infinite dimensional stochastic differential equations using the dynamic programming approach. In the first part, we prove Lipschitz continuity, semiconcavity and semiconvexity of the…
This paper investigates the near optimal control for a kind of linear stochastic control systems governed by the forward backward stochastic differential equations, where both the drift and diffusion terms are allowed to depend on controls…
The present paper is devoted to the study of the asymptotic behavior of the value functions of both finite and infinite horizon stochastic control problems and to the investigation of their relation with suitable stochastic ergodic control…
In this paper, we consider optimal control problems derived by stochastic systems with delay, where control domains are non-convex and the diffusion coefficients depend on control variables. By an estimate of the integral of…
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…
We consider the linear quadratic (LQ) optimal control problem for a class of evolution equations in infinite dimensions, in the presence of distributed and nonlocal inputs. Following the perspective taken in our previous research work on…
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…
In this manuscript, we consider a control system governed by a general ordinary differential equation on a Riemannian manifold, with its endpoints satisfying some inequalities and equalities, and its control constrained to a closed convex…
This paper is concerned with a stochastic linear-quadratic optimal control problem in a finite time horizon, where the coefficients of the control system are allowed to be random, and the weighting matrices in the cost functional are…
In this paper, we study a class of stochastic time-inconsistent linear-quadratic (LQ) control problems with control input constraints. These problems are investigated within the more general framework associated with random coefficients.…
This paper deals with the controllability for a class of non-autonomous neutral differential equations of fractional order with infinite delay in an abstract space. The semi-group theory of bounded linear operators, fractional calculus, and…