Related papers: Infinite Horizon Stochastic Impulse Control with D…
We consider a nonlinear control system with vector-valued measures as controls and with dynamics depending on time delayed states. First, we introduce a notion of discontinuous, bounded variation solution associated with this system and…
The main objective of this paper is the construction of the solution of an impulsive stochastic differential equation, subject to control conditions in the pulse-times and give sufficient conditions for them to be random variables with…
This paper investigates an infinite-horizon linear quadratic stochastic (LQS) optimal control problem for a class of continuous-time stochastic systems. By employing the technique of adaptive dynamic programming (ADP), we propose a novel…
Reflected diffusions naturally arise in many problems from applications ranging from economics and mathematical biology to queueing theory. In this paper we consider a class of infinite time-horizon singular stochastic control problems for…
This paper presents a Newton-based stochastic extremum-seeking control method for real-time optimization in multi-input systems with distinct input delays. It combines predictor-based feedback and Hessian inverse estimation via stochastic…
In the paper, for the system which possesses both an attractor and a stable fixed point, we first formulate new stable control problems to find the asymptotically stable control function which realizes to transit a state moving around the…
In this manuscript we consider a class optimal control problem for stochastic differential delay equations. First, we rewrite the problem in a suitable infinite-dimensional Hilbert space. Then, using the dynamic programming approach, we…
We consider an infinite horizon portfolio problem with borrowing constraints, in which an agent receives labor income which adjusts to financial market shocks in a path dependent way. This path-dependency is the novelty of the model, and…
In this paper we study a class of infinite horizon fully coupled forward-backward stochastic differential equations (FBSDEs), that are stimulated by various continuous time future expectations models with random coefficients. Under standard…
We consider the problem of sequential sampling from a finite number of independent statistical populations to maximize the expected infinite horizon average outcome per period, under a constraint that the expected average sampling cost does…
This paper presents an inverse optimal control methodology and its application to training a predictive model of human motor control from a manipulation task. It introduces a convex formulation for learning both objective function and…
We propose a new numerical method for solving the Hamilton-Jacobi-Bellman quasi-variational inequality associated with the combined impulse and stochastic optimal control problem over a finite time horizon. Our method corresponds to an…
This paper is concerned with impulse approximate controllability for stochastic evolution equations with impulse controls. As direct applications, we formulate captivating minimal norm and time optimal control problems; The minimal norm…
We propose a simple and original approach for solving linear-quadratic mean-field stochastic control problems. We study both finite-horizon and infinite-horizon problems, and allow notably some coefficients to be stochastic. Our method is…
In this paper, we solve an open problem and obtain a general maximum principle for a stochastic optimal control problem where the control domain is an arbitrary non-empty set and all the coefficients (especially the diffusion term and the…
We study a single risky financial asset model subject to price impact and transaction cost over an finite time horizon. An investor needs to execute a long position in the asset affecting the price of the asset and possibly incurring in…
Let $X$ be a bounded c\`adl\`ag process with positive jumps defined on the canonical space of continuous paths. We consider the problem of optimal stopping the process $X$ under a nonlinear expectation operator $\cE$ defined as the supremum…
This article is devoted to study the interior approximated controllability of the strongly damped semilinear wave equation with memory, impulses and delay terms. The problem is challenging since the state equation contains memory and…
This work investigates the finite-horizon optimal covariance steering problem for discrete-time linear systems subject to both additive and multiplicative uncertainties as well as state and input chance constraints. In particular, a…
This paper will investigate the infinite horizon optimal control and stabilization problems for the Markov jump linear system (MJLS) subject to control input delay. Different from previous works, for the first time, the necessary and…