Related papers: A Global Maximum Principle for the Stochastic Opti…
This paper develops a unified methodology for probabilistic analysis and optimal control design for jump diffusion processes defined by polynomials. For such systems, the evolution of the moments of the state can be described via a system…
This paper is concerned with a partially observed hybrid optimal control problem, where continuous dynamics and discrete events coexist and in particular, the continuous dynamics can be observed while the discrete events, described by a…
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…
In this research paper, we examine an optimal control problem involving a dynamical system governed by a nonlinear Caputo fractional time-delay state equation. The primary objective of this study is to obtain the necessary conditions for…
A general stochastic maximum principle is proved for optimal controls of semilinear stochastic evolution equations. Stochastic evolution operators, and the control with values in a general set enter into both drift and diffusion terms.
The aim of this work is to make a survey on recent sufficient optimality conditions for optimal control problems with time delays in both state and control variables. The results are obtained by transforming delayed optimal control problems…
In this paper, we propose a unified stochastic optimal control framework that integrates time-optimal control problems with classical stochastic optimal control formulations. Unlike conventional deterministic time-optimal control models,…
The purpose of this paper is to derive some pointwise second-order necessary conditions for stochastic optimal controls in the general case that the control variable enters into both the drift and the diffusion terms. When the control…
In this paper we study optimal advertising problems that models the introduction of a new product into the market in the presence of carryover effects of the advertisement and with memory effects in the level of goodwill. In particular, we…
This paper considers the relaxed version of the transport problem for general nonlinear control systems, where the objective is to design time-varying feedback laws that transport a given initial probability measure to a target probability…
In this study, we develop a stochastic optimal control approach with reinforcement learning structure to learn the unknown parameters appeared in the drift and diffusion terms of the stochastic differential equation. By choosing an…
In this paper, we develop a theoretical framework for nonlinear stochastic optimal control problems with optimal stopping by establishing a density-based deterministic representation of the underlying diffusion. For state-independent…
A class of optimal control problems governed by linear fractional diffusion equation with control constraint is considered. We first establish some results on the existence of strong solution to the state equation and the existence of…
In this paper, we investigate the optimal control problems for stochastic differential equations (SDEs in short) of mean-field type with jump processes. The control variable is allowed to enter into both diffusion and jump terms. This…
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 prove convergence of the proximal policy gradient method for a class of constrained stochastic control problems with control in both the drift and diffusion of the state process. The problem requires either the running or terminal cost…
We consider the problem of damping a control system with delay described by first-order functional-differential equations on a temporal tree. The delay in the system is time-proportional and propagates through the internal vertices. The…
Time delays are ubiquitous in industrial processes, and they must be accounted for when designing control algorithms because they have a significant effect on the process dynamics. Therefore, in this work, we propose a simultaneous approach…
In this paper, we generalise Pontryagin's stochastic maximum principle to controlled McKean-Vlasov equations with anticipating law. The associated new type of delayed backward equations with implicit terminal condition is studied.
We generalize a Maximum Principle for optimal control problems involving sweeping systems previously derived in ``Necessary conditions for optimal control problems with sweeping systems and end point constraints'', by de Pinho, Ferreira and…