Related papers: A Global Maximum Principle for the Stochastic Opti…
The verification theorem serving as an optimality condition for the optimal control problem, has been expected and studied for a long time. The purpose of this paper is to establish this theorem for control systems governed by stochastic…
The paper considers the optimal control problem of inventory of a discrete product in regeneration scheme with a Poisson flow of customer requirements. In the system deferred demand is allowed, the volume of which is limited by a given…
This paper is concerned with a constrained stochastic linear-quadratic optimal control problem, in which the terminal state is fixed and the initial state is constrained to lie in a stochastic linear manifold. The controllability of…
We study a stochastic optimal control problem for forward-backward control systems with quadratic generators. In order to establish the first and second-order variational and adjoint equations, we obtain a new estimate for one-dimensional…
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 discounted stochastic optimal control problem for regime switching diffusion in an infinite horizon. First, as a preliminary with particular interests in its own right, the global well-posedness of infinite…
In this work, we present numerical analysis for a distributed optimal control problem, with box constraint on the control, governed by a subdiffusion equation which involves a fractional derivative of order $\alpha\in(0,1)$ in time. The…
We study the existence and uniqueness of a solution for the multivalued stochastic differential equation with delay (the multivalued term is of subdifferential type): \[ \left\{\begin{array} [c]{r} dX(t)+\partial\varphi\left(X(t)\right)…
Optimal control theory deals with finding protocols to steer a system between assigned initial and final states, such that a trajectory-dependent cost function is minimized. The application of optimal control to stochastic systems is an…
This paper considers a distributed stochastic optimization problem where the goal is to minimize the time average of a cost function subject to a set of constraints on the time averages of a related stochastic processes called penalties. We…
In this manuscript, we study optimal control problems for stochastic delay differential equations using the dynamic programming approach in Hilbert spaces via viscosity solutions of the associated Hamilton-Jacobi-Bellman equations. We show…
This paper focuses on optimal control problem for a class of discrete-time nonlinear systems. In practical applications, computation time is a crucial consideration when solving nonlinear optimal control problems, especially under real-time…
We consider impulse control problems in finite horizon for diffusions with decision lag and execution delay. The new feature is that our general framework deals with the important case when several consecutive orders may be decided before…
In this article we derive a strong version of the Pontryagin Maximum Principle for general nonlinear optimal control problems on time scales in finite dimension. The final time can be fixed or not, and in the case of general boundary…
This paper presents a method to approximately solve stochastic optimal control problems in which the cost function and the system dynamics are polynomial. For stochastic systems with polynomial dynamics, the moments of the state can be…
The aim of this notes is to give a concise introduction to control theory for systems governed by stochastic partial differential equations. We shall mainly focus on controllability and optimal control problems for these systems. For the…
This article deals with variational optimal-control problems on time scales in the presence of delay in the state variables. The problem is considered on a time scale unifying the discrete, the continuous and the quantum cases. Two examples…
General distribution steering is intrinsically an infinite-dimensional problem, when the continuous distributions to steer are arbitrary. We put forward a moment representation of the primal system for control in [42]. However, the system…
We consider a control problem where the system is driven by a decoupled as well as a coupled forward-backward stochastic differential equation. We prove the existence of an optimal control in the class of relaxed controls, which are…
This thesis addresses the question of stability of systems defined by differential equations which contain nonlinearity and delay. In particular, we analyze the stability of a well-known delayed nonlinear implementation of a certain…