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We study an optimal control problem on infinite time horizon with semimartingale strategies, random coefficients and regime switching. The value function and the optimal strategy can be characterized in terms of three systems of backward…
This paper presents a two-stage framework for constrained near-optimal feedback control of input-affine nonlinear systems. An approximate value function for the unconstrained control problem is computed offline by solving the…
This paper is concerned with a linear-quadratic (LQ, for short) optimal control problem for backward stochastic differential equations (BSDEs, for short), where the coefficients of the backward control system and the weighting matrices in…
An optimal control problem is considered for a stochastic differential equation with the cost functional determined by a backward stochastic Volterra integral equation (BSVIE, for short). This kind of cost functional can cover the general…
In this paper, we study a time-inconsistent stochastic optimal control problem with a recursive cost functional by a multi-person hierarchical differential game approach. An equilibrium strategy of this problem is constructed and a…
We consider a class of monotone systems in which the control signal multiplies the state. Among other applications, such bilinear systems can be used to model the evolutionary dynamics of HIV in the presence of combination drug therapy. For…
Infinite horizon open loop optimal control problems for semilinear parabolic equations are investigated. The controls are subject to a cost-functional which promotes sparsity in time. The focus is put on deriving first order optimality…
We examine the minimization of a quadratic cost functional composed of the output and the final state of abstract infinite-dimensional evolution equations in view of existence of solutions and optimality conditions. While the initial value…
We study Hamilton Jacobi Bellman equations in an infinite dimensional Hilbert space, with Lipschitz coefficients, where the Hamiltonian has superquadratic growth with respect to the derivative of the value function, and the final condition…
We analyze a bilinear optimal control problem for the Stokes--Brinkman equations: the control variable enters the state equations as a coefficient. In two- and three-dimensional Lipschitz domains, we perform a complete continuous analysis…
An optimal control problem for semilinear parabolic partial differential equations is considered. The control variable appears in the leading term of the equation. Necessary conditions for optimal controls are established by the method of…
We investigate constrained optimal control problems for linear stochastic dynamical systems evolving in discrete time. We consider minimization of an expected value cost over a finite horizon. Hard constraints are introduced first, and then…
In this paper we provide a complete theoretical analysis of a two-dimensional degenerate non convex singular stochastic control problem. The optimisation is motivated by a storage-consumption model in an electricity market, and features a…
In this article, we consider the Tikhonov regularization of an optimal control problem of semilinear partial differential equations with box constraints on the control. We derive a-priori regularization error estimates for the control under…
We consider the nonlinear Kolmogorov equation posed in a Hilbert space $H$, not necessarily of finite dimension. This model was recently studied by Cox et al. [24] in the framework of weak convergence rates of stochastic wave models. Here,…
We consider a one dimensional elliptic distributed optimal control problem with pointwise constraints on the derivative of the state. By exploiting the variational inequality satisfied by the derivative of the optimal state, we obtain…
This paper is devoted to an optimal control problem of fully coupled forward-backward stochastic differential equations driven by sub-diffusion, whose solutions are not Markov processes. The stochastic maximum principle is obtained, where…
In this paper we consider the maximum principle of optimal control for a stochastic control problem. This problem is governed by a system of fully coupled multi-dimensional forward-backward doubly stochastic differential equation with…
The current paper initially studies the optimal control of linear $\psi$-Hilfer fractional derivatives with state-dependent control constraints and optimal control for a particular type of cost functional. Then, we investigate the…
In this paper, we formulate a distributed optimal control problem related to the evolution of two isothermal, incompressible, immiscible fluids in a two dimensional bounded domain. The distributed optimal control problem is framed as the…