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We consider a stochastic impulse control problem that is motivated by applications such as the optimal exploitation of a natural resource. In particular, we consider a stochastic system whose uncontrolled state dynamics are modelled by a…
This paper consists of a detailed and novel stochastic optimal control analysis of a coupled non-linear dynamical system. The state equations are modeled as additional food provided prey-predator system with Holling Type-III functional…
We study a control problem where the state equation is a nonlinear partial differential equation of the calculus of variation in a bounded domain, perturbed by noise. We allow the control to act on the boundary and set stochastic boundary…
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…
Optimal control of stochastic nonlinear dynamical systems is a major challenge in the domain of robot learning. Given the intractability of the global control problem, state-of-the-art algorithms focus on approximate sequential optimization…
We consider a stochastic control problem where the set of strict (classical) controls is not necessarily convex, and the system is governed by a nonlinear backward stochastic differential equation. By introducing a new approach, we…
This paper establishes a stochastic maximum principle for optimal control problems governed by time-changed forward-backward stochastic differential equations with L\'evy noise. The system incorporates a random, non-decreasing operational…
The objectives and contributions of this paper are mathematical and numerical analyses of a stochastic control problem of bounded population dynamics under ambiguity, an important but not well-studied problem, focusing on the optimality…
This paper presents a stochastic model predictive control approach for nonlinear systems subject to time-invariant probabilistic uncertainties in model parameters and initial conditions. The stochastic optimal control problem entails a cost…
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…
In this paper we present a dynamic programing approach to stochastic optimal control problems with dynamic, time-consistent risk constraints. Constrained stochastic optimal control problems, which naturally arise when one has to consider…
We consider a stochastic control problem which is composed of a controlled stochastic differential equation, and whose associated cost functional is defined through a controlled backward stochastic differential equation. Under appropriate…
In this note, we consider the existence and uniqueness of the solution of a time-dependent optimal control problem constrained by a partial differential equation with uncertain inputs. Relying on the Lions' Lemma for deterministic problems,…
We consider the control problem of the stochastic Navier-Stokes equations in multidimensional domains introduced in \cite{ocpc} restricted to noise terms defined by Q-Wiener processes. Using a stochastic maximum principle, we derive a…
We study data-driven learning of robust stochastic control for infinite-horizon systems with potentially continuous state and action spaces. In many managerial settings--supply chains, finance, manufacturing, services, and dynamic…
The study of density-dependent stochastic population processes is important from a historical perspective as well as from the perspective of a number of existing and emerging applications today. In more recent applications of these…
We study a class of stochastic evolution equations of jump type with random coefficients and its optimal control problem. There are three major ingredients. The first is to prove the existence and uniqueness of the solutions by continuous…
We consider the stochastic optimal control problem for the dynamical system of the stochastic differential equation driven by a local martingale with a spatial parameter. Assuming the convexity of the control domain, we obtain the…
We study the problem of pathwise stochastic optimal control, where the optimization is performed for each fixed realisation of the driving noise, by phrasing the problem in terms of the optimal control of rough differential equations. We…
The Bass diffusion equation is a well-known and established modeling approach for describing new product adoption in a competitive market. This model also describes diffusion phenomena in various contexts: infectious disease spread modeling…