Related papers: A stochastic optimal control problem governed by S…
We study methods for solving stochastic control problems of systems of forward-backward mean-field equations with delay, in finite or infinite horizon. Necessary and sufficient maximum principles under partial information are given. The…
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 investigates a space-time interface-fitted approximation of a moving-interface optimal control problem with energy regularization. We reformulate the optimality conditions into a variational problem involving both the state and…
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 study a stochastic recursive optimal control problem in which the system is governed by a functional forward-backward stochastic differential equation. Under standard assumptions, we establish the dynamic programming…
We here consider optimal control problems governed by nonlinear stochastic equations on a Hilbert space H with nonconvex payoff, which is rewritten as a deterministic optimal control problem governed by a Kolmogorov equation in H. We prove…
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 prove a version of the stochastic maximum principle, in the sense of Pontryagin, for the finite horizon optimal control of a stochastic partial differential equation driven by an infinite dimensional additive noise. In particular we…
This work establishes two versions of the Pontryagin-type maximum principles for partially observed optimal control of coupled forward stochastic partial differential equations (FSPDEs) and backward stochastic differential equations (BSDEs)…
This paper aims to establish second order necessary conditions for optimal control in quantum stochastic systems. We employ a variational approach, analogous to methods in classical stochastic control, to analyze systems governed by quantum…
We consider a class of stochastic optimal control problems with partial observation, and study their approximation by discrete-time control problems. We establish a convergence result by using weak convergence technique of Kushner and…
In this paper we consider a variation of the Merton's problem with added stochastic volatility and finite time horizon. It is known that the corresponding optimal control problem may be reduced to a linear parabolic boundary problem under…
We study the stochastic control-stopping problem when the data are of polynomial growth. The approach is based on backward stochastic dierential equations (BSDEs for short). The problem turns into the study of a specic reected BSDE with a…
We consider a continuous time stochastic optimal control problem under both equality and inequality constraints on the expectation of some functionals of the controlled process. Under a qualification condition, we show that the problem is…
The main purpose of this paper is to give a solution to a long-standing unsolved problem in stochastic control theory, i.e., to establish the Pontryagin-type maximum principle for optimal controls of general infinite dimensional nonlinear…
This work investigates the existence and uniqueness of the Nash equilibrium (solutions to competitive problems in which individual controls aim at separate desired states) for a bi-objective optimal control problem governed by a fractional…
This paper is devoted to the distributed continuous-time optimization problem with time-varying objective functions and time-varying nonlinear inequality constraints. Different from most studied distributed optimization problems with…
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 consider discrete time stochastic optimal control problems over infinite and finite time horizons. We show that for a large class of such problems the Taylor polynomials of the solutions to the associated Dynamic…
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…