Related papers: Extended backward stochastic Volterra integral equ…
The paper is concerned with an optimal control problem governed by the equations of elasto plasticity with linear kinematic hardening and the inertia term at small strain. The objective is to optimize the displacement field and plastic…
This paper investigates a time-inconsistent portfolio selection problem in the incomplete mar ket model, integrating expected utility maximization with risk control. The objective functional balances the expected utility and variance on log…
We study a stochastic differential game between two players, controlling a forward stochastic Volterra integral equation (FSVIE). Each player has to optimize his own performance functional which includes a backward stochastic differential…
This work presents the multiharmonic analysis and derivation of functional type a posteriori estimates of a distributed eddy current optimal control problem and its state equation in a time-periodic setting. The existence and uniqueness of…
We propose a variational formulation of an inverse problem in continuous-time stochastic control, aimed at identifying control costs consistent with a given distribution over trajectories. The formulation is based on minimizing the…
In the context of risk measures, the capital allocation problem is widely studied in the literature where different approaches have been developed, also in connection with cooperative game theory and systemic risk. Although static capital…
In this paper, we generalize to Gaussian Volterra processes the existence and uniqueness of solutions for a class of non linear backward stochastic differential equations (BSDE) and we establish the relation between the non linear BSDE and…
In this paper, we study an optimal control problem of linear backward stochastic differential equation (BSDE) with quadratic cost functional under partial information. This problem is solved completely and explicitly by using a stochastic…
In this work, we study a boundary control problem for the evolutionary Navier-Stokes equations, under mixed boundary conditions, in two dimensions. The cost functional here considered is of quadratic type, depending on both state and…
This article presents a new method for computing guaranteed convex and concave relaxations of nonlinear stochastic optimal control problems with final-time expected-value cost functions. This method is motivated by similar methods for…
In this paper, we study the stochastic Volterra integral equation driven by $G$-Brownian motion ($G$-SVIE). The existence, uniqueness and two types of continuity of the solution to $G$-SVIE are obtained. Moreover, combining a new…
In this paper, the stochastic verification theorems for stochastic control problems of reflected forward-backward stochastic differential equations are studied. We carry out the work within the frameworks of classical and viscosity…
We propose a method for open-loop stochastic optimal control of LTI systems based on Taylor approximations of quantile functions. This approach enables efficient computation of quantile functions that arise in chance constrained…
In this work we adapt a prediction-correction algorithm for continuous time-varying convex optimization problems to solve dynamic programs arising from Model Predictive Control. In particular, the prediction step tracks the evolution of the…
Inverse problems involving partial differential equations (PDEs) are widely used in science and engineering. Although such problems are generally ill-posed, different regularisation approaches have been developed to ameliorate this problem.…
We present a novel method for solving a class of time-inconsistent optimal stopping problems by reducing them to a family of standard stochastic optimal control problems. In particular, we convert an optimal stopping problem with a…
We present a unified framework for learning continuous control policies using backpropagation. It supports stochastic control by treating stochasticity in the Bellman equation as a deterministic function of exogenous noise. The product is a…
In this paper, we formulate a general time-inconsistent stochastic linear--quadratic (LQ) control problem. The time-inconsistency arises from the presence of a quadratic term of the expected state as well as a state-dependent term in the…
We study a new class of ergodic backward stochastic differential equations (EBSDEs for short) which is linked with semi-linear Neumann type boundary value problems related to ergodic phenomenas. The particularity of these problems is that…
Sample-based Bayesian inference provides a route to uncertainty quantification in the geosciences, and inverse problems in general, though is very computationally demanding in the naive form that requires simulating an accurate computer…