Related papers: Time-symmetric optimal stochastic control problems…
We prove a general existence result in stochastic optimal control in discrete time where controls take values in conditional metric spaces, and depend on the current state and the information of past decisions through the evolution of a…
We consider the determination of the optimal stationary singular stochastic control of a linear diffusion for a class of average cumulative cost minimization problems arising in various financial and economic applications of stochastic…
In this paper, a space-time discontinuous Galerkin finite element method for distributed optimal control problems governed by unsteady diffusion-convection-reaction equations with control constraints is studied. Time discretization is…
In this paper, a quadratic optimal control problem is considered for second-order parabolic PDEs with homogeneous Dirichlet boundary conditions, in which the "point" control function (depending only on time) constitutes a source term. These…
As a main step in the numerical solution of control problems in continuous time, the controlled process is approximated by sequences of controlled Markov chains, thus discretising time and space. A new feature in this context is to allow…
In this paper, we consider a class of time-optimal control problems governed by linear parabolic equations with mixed control-state constraints and end-point constraints, and without Tikhonov regularization term in the objective function.…
In this paper, we consider optimal control problems derived by stochastic systems with delay, where control domains are non-convex and the diffusion coefficients depend on control variables. By an estimate of the integral of…
This paper deals with a class of time inconsistent stochastic linear quadratic (SLQ) optimal control problems in Markovian framework. Three notions, i.e., closed-loop equilibrium controls/strategies, open-loop equilibrium controls and their…
Schr\"{o}dinger bridge can be viewed as a continuous-time stochastic control problem where the goal is to find an optimally controlled diffusion process whose terminal distribution coincides with a pre-specified target distribution. We…
This paper considers the optimal control problem for realizing logical gates in a closed quantum system. The quantum state is governed by Schrodinger's equation, which we formulate as a time-dependent Hamiltonian system in terms of the real…
This paper deals with time-optimal control of nonlinear continuous-time systems based on direct collocation. The underlying discretization grid is variable in time, as the time intervals are subject to optimization. This technique differs…
We study the asymptotic relations between certain singular and constrained control problems for one-dimensional diffusions with both discounted and ergodic objectives. By constrained control problems we mean that controlling is allowed only…
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…
This paper considers a class of stochastic control problems with implicitly defined objective functions, which are the sources of time-inconsistency. We study the closed-loop equilibrium solutions in a general controlled diffusion…
Space-time finite element discretizations of time-optimal control problems governed by linear parabolic PDEs and subject to pointwise control constraints are considered. Optimal a priori error estimates are obtained for the control variable…
In this paper, we propose a unified stochastic optimal control framework that integrates time-optimal control problems with classical stochastic optimal control formulations. Unlike conventional deterministic time-optimal control models,…
This paper builds up two equivalence theorems for different kinds of optimal control problems of internally controlled Schr\"{o}dinger equations. The first one concerns with the equivalence of the minimal norm and the minimal time control…
Reward fine-tuning of diffusion and flow models and sampling from tilted or Boltzmann distributions can both be formulated as stochastic optimal control (SOC) problems, where learning an optimal generative dynamics corresponds to optimizing…
We introduce and study the basic properties of two ergodic stochastic control problems associated with the quasistationary distribution (QSD) of a diffusion process $X$ relative to a bounded domain. The two problems are in some sense dual,…
We provide an overview on how to use the measurable selection techniques to derive the dynamic programming principle for a general stochastic optimal control/stopping problem. By considering its martingale problem formulation on the…