Related papers: Time-symmetric optimal stochastic control problems…
We consider a class of time-inhomogeneous optimal stopping problems and we provide sufficient conditions on the data of the problem that guarantee monotonicity of the optimal stopping boundary. In our setting, time-inhomogeneity stems not…
This paper develops a robust fixed time optimization framework for constrained problems that guarantees exact constraint satisfaction and convergence to KKT points within fixed time , independent of initial conditions. The approach treats…
This paper first presents necessary and sufficient conditions for the solvability of discrete time, mean-field, stochastic linear-quadratic optimal control problems. Then, by introducing several sequences of bounded linear operators, the…
In this paper we continue our work on adaptive timestep control for weakly non- stationary problems. The core of the method is a space-time splitting of adjoint error representations for target functionals due to S\"uli and Hartmann. The…
In this paper, we investigate the exact controllability properties of an advection-diffusion equation on a bounded domain, using time- and space-dependent velocity fields as the control parameters. This partial differential equation (PDE)…
The purpose of the present work is to expand substantially the type of control and estimation problems that can be addressed following the paradigm of Schr\"odinger bridges, by incorporating termination (killing) of stochastic flows.…
In this paper, we study a class of stochastic time-inconsistent linear-quadratic (LQ) control problems with control input constraints. These problems are investigated within the more general framework associated with random coefficients.…
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…
This paper is addressed to studying the exact controllability for stochastic transport equations by two controls: one is a boundary control imposed on the drift term and the other is an internal control imposed on the diffusion term. By…
Large-size populations consisting of a continuum of identical and non-cooperative agents with stochastic dynamics are useful in modeling various biological and engineered systems. This paper addresses the stochastic control problem of…
We consider optimal control problems for partial differential equations where the controls take binary values but vary over the time horizon, they can thus be seen as dynamic switches. The switching patterns may be subject to combinatorial…
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…
Stochastic optimal control problems have a long tradition in applied probability, with the questions addressed being of high relevance in a multitude of fields. Even though theoretical solutions are well understood in many scenarios, their…
In this paper, we study the optimal control problem for steering the state covariance of a discrete-time linear stochastic system over a finite time horizon. First, we establish the existence and uniqueness of the optimal control law for a…
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…
The optimal control of epidemic-like stochastic processes is important both historically and for emerging applications today, where it can be especially important to include time-varying parameters that impact viral epidemic-like…
This work addresses a switching control problem under which the cost associated with the changes of regimes is allowed to have discontinuities in time. Our main contribution is to show several characterizations of the optimal cost function…
This paper provides necessary conditions of optimality for optimal control problems with time delays in both state and control variables. Different versions of the necessary conditions cover fixed end-time problems and, under additional…
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…
In this paper, we consider a class of stochastic control problems for stochastic differential equations with random coefficients. The control domain need not to be convex but the control process is not allowed to enter in diffusion term.…