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This note introduces a new analytic approach to the solution of a very general class of finite-horizon optimal control problems formulated for discrete-time systems. This approach provides a parametric expression for the optimal control…
In this paper, a large class of time-varying Riccati equations arising in stochastic dynamic games is considered. The problem of the existence and uniqueness of some globally defined solution, namely the bounded and stabilizing solution, is…
We consider one-dimensional inhomogeneous parabolic equations with higher-order elliptic differential operators subject to periodic boundary conditions. In our main result we show that the property of continuous maximal regularity is…
We present a number of cases of optimal control of Volterra and Fredholm integral equations that are solvable in the sense that the problem can be reduced to a solvable integral equation. This is conceptually analogous to the role of the…
Despite significant recent advances in the regularity theory for obstacle problems with integro-differential operators, some fundamental questions remained open. On the one hand, there was a lack of understanding of parabolic problems with…
We revisit and extend the Riccati theory, unifying continuous-time linear-quadratic optimal permanent and sampled-data control problems, in finite and infinite time horizons. In a nutshell, we prove that:-- when the time horizon T tends to…
We study a finite-dimensional continuous-time optimal control problem on finite horizon for a controlled diffusion driven by Brownian motion, in the linear-quadratic case. We admit stochastic coefficients, possibly depending on an…
This paper studies an infinite horizon optimal control problem for discrete-time linear systems and quadratic criteria, both with random parameters which are independent and identically distributed with respect to time. A classical approach…
The Linear Quadratic Regulator (LQR), which is arguably the most classical problem in control theory, was recently related to kernel methods in (Aubin-Frankowski, SICON, 2021) for finite dimensional systems. We show that this result extends…
In this paper, the open-loop, closed-loop, and weak closed-loop solvability for discrete-time linear-quadratic (LQ) control problem is considered due to the fact that it is always open-loop optimal solvable if the LQ control problem is…
This paper is concerned with a linear quadratic optimal control problem of delayed backward stochastic differential equations. An explicit representation is derived for the optimal control, which is a linear feedback of the entire past…
The long time behavior and detailed convergence analysis of Langevin equations has received increased attention over the last years. Difficulties arise from a lack of coercivity, usually termed hypocoercivity, of the underlying kinetic…
This paper is concerned with the deterministic optimal control of Ito stochastic systems with random coefficients. The necessary and sufficient conditions for the unique solvability of the optimal control problem with random coefficients…
In this paper, the solvability of discrete-time stochastic linear-quadratic (LQ) optimal control problem in finite horizon is considered. Firstly, it shows that the closed-loop solvability for the LQ control problem is optimal if and only…
In this paper, the Cauchy problem for a Friedrichs system on a globally hyperbolic manifold with a timelike boundary is investigated. By imposing admissible boundary conditions, the existence and the uniqueness of strong solutions are…
We study model predictive control for singular differential-algebraic equations with higher index. This is a novelty when compared to the literature where only regular differential-algebraic equations with additional assumptions on the…
In this paper we deal with the well-posedness of Dirichlet problems associated to nonlocal Hamilton-Jacobi parabolic equations in a bounded, smooth domain $\Omega$, in the case when the classical boundary condition may be lost. We address…
This paper recalls a partial differential equations system, which is the linearization of a recognized fluid-elasticity interaction three-dimensional model. A collection of regularity results for the traces of the fluid variable on the…
We establish the uniqueness of solutions of the Camassa-Holm equation on a finite interval with non-homogeneous boundary conditions in the case of bounded momentum. A similar result for the higher-order Camassa-Holm system is also given.…
This paper is concerned with a general linear quadratic (LQ) control problem of mean-field backward stochastic differential equation (BSDE). Here, the weighting matrices in the cost functional are allowed to be indefinite. Necessary and…