Related papers: Noether theorem in stochastic optimal control prob…
We obtain a method to compute effective first integrals by combining Noether's principle with the Kozlov-Kolesnikov integrability theorem. A sufficient condition for the integrability by quadratures of optimal control problems with controls…
Several aspects of the connection between conserved integrals (invariants) and symmetries are illustrated within a hybrid Lagrangian-Hamiltonian framework for dynamical systems. Three examples are considered: a nonlinear oscillator with…
This paper expounds the relations between continuous symmetries and conserved quantities, i.e. Noether's ``first theorem'', in both the Lagrangian and Hamiltonian frameworks for classical mechanics. This illustrates one of mechanics' grand…
Optimal control of heterogeneous mean-field stochastic differential equations with common noise has not been addressed in the literature. In this work, we initiate the study of such models. We formulate the problem within a linear-quadratic…
The literature on continuous-time stochastic optimal control seldom deals with the case of discrete state spaces. In this paper, we provide a general framework for the optimal control of continuous-time Markov chains on finite graphs. In…
The paper concerns the necessary maximum principle for robust optimal control problems of quadratic BSDEs. The coefficient of the systems depends on the parameter $\theta$, and the generator of BSDEs is of quadratic growth in $z$. Since the…
This paper focuses on the optimal control of a class of stochastic Volterra integral equations. Here the coefficients are regular and not assumed to be of convolution type. We show that, under mild regularity assumptions, these equations…
A lattice Maxwell system is developed with gauge-symmetry, symplectic structure and discrete space-time symmetry. Noether's theorem for Lie group symmetries is generalized to discrete symmetries for the lattice Maxwell system. As a result,…
In this paper we consider an optimal control problem for the coupled system of a nonlinear monotone Dirichlet problem with anisotropic p-Laplacian and matrix-valued nonsmooth controls in its coefficients and a nonlinear equation of…
We use classical tools from calculus of variations to formally derive necessary conditions for a Markov control to be optimal in a standard finite time horizon stochastic control problem. As an example, we solve the well-known Merton…
This paper deals with an optimal position management problem for a market maker who has to face uncertain customer order flows in an illiquid market, where the market maker's continuous trading incurs a stochastic linear price impact.…
We state the intrinsic form of the Hamiltonian equations of first-order Classical Field theories in three equivalent geometrical ways: using multivector fields, jet fields and connections. Thus, these equations are given in a form similar…
Stochastic optimal control problems with constraints on the probability distribution of the final output are considered. Necessary conditions for optimality in the form of a coupled system of partial differential equations involving a…
This study introduces an approach to obtain a neighboring extremal optimal control (NEOC) solution for a closed-loop optimal control problem, applicable to a wide array of nonlinear systems and not necessarily quadratic performance indices.…
We develop the general theory of Noether symmetries for constrained systems. In our derivation, the Dirac bracket structure with respect to the primary constraints appears naturally and plays an important role in the characterization of the…
There has been strong interest in the fate of relativistic symmetries in some quantum spacetimes, also because of its possible relevance for high-precision experimental tests of relativistic properties. However, the main technical results…
We establish necessary and sufficient conditions for viability of evolution inclusions with locally monotone operators in the sense of Liu and R\"ockner [J. Funct. Anal., 259 (2010), pp. 2902-2922]. This allows us to prove wellposedness of…
We study an optimal investment/consumption problem in a model capturing market and credit risk dependencies. Stochastic factors drive both the default intensity and the volatility of the stocks in the portfolio. We use the martingale…
The ergodic control problem for a non-degenerate controlled diffusion controlled through its drift is considered under a uniform stability condition that ensures the well-posedness of the associated Hamilton-Jacobi-Bellman (HJB) equation. A…
We establish a variety of results extending the well-known Pontryagin maximum principle of optimal control to discrete-time optimal control problems posed on smooth manifolds. These results are organized around a new theorem on critical and…