Related papers: Infinite horizon backward stochastic Volterra inte…
This paper is devoted to proposing a new asymmetric risk-sensitive criterion involving different risk attitudes toward varying risk sources. The criterion can only be defined through the initial value of the minimal solutions of quadratic…
We prove a version of the stochastic maximum principle, in the sense of Pontryagin, for the finite horizon optimal control of a stochastic partial differential equation driven by an infinite dimensional additive noise. In particular we…
In this paper, we study the maximum principle for stochastic optimal control problems of forward-backward stochastic difference systems (FBS{\Delta}Ss). Two types of FBS{\Delta}Ss are investigated. The first one is described by a partially…
This paper investigates the optimal control of a bilinear damped wave equation over an infinite time horizon. We establish the well-posedness of the controlled system and derive uniform energy estimates. The existence of optimal controls is…
This paper concerns a class of infinite horizon optimal control problems with state constraints. By extending the needle variation method to the infinite horizon case we obtain a complete set of necessary optimality conditions for a strong…
We introduce a novel simulation scheme, iVi (integrated Volterra implicit), for integrated Volterra square-root processes and Volterra Heston models based on the Inverse Gaussian distribution. The scheme is designed to handle $L^1$ kernels…
We introduce a numerically stable reformulation of controllability scoring based on a scaled controllability Gramian, which remains reliably computable even for unstable systems. The resulting optimization problems define dynamics-aware…
This paper is concerned with a finite-horizon inverse control problem, which has the goal of reconstructing, from observations, the possibly non-convex and non-stationary cost driving the actions of an agent. In this context, we present a…
We present an efficient algorithm to compute the induced norms of finite-horizon Linear Time-Varying (LTV) systems. The formulation includes both induced $\mathcal{L}_2$ and terminal Euclidean norm penalties. Existing computational…
This paper addresses the inverse optimal control problem of finding the state weighting function that leads to a quadratic value function when the cost on the input is fixed to be quadratic. The paper focuses on a class of infinite horizon…
In this paper, the optimal control problem of neutral stochastic functional differential equation (NSFDE) is discussed. A class of so-called neutral backward stochastic functional equations of Volterra type (VNBSFEs) are introduced as the…
This paper investigates an optimal control problem where the system is described by a stochastic differential equation with extended mixed delays that contain point delay, extended distributed delay, and extended noisy memory. The model is…
This paper is concerned with Merton's portfolio optimization problem in a Volterra stochastic environment described by a multivariate fake stationary Volterra--Heston model. Due to the non-Markovianity and non-semimartingality of the…
We consider stochastic control models with Borel spaces and universally measurable policies. For such models the standard policy iteration is known to have difficult measurability issues and cannot be carried out in general. We present a…
The classical Method of Successive Approximations (MSA) is an iterative method for solving stochastic control problems and is derived from Pontryagin's optimality principle. It is known that the MSA may fail to converge. Using careful…
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…
We study the minimum energy null-controllability problem for differential equations with point-wise delays. For the equations of both neutral and retarded type we reduce the problem of finding the optimal control to a Volterra integral…
This work establishes two versions of the Pontryagin-type maximum principles for partially observed optimal control of coupled forward stochastic partial differential equations (FSPDEs) and backward stochastic differential equations (BSDEs)…
In this paper we construct an infinite horizon minimax state observer for a linear stationary differential-algebraic equation (DAE) with uncertain but bounded input and noisy output. We do not assume regularity or existence of a (unique)…
This paper is devoted to the analysis of a finite horizon discrete-time stochastic optimal control problem, in presence of constraints. We study the regularity of the value function which comes from the dynamic programming algorithm. We…