Related papers: Stochastic Control Problems with Unbounded Control…
In this manuscript we consider optimal control problems of stochastic differential equations with delays in the state and in the control. First, we prove an equivalent Markovian reformulation on Hilbert spaces of the state equation. Then,…
This work addresses stochastic optimal control problems where the unknown state evolves in continuous time while partial, noisy, and possibly controllable measurements are only available in discrete time. We develop a framework for…
We consider a reaction-diffusion equation on a network subjected to dynamic boundary conditions, with time delayed behaviour, also allowing for multiplicative Gaussian noise perturbations. Exploiting semigroup theory, we rewrite the…
We discuss a class of linear control problems in a Hilbert space setting. This class encompasses such diverse systems as port-Hamiltonian systems, Maxwell's equations with boundary control or the acoustic equations with boundary control and…
Dual control explicitly addresses the problem of trading off active exploration and exploitation in the optimal control of partially unknown systems. While the problem can be cast in the framework of stochastic dynamic programming, exact…
In this paper we study the fully nonlinear stochastic Hamilton-Jacobi-Bellman (HJB) equation for the optimal stochastic control problem of stochastic differential equations with random coefficients. The notion of viscosity solution is…
In this paper, we study numerical approximations for optimal control of a class of stochastic partial differential equations with partial observations. The system state evolves in a Hilbert space, whereas observations are given in…
This work focuses on the well-posedness of abstract stochastic linear systems with boundary input delay and unbounded observation operators. We use product spaces and a semigroup approach to reformulate such delay systems into free-delay…
In this paper we study the controllability of fractional neutral stochastic functional differential equations with infinite delay driven by fractional Brownian motion in a real separable Hilbert space. The controllability results are…
This work addresses the optimal covariance control problem for stochastic discrete-time linear time-varying systems subject to chance constraints. Covariance steering is a stochastic control problem to steer the system state Gaussian…
This paper investigates the $H_{2}/H_{\infty}$ control problem for linear stochastic differential systems under partial observation. Unlike existing studies that assume full state accessibility, we consider the scenario where the controller…
We deal with an infinite horizon, infinite dimensional stochastic optimal control problem arising in the study of economic growth in time-space. Such problem has been the object of various papers in deterministic cases when the possible…
In this paper we present a dynamic programing approach to stochastic optimal control problems with dynamic, time-consistent risk constraints. Constrained stochastic optimal control problems, which naturally arise when one has to consider…
The purpose of this paper is to describe the numerical solution of the Hamilton-Jacobi-Bellman (HJB) for an optimal control problem for quantum spin systems. This HJB equation is a first order nonlinear partial differential equation defined…
Path Integral Control methods were developed for stochastic optimal control covering a wide class of finite horizon formulations with control affine nonlinear dynamics. Characteristic for this class is that the HJB equation is linear and…
We study optimal stochastic control problems of general coupled systems of forward-backward stochastic differential equations with jumps. By means of the It\^o-Ventzell formula the system is transformed to a controlled backward stochastic…
We study semi Lagrangian approximation schemes for Hamilton Jacobi Bellman equations arising from finite horizon optimal control problems. Classical error estimates for these schemes include the term $\frac{1}{\Delta t}$ which leads to…
This paper investigates the solvability and optimal control of a class of impulsive stochastic differential equations (SDEs) within a Hilbert space setting. First, we establish the existence and uniqueness of mild solutions for the proposed…
This article is concerned with stochastic control problems for backward doubly stochastic differential equations of mean-field type, where the coefficient functions depend on the joint distribution of the state process and the control…
In this article, we study optimal feedback control synthesis of stochastic 2D Navier-Stokes equations perturbed Levy type noise with distributed stochastic control process acting on the state equation. We use the dynamic programming…