Related papers: Vanishing viscosity in mean-field optimal control
We consider the stochastic optimal control problem of nonlinear mean-field systems in discrete time. We reformulate the problem into a deterministic control problem with marginal distribution as controlled state variable, and prove that…
In this paper, a sub-optimal boundary control strategy for a free boundary problem is investigated. The model is described by a non-smooth convection-diffusion equation. The control problem is addressed by an instantaneous strategy based on…
We study the problem of optimally managing an inventory with unknown demand trend. Our formulation leads to a stochastic control problem under partial observation, in which a Brownian motion with non-observable drift can be singularly…
This paper is devoted to present a method of proving verification theorems for stochastic optimal control of finite dimensional diffusion processes without control in the diffusion term. The value function is assumed to be continuous in…
We consider an optimal control problem that entails the minimization of a nondifferentiable cost functional, fractional diffusion as state equation and constraints on the control variable. We provide existence, uniqueness and regularity…
We study a stochastic optimal control problem with the state constrained to a smooth, compact domain. The control influences both the drift and a possibly degenerate, control-dependent dispersion matrix, leading to a fully nonlinear,…
We consider an optimal control problem where the average welfare of weakly interacting agents is of interest. We examine the mean-field control problem as the fluid approximation of the N-agent control problem with the setup of finite-state…
We study an optimal control problem of McKean--Vlasov branching diffusion processes, in which the interaction term is determined by the marginal measure induced by all alive particles in the system. Accordingly, the value function is…
An optimal control of a steady state thermistor problem is considered, where the convective boundary coefficient is taken as the control variable. A distinctive feature of this paper is that the problem is considered in arbitrary…
This paper deals with a stochastic recursive optimal control problem, where the diffusion coefficient depends on the control variable and the control domain is not necessarily convex. We focus on the connection between the general maximum…
This paper is a survey on some recent aspects and developments in stochastic control. We discuss the two main historical approaches, Bellman's optimality principle and Pontryagin's maximum principle, and their modern exposition with…
In control theory, typically a nominal model is assumed based on which an optimal control is designed and then applied to an actual (true) system. This gives rise to the problem of performance loss due to the mismatch between the true model…
This paper studies a {\it reversible} investment problem where a social planner aims to control its capacity production in order to fit optimally the random demand of a good. Our model allows for general diffusion dynamics on the demand as…
An optimal control problem in the space of probability measures, and the viscosity solutions of the corresponding dynamic programming equations defined using the intrinsic linear derivative are studied. The value function is shown to be…
We prove the local Lipschitz continuity of viscosity solutions for two-phase free boundary problems for the $p$-Laplacian with non-zero right hand side, where $p\in (1,\infty)$. This is the optimal regularity for the problem. We also obtain…
We study a stochastic optimal control problem for jump-diffusion systems whose drift coefficient is piecewise Lipschitz continuous and exhibits threshold-induced discontinuities. Such dynamics naturally arise in applications with…
A classical problem in ergodic continuous time control consists of studying the limit behavior of the optimal value of a discounted cost functional with infinite horizon as the discount factor $\lambda$ tends to zero. In the literature,…
This paper is concerned with optimal control problems for systems governed by mean-field stochastic differential equation, in which the control enters both the drift and the diffusion coefficient. We prove that the relaxed state process,…
We study an optimal boundary control problem for the two-dimensional stationary micropolar fluids system with variable density. We control the system by considering boundary controls, for the velocity vector and angular velocity of rotation…
We study a Cahn-Hilliard-Darcy system with mass sources, which can be considered as a basic, though simplified, diffuse interface model for the evolution of tumor growth. This system is equipped with an impermeability condition for the…