Related papers: Progressively Enlargement of Filtrations and Contr…
This paper is concerned with a kind of risk-sensitive optimal control problem for fully coupled forward-backward stochastic systems. The control variable enters the diffusion term of the state equation and the control domain is not…
The optimal control problem for discrete-time systems with colored multiplicative noise is discussed in this paper. The problem will be more difficult to deal with than the case of white noise due to the correlation of the adjoining state.…
The paper is devoted to a stochastic optimal control problem for a two scale, infinite dimensional, stochastic system. The state of the system consists of slow and fast component and its evolution is driven by both continuous Wiener noises…
In this paper we study an Ergodic Markovian BSDE involving a forward process $X$ that solves an infinite dimensional forward stochastic evolution equation with multiplicative and possibly degenerate diffusion coefficient. A concavity…
In this paper, we study the optimal control of a discrete-time stochastic differential equation (SDE) of mean-field type, where the coefficients can depend on both a function of the law and the state of the process. We establish a new…
Trajectory optimization is a fundamental stochastic optimal control problem. This paper deals with a trajectory optimization approach for dynamical systems subject to measurement noise that can be fitted into linear time-varying stochastic…
We deal with various alternative decompositions of F-martingales with respect to the filtration G which represents the enlargement of a filtration F by a progressive flow of observations of a random time that either belongs to the class of…
With an emphasis on generators with quadratic growth in the control variable we consider measure solutions of BSDE, a solution concept corresponding to the notion of risk neutral measure in mathematical finance. In terms of measure…
The objectives and contributions of this paper are mathematical and numerical analyses of a stochastic control problem of bounded population dynamics under ambiguity, an important but not well-studied problem, focusing on the optimality…
We consider stochastic optimal control of linear dynamical systems with additive non-Gaussian disturbance. We propose a novel, sampling-free approach, based on Fourier transformations and convex optimization, to cast the stochastic optimal…
We consider a stochastic control problem for a class of nonlinear kernels. More precisely, our problem of interest consists in the optimisation, over a set of possibly non-dominated probability measures, of solutions of backward stochastic…
Our paper is devoted to the study of Peng's stochastic maximum principle (SMP) for a stochastic control problem composed of a controlled forward stochastic differential equation (SDE) as dynamics and a controlled backward SDE which defines…
In this paper, further extensions of the result of the paper "A successive approximation method in functional spaces for hierarchical optimal control problems and its application to learning, arXiv:2410.20617 [math.OC], 2024" concerning a…
In this paper we prove a necessary condition of the optimal control problem for a class of general mean-field forward-backward stochastic systems with jumps in the case where the diffusion coefficients depend on control, the control set…
This work is concerned with the theory of initial and progressive enlargements of a reference filtration F with a random time {\tau}. We provide, under an equivalence assumption, slightly stronger than the absolute continuity assumption of…
We present some new results on sample path optimality for the ergodic control problem of a class of non-degenerate diffusions controlled through the drift. The hypothesis most often used in the literature to ensure the existence of an a.s.…
The process of dynamic state estimation (filtering) based on point process observations is in general intractable. Numerical sampling techniques are often practically useful, but lead to limited conceptual insight about optimal…
In this paper, we consider the mixed optimal control of a linear stochastic system with a quadratic cost functional, with two controllers-one can choose only deterministic time functions, called the deterministic controller, while the other…
Stochastic Optimal Control Problems (SOCPs) plays a major role in the sequential decision-making challenges. There exist various iterative algorithms, under framework of stochastic maximum principle, that sequentially find the optimal…
In this paper, we consider continuous-time stochastic optimal control problems where the cost is evaluated through a coherent risk measure. We provide an explicit gradient descent-ascent algorithm which applies to problems subject to…