Related papers: Existence of relaxed optimal control for G-neutral…
This work establishes a general stochastic maximum principle for partially observed optimal control of semi-linear stochastic partial differential equations in a nonconvex control domain. The state evolves in a Hilbert space driven by a…
In this paper we study a Pontryagin type stochastic maximum principle for the optimal control of a system, where the state dynamics satisfy a stochastic partial differential equation (SPDE) driven by a two-parameter (time-space) Brownian…
In this paper, we study a stochastic optimal control problem under a type of consistent convex expectation dominated by G-expectation. By the separation theorem for convex sets, we get the representation theorems for this convex expectation…
This paper uses the resolvent operator technique to investigate second-order non-autonomous neutral integrodifferential equations with impulsive conditions in a Banach space. We study the existence of a mild solution and the system's…
This paper is concerned with a kind of linear-quadratic (LQ) optimal control problem of backward stochastic differential equation (BSDE) with partial information. The cost functional includes cross terms between the state and control, and…
This article presents a new method for computing guaranteed convex and concave relaxations of nonlinear stochastic optimal control problems with final-time expected-value cost functions. This method is motivated by similar methods for…
We consider the determination of the optimal stationary singular stochastic control of a linear diffusion for a class of average cumulative cost minimization problems arising in various financial and economic applications of stochastic…
In this paper, we investigate the controlled system described by forward-backward stochastic differential equations with the control contained in drift, diffusion and generator of BSDE. A new verification theorem is derived within the…
We propose a reformulation of the problem of optimally controlled transitions in stochastic thermodynamics. We impose that any terminal cost specified by a thermodynamic functional should depend only on state variables and not on control…
Differential stability of convex discrete optimal control problems in Banach spaces is studied in this paper. By using some recent results of An and Yen [Appl. Anal. 94, 108--128 (2015)] on differential stability of parametric convex…
This paper studies an optimal consumption problem with both relaxed benchmark tracking and consumption drawdown constraint, leading to a stochastic control problem with dynamic state-control constraints. In our relaxed tracking formulation,…
In this paper, we study optimal stochastic control problems for stochastic systems driven by non-Markov sub-diffusion $B_{L_t}$, which have the mixed features of deterministic and stochastic controls. Here $B_t$ is the standard Brownian…
Stochastic optimization problems are generally known to be ill-conditioned to the form of the underlying uncertainty. A framework is introduced for optimal control problems with partial differential equations as constraints that is robust…
This paper extends the domination-monotonicity conditions, which guarantee the well-posedness of extended mean-filed forward-backward stochastic differential equations (extended MF-FBSDEs), from the previously studied linear framework to a…
In this paper we provide a complete theoretical analysis of a two-dimensional degenerate non convex singular stochastic control problem. The optimisation is motivated by a storage-consumption model in an electricity market, and features a…
In this article, we study the existence of insensitizing controls for a nonlinear reaction-diffusion equation with dynamic boundary conditions. Here, we have a partially unknown data of the system, and the problem consists in finding…
The main purpose of this paper is to discuss detailed the stochastic LQ control problem with random coefficients where the linear system is a multidimensional stochastic differential equation driven by a multidimensional Brownian motion and…
We consider a stochastic control problem where the set of strict (classical) controls is not necessarily convex, and the system is governed by a nonlinear backward stochastic differential equation. By introducing a new approach, we…
The present paper considers a stochastic optimal control problem, in which the cost function is defined through a backward stochastic differential equation with infinite horizon driven by G-Brownian motion. Then we study the regularities of…
Optimal control of stochastic systems plays a central role in nonequilibrium physics, with applications in the study of biological molecular motors and the design of single-molecule experiments. While exact analytic solutions to…