Related papers: Maximum Principle of Stochastic Optimal Control Pr…
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 propose a new methodology for solving an uncertain stochastic Markovian control problem in discrete time. We call the proposed methodology the adaptive robust control. We demonstrate that the uncertain control problem under…
In this paper, we study a delayed forward-backward stochastic control system in which all the coefficients depend on the state and control terms, and the control domain is not necessarily convex. A global stochastic maximum principle is…
This paper aims to explore the relationship between maximum principle and dynamic programming principle for stochastic recursive control problem with random coefficients. Under certain regular conditions for the coefficients, the…
While Robust Model Predictive Control considers the worst-case system uncertainty, Stochastic Model Predictive Control, using chance constraints, provides less conservative solutions by allowing a certain constraint violation probability…
The optimal control problem of stochastic systems is commonly solved via robust or scenario-based optimization methods, which are both challenging to scale to long optimization horizons. We cast the optimal control problem of a stochastic…
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…
This paper is concerned with a discounted optimal control problem of partially observed forward-backward stochastic systems with jumps on infinite horizon. The control domain is convex and a kind of infinite horizon observation equation is…
This paper is concerned with a stochastic linear-quadratic optimal control problem of Markovian regime switching system with model uncertainty and partial information, where the information available to the control is based on a…
This paper studies a class of continuous-time scalar-state stochastic Linear-Quadratic (LQ) optimal control problem with the linear control constraints. Applying the state separation theorem induced from its special structure, we develop…
In this paper, a stochastic control problem under model uncertainty with general penalty term is studied. Two types of penalties are considered. The first one is of type f-divergence penalty treated in the general framework of a continuous…
We address a general optimal switching problem over finite horizon for a stochastic system described by a differential equation driven by Brownian motion. The main novelty is the fact that we allow for infinitely many modes (or regimes,…
The purpose of this paper is to provide a detailed probabilistic analysis of the optimal control of nonlinear stochastic dynamical systems of the McKean Vlasov type. Motivated by the recent interest in mean field games, we highlight the…
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…
The paper is concerned with optimal control of backward stochastic differential equation (BSDE) driven by Teugel's martingales and an independent multi-dimensional Brownian motion, where Teugel's martingales are a family of pairwise…
In this paper we set up an optimal control framework for a hybrid stochastic system with dual or multiple Markov switching diffusion processes, while Markov chains governing these switching diffusions are not identical as assumed by the…
This paper studies the optimal control problems of stochastic evolution equations with infinite delay of general functional type. By introducing a non-anticipative path derivative and its infinite-window dual operator, we derive the…
We prove a general existence result in stochastic optimal control in discrete time where controls take values in conditional metric spaces, and depend on the current state and the information of past decisions through the evolution of a…
For a class of stochastic delay evolution equations driven by cylindrical $Q$-Wiener process, we study the Pontryagin's maximum principle for the stochastic recursive optimal control problem. The delays are given as moving averages with…
This paper presents a method to approximately solve stochastic optimal control problems in which the cost function and the system dynamics are polynomial. For stochastic systems with polynomial dynamics, the moments of the state can be…