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This paper is devoted to studying an infinite time horizon stochastic recursive control problem with jumps, where infinite time horizon stochastic differential equation and backward stochastic differential equation with jumps describe the…
This study investigates a stochastic production planning problem with a running cost composed of quadratic production costs and inventory-dependent costs. The objective is to minimize the expected cost until production stops when inventory…
We characterize the optimal control for a class of singular stochastic control problems as the unique solution to a related Skorokhod reflection problem. The considered optimization problems concern the minimization of a discounted cost…
We derive sufficient and necessary optimality conditions in terms of a stochastic maximum principle (SMP) for controls associated with cost functionals of mean-field type, under dynamics driven by a class of Markov chains of mean-field type…
This paper will investigate the infinite horizon optimal control and stabilization problems for the Markov jump linear system (MJLS) subject to control input delay. Different from previous works, for the first time, the necessary and…
This paper is concerned with the partial information optimal control problem of wa controlled forward-backward stochastic differential equation of jump diffusion with correlated noises between the system and the observation. For this type…
This paper investigates the robustness of stochastic optimal control for controlled regime switching diffusions. We consider systems driven by both continuous fluctuations and discrete regime changes, allowing for model misspecification in…
In this paper, we present an optimal control problem for stochastic differential games under Markov regime-switching forward-backward stochastic differential equations with jumps and partial information. First, we prove a sufficient maximum…
We consider optimal transport problems where the cost is optimized over controlled dynamics and the end time is free. Unlike the classical setting, the search for optimal transport plans also requires the identification of optimal "stopping…
We solve an infinite time-horizon bounded-variation stochastic control problem with regime switching between $N$ states. This is motivated by the problem of a government that wants to control the country's debt-to-GDP (gross domestic…
An efficient optimal-control theory based on the Krotov method is introduced for a non-Markovian open quantum system with a time-nonlocal master equation in which the control parameter and the bath correlation function are correlated. This…
This article presents a constrained policy optimization approach for the optimal control of systems under nonstationary uncertainties. We introduce an assumption that we call Markov embeddability that allows us to cast the stochastic…
This paper is concerned with a general maximum principle for the fully coupled forward-backward stochastic optimal control problem with jumps, where the control domain is not necessarily convex, within the progressively measurable…
We consider damped stochastic systems in a controlled (time-varying) quadratic potential and study their transition between specified Gibbs-equilibria states in finite time. By the second law of thermodynamics, the minimum amount of work…
This paper is concerned with the stochastic linear-quadratic optimal control problem with Poisson jumps. The coefficients in the state equation and the weighting matrices in the cost functional are all deterministic but are allowed…
Motivated by the design of fast reinforcement learning algorithms, we study the diffusive limit of a class of pure jump ergodic stochastic control problems. We show that, whenever the intensity of jumps is large enough, the approximation…
We consider the optimal stopping problem consisting in, given a strong Markov process, a reward function and a discount rate, finding the stopping time such that the expected reward at the stopping time is maximum. The approach we follow,…
In this paper, problems of optimal control are considered where in the objective function, in addition to the control cost there is a tracking term that measures the distance to a desired stationary state. The tracking term is given by some…
We study problems of optimal boundary control with systems governed by linear hyperbolic partial differential equations. The objective function is quadratic and given by an integral over the finite time interval $(0,\, T)$ that depends on…
In this paper, we study the stochastic optimal control problem for control system with time-varying delay. The corresponding stochastic differential equation is a kind of stochastic differential delay equation. We prove the existence and…