Related papers: Stochastic Control Problems Motivated by Sailboat …
In this article we show a robustness theorem for controlled stochastic differential equations driven by approximations of Brownian motion. Often, Brownian motion is used as an idealized model of a diffusion where approximations such as…
In this paper we study strongly robust optimal control problems under volatility uncertainty. In the $G$-framework we adapt the stochastic maximum principle to find necessary and sufficient conditions for the existence of a strongly robust…
The goal of robust motion planning consists of designing open-loop controls which optimally steer a system to a specific target region while mitigating uncertainties and disturbances which affect the dynamics. Recently, stochastic optimal…
We study the problem of optimal inside control of an SPDE (a stochastic evolution equation) driven by a Brownian motion and a Poisson random measure. Our optimal control problem is new in two ways: (i) The controller has access to inside…
This paper is concerned with a stochastic linear-quadratic optimal control problem in a finite time horizon, where the coefficients of the control system are allowed to be random, and the weighting matrices in the cost functional are…
This work addresses the optimal covariance control problem for stochastic discrete-time linear time-varying systems subject to chance constraints. Covariance steering is a stochastic control problem to steer the system state Gaussian…
We consider a singular control problem that aims to maximize the expected cumulative rewards, where the instantaneous returns depend on the state of a controlled process. The contributions of this paper are twofold. Firstly, to establish…
We consider the stochastic optimal control problem for the dynamical system of the stochastic differential equation driven by a local martingale with a spatial parameter. Assuming the convexity of the control domain, we obtain the…
This article discusses an optimal control problem for a phase field model of two immiscible incompressible fluid flow, incorporating surface tension effects. The optimal control problem is defined with a $L^2$-cost functional and subject to…
The purpose of this paper is to establish the first and second order necessary conditions for stochastic optimal controls in infinite dimensions. The control system is governed by a stochastic evolution equation, in which both drift and…
The paper is concerned with a class of stochastic evolution equations in Hilbert space with random coefficients driven by Teugel's martingales and an independent multi-dimensional Brownian motion and its optimal control problem. Here…
We consider a continuous time stochastic optimal control problem under both equality and inequality constraints on the expectation of some functionals of the controlled process. Under a qualification condition, we show that the problem is…
We consider a finite-time stochastic drift control problem with the assumption that the control is bounded and the system is controlled until the state process leaves the half-line. Assuming general conditions, it is proved that the…
Approximate methods to solve stochastic optimal control (SOC) problems have received significant interest from researchers in the past decade. Probabilistic inference approaches to SOC have been developed to solve nonlinear quadratic…
We analyze a novel class of rough stochastic control problems that allows for a convenient approach to solving pathwise stochastic control problems with both non-anticipative and anticipative controls. We first establish the well-posedness…
In this manuscript we consider optimal control problems of stochastic differential equations with delays in the state and in the control. First, we prove an equivalent Markovian reformulation on Hilbert spaces of the state equation. Then,…
When navigating complex environments, animals often combine multiple strategies to mitigate the effects of external disturbances. These modalities often correspond to different sources of information, leading to speed-accuracy trade-offs.…
In this paper, we investigate an optimal control problem governed by parabolic equations with measure-valued controls over time. We establish the well-posedness of the optimal control problem and derive the first-order optimality condition…
In this work, we study a boundary control problem for the evolutionary Navier-Stokes equations, under mixed boundary conditions, in two dimensions. The cost functional here considered is of quadratic type, depending on both state and…
A general maximum principle (necessary and sufficient conditions) for an optimal control problem governed by a stochastic differential equation driven by an infinite dimensional martingale is established. The solution of this equation takes…