Related papers: Stochastic maximum principle for optimal control p…
This paper studies a stochastic optimal control problem with state constraint, where the state equation is described by a controlled stochastic evolution equation with jumps in Hilbert Space and the control domain is assumed to be convex.…
A continuous optimal control problem governed by an elliptic variational inequality was considered in Boukrouche-Tarzia, Comput. Optim. Appl., 53 (2012), 375-392 where the control variable is the internal energy $g$. It was proved the…
This article is concerned with stochastic control problems for backward doubly stochastic differential equations of mean-field type, where the coefficient functions depend on the joint distribution of the state process and the control…
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…
A Cahn-Hilliard equation with stochastic multiplicative noise and a random convection term is considered. The model describes isothermal phase-separation occurring in a moving fluid, and accounts for the randomness appearing at the…
Standard optimal control methods perform optimization in the time domain. However, many experimental settings demand the expression of the control signal as a superposition of given waveforms, a case that cannot easily be accommodated using…
The paper concerns the study of the Pontryagin Maximum Principle for an infinite dimensional and infinite horizon boundary control problem for linear partial differential equations. The optimal control model has already been studied both in…
This paper is concerned with optimal control problems for systems governed by mean-field stochastic differential equation, in which the control enters both the drift and the diffusion coefficient. We prove that the relaxed state process,…
We solve the problem of optimal stopping of a Brownian motion subject to the constraint that the stopping time's distribution is a given measure consisting of finitely-many atoms. In particular, we show that this problem can be converted to…
This work addresses stochastic optimal control problems where the unknown state evolves in continuous time while partial, noisy, and possibly controllable measurements are only available in discrete time. We develop a framework for…
Time-consistency is an essential requirement in risk sensitive optimal control problems to make rational decisions. An optimization problem is time consistent if its solution policy does not depend on the time sequence of solving the…
A dynamical system entrains to a periodic input if its state converges globally to an attractor with the same period. In particular, for a constant input the state converges to a unique equilibrium point for any initial condition. We…
In this paper, we study the maximum principle for stochastic optimal control problems of forward-backward stochastic difference systems (FBS{\Delta}Ss). Two types of FBS{\Delta}Ss are investigated. The first one is described by a partially…
This paper outlines a novel extension of the classical Pontryagin minimum (maximum) principle to stochastic optimal control problems. Contrary to the well-known stochastic Pontryagin minimum principle involving forward-backward stochastic…
We consider fractional order optimal control problems in which the dynamic control system involves integer and fractional order derivatives and the terminal time is free. Necessary conditions for a state/control/terminal-time triplet to be…
In this paper, we study a class of stochastic optimal control problem with jumps under partial information. More precisely, the controlled systems are described by a fully coupled nonlinear multi- dimensional forward-backward stochastic…
In this paper, the optimal control for discrete-time systems driven by fractional noises is studied. A stochastic maximum principle is obtained by introducing a backward stochastic difference equation contains both fractional noises and the…
We consider a singular stochastic control problem, which is called the Monotone Follower Stochastic Control Problem and give sufficient conditions for the existence and uniqueness of a local-time type optimal control. To establish this…
This paper deals with a stochastic optimal feedback control problem for the controlled stochastic partial differential equations. More precisely, we establish the existence of stochastic optimal feedback control for the controlled…
This paper investigates the norm and time optimal control problems for stochastic heat equations. We begin by presenting a characterization of the norm optimal control, followed by a discussion of its properties. We then explore the…