Related papers: On a control system on an infinite temporal tree
An approach for the description of stochastic systems is derived. Some of the variables in the system are studied forward in time, others backward in time. The approach is based on a perturbation expansion in the strength of the coupling…
From economics point of view, we investigate a new optimal control problem driven by a stochastic differential equation with a multi-time states cost functional. By constructing a series of first-order adjoint equations, we establish the…
We study the optimal control of discrete time mean filed dynamical systems under partial observations. We express the global law of the filtered process as a controlled system with its own dynamics. Following a dynamic programming approach,…
In this study, we propose a varying terminal time structure for the optimal control problem under state constraints, in which the terminal time follows the varying of the control via the constrained condition. Focusing on this new optimal…
We consider a control problem constrained by the unsteady stochastic Stokes equations with nonhomogeneous boundary conditions in connected and bounded domains. In this paper, controls are defined inside the domain as well as on the…
In this paper we investigate the optimal control problem for a class of stochastic Cauchy evolution problem with non standard boundary dynamic and control. The model is composed by an infinite dimensional dynamical system coupled with a…
We investigate constrained optimal control problems for linear stochastic dynamical systems evolving in discrete time. We consider minimization of an expected value cost over a finite horizon. Hard constraints are introduced first, and then…
Stochastic dynamic control systems relate in a prob- abilistic fashion the space of control signals to the space of corresponding future states. Consequently, stochastic dynamic systems can be interpreted as an information channel between…
We present a tree structure algorithm for optimal control problems with state constraints. We prove a convergence result for a discrete time approximation of the value function based on a novel formulation of the constrained problem. Then…
A fundamental concept in control theory is that of controllability, where any system state can be reached through an appropriate choice of control inputs. Indeed, a large body of classical and modern approaches are designed for controllable…
Discrete-time stochastic systems are an essential modelling tool for many engineering systems. We consider stochastic control systems that are evolving over continuous spaces. For this class of models, methods for the formal verification…
We consider stochastic processes indexed by the vertices of an infinite binary tree having a simple recursive structure. The value at any vertex is some fixed function of the values at the two daughter vertices together with some…
This paper deals with the controllability for a class of non-autonomous neutral differential equations of fractional order with infinite delay in an abstract space. The semi-group theory of bounded linear operators, fractional calculus, and…
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…
Optimal stopping is the problem of deciding when to stop a stochastic system to obtain the greatest reward, arising in numerous application areas such as finance, healthcare and marketing. State-of-the-art methods for high-dimensional…
We consider a stochastic control problem, where the control domain is convex and the system is governed by a nonlinear backward stochastic differential equation. With a L1 terminal data, we derive necessary optimality conditions in the form…
We investigate a stochastic optimal control problem where the controlled system is depicted as a stochastic differential delayed equation; however, at the terminal time, the state is constrained in a convex set. We firstly introduce an…
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…
We study a class of infinite-dimensional singular stochastic control problems with applications in economic theory and finance. The control process linearly affects an abstract evolution equation on a suitable partially-ordered…
A dual control problem is presented for the optimal stochastic control of a system governed by partial differential equations. Relationships between the optimal values of the original and the dual problems are investigated and two duality…