Related papers: Existence of optimal controls for stochastic parti…
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…
This paper investigates the optimal control problem for a class of parabolic equations where the diffusion coefficient is influenced by a control function acting nonlocally. Specifically, we consider the optimization of a cost functional…
In this article, we consider a stochastic linear quadratic control problem with partial observation. A near optimal control in the weak formulation is characterized. The main features of this paper are the presence of the control in the…
We consider a stochastic control problem where the set of controls is not necessarily convex and the system is governed by a nonlinear backward stochastic differential equation. We establish necessary as well as sufficient conditions of…
Optimal control of the singular nonlinear parabolic PDE which is a distributional formulation of multidimensional and multiphase Stefan-type free boundary problem is analyzed. Approximating sequence of finite-dimensional optimal control…
We consider a stochastic control problem with the assumption that the system is controlled until the state process breaks the fixed barrier. Assuming some general conditions, it is proved that the resulting Hamilton Jacobi Bellman equations…
In this paper, we consider a state constrained optimal control problem governed by the transient Stokes equations. The state constraint is given by an L2 functional in space, which is required to fulfill a pointwise bound in time. 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…
An optimal control problem driven by an ordinary differential equation under continuous state constraints is considered in this study. From an operational point of view, we introduce a discrete state constraints optimal control problem and…
We consider a stochastic optimal control problem for an heat equation with boundary noise and boundary controls. Under suitable assumptions on the coefficients, we prove existence of optimal controls in strong sense by solving the…
In this paper, we investigate a spectral Petrov-Galerkin method for an optimal control problem governed by a two-sided space-fractional diffusion-advection-reaction equation. Taking into account the effect of singularities near the boundary…
In this paper, we establish a general stochastic maximum principle for optimal control for systems described by a continuous-time Markov regime-switching stochastic recursive utilities model. The control domain is postulated not to be…
In this paper, we study a stochastic optimal control problem under a type of consistent convex expectation dominated by G-expectation. By the separation theorem for convex sets, we get the representation theorems for this convex expectation…
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…
Optimal Dirichlet boundary control for a fractional/normal evolution with a final observation is considered. The unique existence of the solution and the first-order optimality condition of the optimal control problem are derived. The…
Optimal control of stochastic nonlinear dynamical systems is a major challenge in the domain of robot learning. Given the intractability of the global control problem, state-of-the-art algorithms focus on approximate sequential optimization…
In this paper, a quadratic optimal control problem is considered for second-order parabolic PDEs with homogeneous Dirichlet boundary conditions, in which the "point" control function (depending only on time) constitutes a source term. These…
In this paper we study the stochastic control problem of partially observed (multi-dimensional) stochastic system driven by both Brownian motions and fractional Brownian motions. In the absence of the powerful tool of Girsanov…
We prove a stochastic maximum principle ofPontryagin's type for the optimal control of a stochastic partial differential equationdriven by white noise in the case when the set of control actions is convex. Particular attention is paid to…
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…