Related papers: Optimal control problem for reflected stochastic d…

We consider a control problem where the system is driven by a decoupled as well as a coupled forward-backward stochastic differential equation. We prove the existence of an optimal control in the class of relaxed controls, which are…

In this work, we investigate the multidimensional Skorokhod problem for c\`adl\`ag processes, where the reflection is subject to a minimality condition depending on the law of the solution. We then apply these results to establish existence…

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…

This paper shows that penalized backward stochastic differential equation (BSDE), which is often used to approximate and solve the corresponding reflected BSDE, admits both optimal stopping representation and optimal control representation.…

This paper is concerned with the existence of optimal controls for backward stochastic partial differential equations with random coefficients, in which the control systems are represented in an abstract evolution form, i.e. backward…

We introduce a new type of reflected backward stochastic differential equations (BSDEs) for which the reflection constraint is imposed on its main solution component, denoted as $Y$ by convention, but in terms of its conditional expectation…

We a controlled system driven by a coupled forward-backward stochastic differential equation (FBSDE) with a non degenerate diffusion matrix. The cost functional is defined by the solution of the controlled backward stochastic differential…

We consider reflected backward stochastic different equations with optional barrier and so-called regulated trajectories, i.e trajectories with left and right finite limits. We prove existence and uniqueness results. We also show that the…

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…

In this paper, the stochastic verification theorems for stochastic control problems of reflected forward-backward stochastic differential equations are studied. We carry out the work within the frameworks of classical and viscosity…

In this paper, we consider optimal control of stochastic differential equations subject to an expected path constraint. The stochastic maximum principle is given for a general optimal stochastic control in terms of constrained FBSDEs. In…

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 consider optimal control problems for systems governed by mean-field stochastic differential equations, where the control enters both the drift and the diffusion coefficient. We study the relaxed model, in which admissible controls are…

In this article, we analyse the existence of an optimal feedback controller of stochastic optimal control problems governed by SDEs which have the control in the diffusion part. To this end, we consider the underlying Fokker-Planck equation…

We solve the optimal control problem of a one-dimensional reflected stochastic differential equation, whose coefficients can be path dependent. The value function of this problem is characterized by a backward stochastic partial…

The main contributions of this paper are three fold. First, our primary concern is to investigate a class of stochastic recursive delayed control problems which arise naturally with sound backgrounds but have not been well-studied yet. For…

We consider a stochastic control problem where the set of strict (classical) controls is not necessarily convex, and the system is governed by a nonlinear backward stochastic differential equation. By introducing a new approach, we…

In this paper, we study reflected backward stochastic difference equations (RBSDEs for short) with finitely many states in discrete time. The general existence and uniqueness result, as well as comparison theorems for the solutions, are…

We consider a stochastic control problem which is composed of a controlled stochastic differential equation, and whose associated cost functional is defined through a controlled backward stochastic differential equation. Under appropriate…

This paper investigates a new class of homogeneous stochastic control problems with cone control constraints, extending the classical homogeneous stochastic linear-quadratic (LQ) framework to encompass nonlinear system dynamics and…