Related papers: Optimal control problem for reflected stochastic d…

The considered optimal control problem of a stochastic power system, is to select the set of power supply vectors which infimizes the probability that the phase-angle differences of any power flow of the network, endangers the transient…

In this paper, we study the numerical method for stochastic optimal control problems (SOCPs). By reducing the optimal control problem to the discrete case, we derive a discrete stochastic maximum principle (SMP). With the help of this SMP,…

We present a version of the stochastic maximum principle (SMP) for ergodic control problems. In particular we give necessary (and sufficient) conditions for optimality for controlled dissipative systems in finite dimensions. The strategy we…

In this work, we introduce a new Skorokhod problem with two reflecting barriers when the trajectories of the driven process and the barriers are right and left limited. We show that this problem has an explicit unique solution in a…

This paper firstly presents the necessary and sufficient conditions for a kind of discrete-time robust stochastic optimal control problem with convex control domains. As it is an "inf sup problem", the classical variational method is…

This paper considers the optimal control for hybrid systems whose trajectories transition between distinct subsystems when state-dependent constraints are satisfied. Though this class of systems is useful while modeling a variety of…

In this paper, we study the existence of an optimal strategy for the stochastic control of diffusion in general case and a saddle-point for zero-sum stochastic differential games. The problem is formulated as an extended BSDE with…

The verification theorem serving as an optimality condition for the optimal control problem, has been expected and studied for a long time. The purpose of this paper is to establish this theorem for control systems governed by stochastic…

In this paper, we design a controller for an interconnected system where a linear Stochastic Differential Equation (SDE) is actuated through a linear parabolic heat equation. These dynamics arise in various applications, such as coupled…

In this paper we consider an optimal control problem (OCP) for the coupled system of a nonlinear monotone Dirichlet problem with matrix- valued non-smooth controls in coefficients and a nonlinear equation of Ham- merstein type. Since…

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…

Here an original idea is suggested to prove the existence of optimal control for some types of non- linear problems. The obtained results can be considered as individual existence theorems (in some sense).

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, we derive sufficient and necessary maximum principles for a stochastic optimal control problem where the system state is given by a controlled stochastic differential equation with default. We prove existence of a unique…

We consider the optimal control of a PDE with random source term subject to probabilistic or almost sure state constraints. In the main theoretical result, we provide an exact formula for the Clarke subdifferential of the probability…

Optimal control theory deals with finding protocols to steer a system between assigned initial and final states, such that a trajectory-dependent cost function is minimized. The application of optimal control to stochastic systems is an…

In this paper, we consider a class of stochastic control problems for stochastic differential equations with random coefficients. The control domain need not to be convex but the control process is not allowed to enter in diffusion term.…

This paper studies a class of continuous-time scalar-state stochastic Linear-Quadratic (LQ) optimal control problem with the linear control constraints. Applying the state separation theorem induced from its special structure, we develop…

We analyze a class of multidimensional linear-quadratic stochastic control problems with random coefficients, motivated by multi-asset optimal trade execution. The problems feature non-diffusive controlled state dynamics and a terminal…

The optimal control problem for discrete-time systems with colored multiplicative noise is discussed in this paper. The problem will be more difficult to deal with than the case of white noise due to the correlation of the adjoining state.…