Related papers: Optimal control problem for reflected stochastic d…
We consider a stochastic optimal control problem governed by a stochastic differential equation with delay in the control. Using a result of existence and uniqueness of a sufficiently regular mild solution of the associated…
In this paper, we consider a stochastic recursive optimal control problem under model uncertainty. In this framework, the cost function is described by solutions of a family of backward stochastic differential equations. With the help of…
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…
We consider a reflected backward stochastic differential equations with default time and an optional barrier in a filtration generated by a one-dimensional Brownian motion and a defaultable process. We suppose that the barrier have…
The optimal control of problems that are constrained by partial differential equations with uncertainties and with uncertain controls is addressed. The Lagrangian that defines the problem is postulated in terms of stochastic functions, with…
This paper primarily focuses on the practical applications of optimal control theory for perturbed sweeping processes within the realm of robotics dynamics. By describing these models as controlled sweeping processes with pointwise control…
In this study, we consider an optimal control problem driven by a stochastic differential system with a stopping time terminal cost functional. We establish the stochastic maximum principle for this new kind of an optimal control problem by…
Stochastic optimal control problems have a long tradition in applied probability, with the questions addressed being of high relevance in a multitude of fields. Even though theoretical solutions are well understood in many scenarios, their…
This paper is concerned with necessary and sufficient conditions for near-optimal singular stochastic controls for systems driven by a nonlinear stochastic differential equations (SDEs in short). The proof of our result is based on…
This article develops variational integrators for a class of underactuated mechanical systems using the theory of discrete mechanics. Further, a discrete optimal control problem is formulated for the considered class of systems and…
We obtain existence and uniqueness in L^p, p>1 of the solutions of a backward stochastic differential equations (BSDEs for short) driven by a marked point process, on a bounded interval. We show that the solution of the BSDE can be…
Stochastic maximum principle of nonlinear controlled forward-backward systems, where the set of strict (classical) controls need not be convex and the diffusion coefficient depends explicitly on the variable control, is an open problem…
We consider an optimal control problem governed by a rate-inde\-pendent system with non-convex energy. The state equation is approximated by means of viscous regularization w.r.t.\ to hierarchy of two different Hilbert spaces. The…
We consider the optimal control problem of stochastic evolution equations in a Hilbert space under a recursive utility, which is described as the solution of a backward stochastic differential equation (BSDE). A very general maximum…
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…
In this paper, we consider a stochastic decision problem for a system governed by a stochastic differential equation, in which an optimal decision is made in such a way to minimize a vector-valued accumulated cost over a finite-time horizon…
A general maximum principle (necessary and sufficient conditions) for an optimal control problem governed by a stochastic differential equation driven by an infinite dimensional martingale is established. The solution of this equation takes…
In this paper we present a method to approximate optimal feedback controls for stochastic reaction-diffusion equations. We derive two approximation results providing the theoretical foundation of our approach and allowing for explicit error…
We consider in this paper, mixed relaxed-singular stochastic control problems, where the control variable has two components, the first being measure-valued and the second singular. The control domain is not necessarily convex and the…
This article discusses an optimal control problem for a phase field model of two immiscible incompressible fluid flow, incorporating surface tension effects. The optimal control problem is defined with a $L^2$-cost functional and subject to…