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It is a longstanding unsolved problem to characterize the optimal feedback controls for general linear quadratic optimal control problem of stochastic evolution equation with random coefficients. A solution to this problem is given in [21]…
We consider a class of exit time stochastic control problems for diffusion processes with discounted criterion, where the controller can utilize a given amount of resource, called "fuel". In contrast to the vast majority of existing…
In this paper we consider a multidimensional semilinear reaction-diffusion equation and we obtain at any arbitrary time an approximate controllability result between nonnegative states using as control term the reaction coefficient, that is…
Given a linear time-periodic control system in a Hilbert space with a bounded control operator, we present a characterization of periodic stabilization in terms of a detectability inequality. Similar characterizationwas built up in [E.…
We consider an optimal control problem $\cQ$ governed by an elliptic quasivariational inequality with unilateral constraints. The existence of optimal pairs of the problem is a well known result, see \cite{SS}, for instance. We associate to…
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…
The aim of this work is to give a broad panorama of the control properties of fractional diffusive models from a numerical analysis and simulation perspective. We do this by surveying several research results we obtained in the last years,…
We consider the problem of stochastic optimal control in the presence of an unknown disturbance. We characterize the disturbance via empirical characteristic functions, and employ a chance constrained approach. By exploiting properties of…
We solve in mild sense Hamilton Jacobi Bellman equations, both in an infinite dimensional Hilbert space and in a Banach space, with lipschitz Hamiltonian and lipschitz continuous final condition, and asking only a weak regularizing property…
This paper investigates a singular stochastic control problem for a multi-dimensional regime-switching diffusion process confined in an unbounded domain. The objective is to maximize the total expected discounted rewards from exerting the…
In this paper we consider evolutionary Navier-Stokes equations subject to the nonslip boundary condition together with a Clarke subdifferential relation between the dynamic pressure and the normal component of the velocity. Under Rauch…
A notion of $L^p$-exact controllability is introduced for linear controlled (forward) stochastic differential equations, for which several sufficient conditions are established. Further, it is proved that the $L^p$-exact controllability,…
Stochastic optimal control problems with constraints on the probability distribution of the final output are considered. Necessary conditions for optimality in the form of a coupled system of partial differential equations involving a…
In this paper we consider non convex control problems of stochastic differential equations driven by relaxed controls. We present existence of optimal controls and then develop necessary conditions of optimality. We cover both continuous…
Scheduling control problems for a family of unitary networks under heavy traffic with general interarrival and service times, probabilistic routing and an infinite horizon discounted linear holding cost are studied. Diffusion control…
We generalize the concept "well-posed linear system" to stochastic linear control systems and study some basic properties of such kind systems. Under our generalized definition, we show the well-posedness of the stochastic heat equation 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…
This paper studies {a} mixed singular/switching stochastic control problem for a multidimensional diffusion with multiples regimes on a bounded domain. Using probabilistic, partial differential equation (PDE) and penalization techniques, we…
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 study some controllability and observability problems for stochastic systems coupling fourth- and second-order parabolic equations. The main goal is to control both equations with only one controller localized on the drift…