Related papers: Time-inconsistent singular control problems: Refle…
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 paper, a general stochastic model with controls applied at the moments when the random process hits the boundary of a given subset of the state set is proposed and studied. The general concept of the model is formulated and its…
This paper explores continuous-time and state-space optimal stopping problems from a reinforcement learning perspective. We begin by formulating the stopping problem using randomized stopping times, where the decision maker's control is…
The entropy regularization is inspired by information entropy from machine learning and the ideas of exploration and exploitation in reinforcement learning, which appears in the control problem to design an approximating algorithm for the…
In this paper, we consider optimal control problems derived by stochastic systems with delay, where control domains are non-convex and the diffusion coefficients depend on control variables. By an estimate of the integral of…
A game-theoretic framework for time-inconsistent stopping problems where the time-inconsistency is due to the consideration of a non-linear function of an expected reward is developed. A class of mixed strategy stopping times that allows…
In this article we approach a class of stochastic reachability problems with state constraints from an optimal control perspective. Preceding approaches to solving these reachability problems are either confined to the deterministic setting…
This paper focuses on finding approximate solutions to stochastic optimal control problems with control domains being not necessarily convex, where the state trajectory is subject to controlled stochastic differential equations. The…
This paper studies robust time-inconsistent (TIC) linear-quadratic stochastic control problems, formulated by stochastic differential games. By a spike variation approach, we derive sufficient conditions for achieving the Nash equilibrium,…
We consider an optimal stochastic impulse control problem over an infinite time horizon motivated by a model of irreversible investment choices with fixed adjustment costs. By employing techniques of viscosity solutions and relying on…
The generation and storage of spin squeezing is an attracting topic in quantum metrology and the foundations of quantum mechanics. The major models to realize the spin squeezing are the one- and two-axis twisting models. Here, we consider a…
This paper is devoted to the numerical analysis of a control constrained distributed optimal control problem subject to a time fractional diffusion equation with non-smooth initial data. The solutions of state and co-state are decomposed…
In this paper we prove a necessary condition of the optimal control problem for a class of general mean-field forward-backward stochastic systems with jumps in the case where the diffusion coefficients depend on control, the control set…
This paper studies a finite-fuel two-dimensional degenerate singular stochastic control problem under regime switching that is motivated by the optimal irreversible extraction problem of an exhaustible commodity. A company extracts a…
The paper is devoted to the optimal control of a system with two time-scales, in a regime when the limit equation is not of averaging type but, in the spirit of Wong-Zakai principle, it is a stochastic differential equation for the slow…
Coherent control of atomic and molecular scattering relies on the preparation of colliding particles in superpositions of internal states, establishing interfering pathways that can be used to tune the outcome of a scattering process.…
In this paper, we study two kinds of singular optimal controls (SOCs for short) problems where the systems governed by forward-backward stochastic differential equations (FBSDEs for short), in which the control has two components: the…
We present novel results on the solution of a class of leavable, undiscounted optimal control problems in the minimax sense for nonlinear, continuous-state, discrete-time plants. The problem class includes entry-(exit-)time problems as well…
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…
In this paper, we will investigate the moment exponential stabilization of highly nonlinear hybrid stochastic differential delay equations. A periodically intermittent controller based on discrete time state observations with asynchronous…