Related papers: Optimal control of Volterra integral diffusions an…
This paper focuses on the discrete-time backward stochastic linear quadratic (BSLQ) optimal control problem with nonhomogeneous system terms and cost function cross terms. The terminal constraint of such systems distinguishes it from…
In this paper stochastic Volterra equations admitting exponentially bounded resolvents are studied. After obtaining convergence of resolvents, some properties of stochastic convolutions are given. The paper provides a sufficient condition…
This paper is concerned with the maximum principle of stochastic optimal control problems, where the coefficients of the state equation and the cost functional are uncertain, and the system is generally under Markovian regime switching.…
This work studies a class of singular Volterra integral equations that are (controlled) and can be applied to memory-related problems.For optimum controls, we prove a second-order Pontryagin type maximal principle.
An optimal control problem related to the probability of transition between stable states for a thermally driven Ginzburg-Landau equation is considered. The value function for the optimal control problem with a spatial discretization is…
This paper is devoted to the analysis of a finite horizon discrete-time stochastic optimal control problem, in presence of constraints. We study the regularity of the value function which comes from the dynamic programming algorithm. We…
This paper analyzes a discretization of a stochastic parabolic optimal control problem, where the diffusion term contains the control variable. With rough data, the convergence of the discretization is derived. In addition, a Monte-Carlo…
This paper is devoted to an optimal control problem of fully coupled forward-backward stochastic differential equations driven by sub-diffusion, whose solutions are not Markov processes. The stochastic maximum principle is obtained, where…
We discuss the optimal Markovian coupling before an exponential time of the Kolmogorov diffusion, and a class of related stochastic control problems in which the aim is to hit the origin before an exponential time. We provide a scaling…
In this article we study the optimal control problem with quadratic functionals for a linear Volterra integro-differential equation in Hilbert spaces. With the finite history seen as an (additional) initial datum for the evolution,…
We characterize the value of swing contracts in continuous time as the unique viscosity solution of a Hamilton-Jacobi-Bellman equation with suitable boundary conditions. The case of contracts with penalties is straightforward, and in that…
We consider stochastic impulse control problems where the process is driven by a general one-dimensional diffusion. We shall show a new mathematical characterization of the value function as a linear function in a certain transformed space.…
Motivated by various applications, this article develops the notion of boundary control for Maxwell's equations in the frequency domain. Surface curl is shown to be the appropriate regularization in order for the optimal control problem to…
We study the existence theory for parabolic variational inequalities in weighted $L^2$ spaces with respect to excessive measures associated with a transition semigroup. We characterize the value function of optimal stopping problems for…
The purpose of this paper is to address a class of hybrid optimal control problems constrained with hyperelasticity and constant global volume. This type of problems can intervene for example in the mechanical aspects of cardiac activity.…
We study a stochastic optimal control problem for jump-diffusion systems whose drift coefficient is piecewise Lipschitz continuous and exhibits threshold-induced discontinuities. Such dynamics naturally arise in applications with…
In this paper, we investigate an optimal control problem governed by parabolic equations with measure-valued controls over time. We establish the well-posedness of the optimal control problem and derive the first-order optimality condition…
This paper studies a stochastic optimal control problem with state constraint, where the state equation is described by a controlled stochastic evolution equation with jumps in Hilbert Space and the control domain is assumed to be convex.…
This paper investigates an optimal control problem where the system is described by a stochastic differential equation with extended mixed delays that contain point delay, extended distributed delay, and extended noisy memory. The model is…
We study a finite horizon optimal control problem for the continuity equation under a weighted integral state constraint on the mass outside a fixed set. The model is cast in a Hilbert framework for densities. On a suitable invariant…