Related papers: Optimal stochastic impulse control problem with de…
In this article, we consider the deterministic impulsively controlled system with infinite horizon and several discounted objective functionals. The constructed optimal control problem with functional constraints is reformulated as a Markov…
A novel approach to design the feedback control based on past states is proposed for hybrid stochastic differential equations (HSDEs). This new theorem builds up the connection between the delay feedback control and the control function…
We consider a discrete-time formulation for a class of high-dimensional stochastic joint replenishment problems. First, we approximate the problem by a continuous-time impulse control problem. Exploiting connections among the impulse…
A new method for stochastic control based on neural networks and using randomisation of discrete random variables is proposed and applied to optimal stopping time problems. The method models directly the policy and does not need the…
We consider optimal stopping problems, in which a sequence of independent random variables is drawn from a known continuous density. The objective of such problems is to find a procedure which maximizes the expected reward; this is often…
In this paper, we study a delayed forward-backward stochastic control system in which all the coefficients depend on the state and control terms, and the control domain is not necessarily convex. A global stochastic maximum principle is…
This paper studies an optimal control problem for continuous-time stochastic systems subject to reachability objectives specified in a subclass of metric interval temporal logic specifications, a temporal logic with real-time constraints.…
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 propose a class of discrete-time approximation schemes for stochastic optimal control problems under the $G$-expectation framework. The proposed schemes are constructed recursively based on piecewise constant policy. We…
This paper is concerned with a stochastic recursive optimal control problem with time delay, where the controlled system is described by a stochastic differential delayed equation (SDDE) and the cost functional is formulated as the solution…
We consider a control problem constrained by the unsteady stochastic Stokes equations with nonhomogeneous boundary conditions in connected and bounded domains. In this paper, controls are defined inside the domain as well as on the…
This paper studies impulsive stabilization of nonlinear systems. We propose two types of event-triggering algorithms to update the impulsive control signals with actuation delays. The first algorithm is based on continuous event detection,…
We propose a general framework for studying optimal impulse control problem in the presence of uncertainty on the parameters. Given a prior on the distribution of the unknown parameters, we explain how it should evolve according to the…
The semilinear beam equation with impulses, memory and delay is considered. We obtain the approximate controllability. This is done by employing a technique that avoids fixed point theorems and pulling back the control solution to a fixed…
In this article we study an optimal stopping/optimal control problem which models the decision facing a risk-averse agent over when to sell an asset. The market is incomplete so that the asset exposure cannot be hedged. In addition to the…
In this paper, we consider a discrete-time stochastic control problem with uncertain initial and target states. We first discuss the connection between optimal transport and stochastic control problems of this form. Next, we formulate a…
Many decision problems in economics, information technology, and industry can be transformed to an optimal stopping of adapted random vectors with some utility function over the set of Markov times with respect to filtration build by the…
In the standard models for optimal multiple stopping problems it is assumed that between two exercises there is always a time period of deterministic length $\delta$, the so called refraction period. This prevents the optimal exercise times…
We prove a stochastic maximum principle for a control problem where the state equation is delayed both in the state and in the control, and also the final cost functional may depend on the past trajectories. The adjoint equations turn out…
An optimal control problem driven by an ordinary differential equation under continuous state constraints is considered in this study. From an operational point of view, we introduce a discrete state constraints optimal control problem and…