Related papers: Optimal stochastic impulse control problem with de…

In this manuscript we consider optimal control problems of stochastic differential equations with delays in the state and in the control. First, we prove an equivalent Markovian reformulation on Hilbert spaces of the state equation. Then,…

This paper addresses, for the first time in the literature, optimal control problems for dynamic systems governed by a novel class of sweeping processes with time delay. We establish well-posedness of such processes, in the sense of the…

This note is addressed to giving a short introduction to control theory of stochastic systems, governed by stochastic differential equations in both finite and infinite dimensions. We will mainly explain the new phenomenon and difficulties…

This paper considers a distributed stochastic optimization problem where the goal is to minimize the time average of a cost function subject to a set of constraints on the time averages of a related stochastic processes called penalties. We…

The goal of this paper is to solve a class of stochastic optimal control problems numerically, in which the state process is governed by an It\^o type stochastic differential equation with control process entering both in the drift and the…

A general and new stochastic linear quadratic optimal control problem is studied, where the coefficients are allowed to be time-varying, and both state delay and control delay can appear simultaneously in the state equation and the cost…

We consider a finite horizon optimal stopping problem related to trade-off strategies between expected profit and cost cash-flows of an investment under uncertainty. The optimal problem is first formulated in terms of a system of Snell…

This paper studies the dynamic programming principle using the measurable selection method for stochastic control of continuous processes. The novelty of this work is to incorporate intermediate expectation constraints on the canonical…

We solve a linear quadratic optimal control problem for sampled-data systems with stochastic delays. The delays are stochastically determined by the last few delays. The proposed optimal controller can be efficiently computed by iteratively…

In this paper, we consider the mixed optimal control of a linear stochastic system with a quadratic cost functional, with two controllers-one can choose only deterministic time functions, called the deterministic controller, while the other…

This article solves an optimal control problem arising in attitude control of a spacecraft under state and control constraints. We first derive the discrete-time attitude dynamics by employing discrete mechanics. The orientation transfer,…

This paper considers the problem of steering an arbitrary initial probability density function to an arbitrary terminal one, where the system dynamics is governed by a first-order linear stochastic difference equation. It is a…

We study the optimal stopping problem for dynamic risk measures represented by Backward Stochastic Differential Equations (BSDEs) with jumps and its relation with reflected BSDEs (RBSDEs). We first provide general existence, uniqueness and…

In this paper, we consider a state constrained optimal control problem governed by the transient Stokes equations. The state constraint is given by an L2 functional in space, which is required to fulfill a pointwise bound in time. The…

This paper addresses the problem of computing optimal impedance schedules for legged locomotion tasks involving complex contact interactions. We formulate the problem of impedance regulation as a trade-off between disturbance rejection and…

We consider a general class of dynamic resource allocation problems within a stochastic optimal control framework. This class of problems arises in a wide variety of applications, each of which intrinsically involves resources of different…

In this paper, we consider optimal control of stochastic differential equations subject to an expected path constraint. The stochastic maximum principle is given for a general optimal stochastic control in terms of constrained FBSDEs. In…

We introduce and study a new class of optimal switching problems, namely switching problem with controlled randomisation, where some extra-randomness impacts the choice of switching modes and associated costs. We show that the optimal value…

We approach the development of models and control strategies of susceptible-infected-susceptible (SIS) epidemic processes from the perspective of marked temporal point processes and stochastic optimal control of stochastic differential…

We consider a sequential decision-making problem where an agent can take one action at a time and each action has a stochastic temporal extent, i.e., a new action cannot be taken until the previous one is finished. Upon completion, the…