Related papers: Here, there and everywhere: state-dependent time-i…
This paper is devoted to the stochastic optimal control problems for systems governed by forward-backward stochastic Volterra integral equations (FBSVIEs, for short) with state constraints. Using Ekeland's variational principle, we obtain…
The optimal control of problems that are constrained by partial differential equations with uncertainties and with uncertain controls is addressed. The Lagrangian that defines the problem is postulated in terms of stochastic functions, with…
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…
This paper extends the results of Ma, Wu, Zhang, Zhang [11] to the context of path-dependent multidimensional forward-backward stochastic differential equations (FBSDE). By path-dependent we mean that the coefficients of the…
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…
In this contribution we present an intrinsic description of time-variant Port Hamiltonian systems as they appear in modeling and control theory. This formulation is based on the splitting of the state bundle and the use of appropriate…
This paper is concerned with a Stackelberg stochastic differential game, where the systems are driven by stochastic differential equation (SDE for short), in which the control enters the randomly disturbed coefficients (drift and…
This paper deals with the problem of covariance stabilization for a class of linear stochastic discrete-time systems in the Stochastic Model Predictive Control (SMPC) framework. The considered systems are affected by independent and…
We a controlled system driven by a coupled forward-backward stochastic differential equation (FBSDE) with a non degenerate diffusion matrix. The cost functional is defined by the solution of the controlled backward stochastic differential…
This paper addresses the problem of steering the distribution of the state of a discrete-time linear system to a given target distribution while minimizing an entropy-regularized cost functional. This problem is called a maximum entropy…
This paper deals with the long time behavior of the optimal solution of stochastic backward linear-quadratic optimal control problem over the finite time horizon. Both weak and strong turnpike properties are established under appropriate…
This paper is concerned with a discrete-time mean-field stochastic linear-quadratic optimal control problem arose from financial application. Through matrix dynamical optimization method, a group of linear feedback controls is investigated.…
Motivated by the recent interest in risk-aware control, we study a continuous-time control synthesis problem to bound the risk that a stochastic linear system violates a given specification. We use risk signal temporal logic as a…
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 consider an optimal control problem constrained by a parabolic partial differential equation (PDE) with Robin boundary conditions. We use a well-posed space-time variational formulation in Lebesgue--Bochner spaces with minimal…
This paper is mainly concerned with the solutions to both forward and backward mean-field stochastic partial differential equation and the corresponding optimal control problem for mean-field stochastic partial differential equation. We…
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…
In this paper, we investigate constrained control of continuous-time linear stochastic systems. We show that for certain system parameter settings, constrained control policies can never achieve stabilization. Specifically, we explore a…
We discuss an open-loop backward Stackelberg differential game involving single leader and single follower. Unlike most Stackelberg game literature, the state to be controlled is characterized by a backward stochastic differential equation…
In this paper, we propose a new policy iteration algorithm to compute the value function and the optimal controls of continuous time stochastic control problems. The algorithm relies on successive approximations using linear-quadratic…