Related papers: Optimal Control of Volterra Equations with Impulse…
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…
This paper deals with the general discounted impulse control problem of a piecewise deterministic Markov process. We investigate a new family of epsilon-optimal strategies. The construction of such strategies is explicit and only…
We consider the constrained optimal control problem for the gradual-impulsive CTMDP model with the performance criteria being the expected total undiscounted costs (from the running cost and the cost from each time an impulse being…
We consider an optimal control problem for infinite horizon systems governed by coupled forward-backward stochastic Volterra integral equations with delay. Using Hida-Malliavin calculus, we prove both sufficient and necessary maximum…
In this paper we study strongly robust optimal control problems under volatility uncertainty. In the $G$-framework we adapt the stochastic maximum principle to find necessary and sufficient conditions for the existence of a strongly robust…
The paper is concerned with a kind of minimal time control problem for the heat equation with impulse controls. The purpose of such a problem is to find an optimal impulse control (among certain control constraint set) steering the solution…
In this paper, we consider stochastic optimal control of systems driven by stochastic differential equations with irregular drift coefficient. We establish a necessary and sufficient stochastic maximum principle. To achieve this, we first…
The purpose of this paper is to establish the first and second order necessary conditions for stochastic optimal controls in infinite dimensions. The control system is governed by a stochastic evolution equation, in which both drift and…
This paper focuses on optimal control problem for a class of discrete-time nonlinear systems. In practical applications, computation time is a crucial consideration when solving nonlinear optimal control problems, especially under real-time…
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.…
This paper investigates optimal control problems for delayed systems governed by Infinitely Anticipated Backward Stochastic Differential Equations (IABSDEs). Unlike existing frameworks limited to bounded delays, we introduce a generalized…
In this paper, we derive first-order Pontryagin optimality conditions for risk-averse stochastic optimal control problems subject to final time inequality constraints, and whose costs are general, possibly non-smooth finite coherent risk…
In this paper we study the quadratic regulator problem for a process governed by a Volterra integral equation in ${\mathbb R}^n$. Our main goal is the proof that it is possible to associate a Riccati differential equation to this quadratic…
The Volterra integral equations of the first kind with piecewise smooth kernel are considered. Such equations appear in the theory of optimal control of the evolving systems. The existence theorems are proved. The method for constructing…
An optimal control problem for the continuity equation is considered. The aim of a "controller" is to maximize the total mass within a target set at a given time moment. The existence of optimal controls is established. For a particular…
In this paper, we investigate the optimal control problem for systems driven by mixed fractional Brownian motion (including a fractional Brownian motion with Hurst parameter $H>1/2$ and the standard Brownian motion). By using Malliavin…
In this paper, we study the optimal control problem for steering the state covariance of a discrete-time linear stochastic system over a finite time horizon. First, we establish the existence and uniqueness of the optimal control law for a…
This work deals with the existence of optimal solution and the maximum principle for optimal control problem governed by Navier-Stokes equations with state constraint in 3-D. Strong results in 2-D also are given.
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…
Motivated by the problem of designing robust composite pulses for Bloch equations in the presence of natural perturbations, we study an abstract optimal ensemble control problem in a probabilistic setting with a general nonlinear…