Related papers: A Direct Solution Method for Stochastic Impulse Co…

This paper investigates the robustness of stochastic optimal control for controlled regime switching diffusions. We consider systems driven by both continuous fluctuations and discrete regime changes, allowing for model misspecification in…

In this paper, we study one kind of stochastic recursive optimal control problem with the obstacle constraints for the cost function where the cost function is described by the solution of one reflected backward stochastic differential…

We prove convergence of the proximal policy gradient method for a class of constrained stochastic control problems with control in both the drift and diffusion of the state process. The problem requires either the running or terminal cost…

Distributionally robust control is a well-studied framework for optimal decision making under uncertainty, with the objective of minimizing an expected cost function over control actions, assuming the most adverse probability distribution…

Recent advancements in diffusion models and diffusion bridges primarily focus on finite-dimensional spaces, yet many real-world problems necessitate operations in infinite-dimensional function spaces for more natural and interpretable…

We study reinforcement learning for controlled diffusion processes with unbounded continuous state spaces, bounded continuous actions, and polynomially growing rewards: settings that arise naturally in finance, economics, and operations…

A variety of boundary value problems in linear transport theory are expressed as a diffusion equation of the two-way, or forward-backward, type. In such problems boundary data are specified only on part of the boundary, which introduces…

We study a hybrid control system in which both discrete and continuous controls are involved. The discrete controls act on the system at a given set interface. The state of the system is changed discontinuously when the trajectory hits…

We consider a nonlinear control system with vector-valued measures as controls and with dynamics depending on time delayed states. First, we introduce a notion of discontinuous, bounded variation solution associated with this system and…

We present a method for optimal control with respect to a linear cost function for positive linear systems with coupled input constraints. We show that the optimal cost function and resulting sparse state feedback for these systems can be…

Stochastic optimal control problems have a long tradition in applied probability, with the questions addressed being of high relevance in a multitude of fields. Even though theoretical solutions are well understood in many scenarios, their…

This paper introduces the formalism required to analyze a certain class of stochastic control problems that involve a super diffusion as the underlying controlled system. To establish the existence of these processes, we show that they are…

In optimal control problems defined on stratified domains, the dynamics and the running cost may have discontinuities on a finite union of submanifolds of RN. In [8, 5], the corresponding value function is characterized as the unique…

In this paper, we study the existence of an optimal strategy for the stochastic control of diffusion in general case and a saddle-point for zero-sum stochastic differential games. The problem is formulated as an extended BSDE with…

In this note, we study a class of stochastic control problems where the optimal strategies are described by two parameters. These include a subset of singular control, impulse control, and two-player stochastic games. The parameters are…

This paper is addressed to studying the exact controllability for stochastic transport equations by two controls: one is a boundary control imposed on the drift term and the other is an internal control imposed on the diffusion term. By…

We investigate the stability of the equilibrium-induced optimal value in one-dimensional diffusion setting for a time-inconsistent stopping problem under non-exponential discounting. We show that the optimal value is semi-continuous with…

This paper establishes a verification theorem for impulse control problems involving conditional McKean-Vlasov jump diffusions. We obtain a Markovian system by combining the state equation of the problem with the stochastic Fokker-Planck…

Temporal point processes have been widely applied to model event sequence data generated by online users. In this paper, we consider the problem of how to design the optimal control policy for point processes, such that the stochastic…

In this paper we study the optimal stochastic control problem for stochastic differential systems reflected in a domain. The cost functional is a recursive one, which is defined via generalized backward stochastic differential equations…