Related papers: Impulse control problem on finite horizon with exe…
Optimal control of diffusion processes is intimately connected to the problem of solving certain Hamilton-Jacobi-Bellman equations. Building on recent machine learning inspired approaches towards high-dimensional PDEs, we investigate the…
For a class of Bellman equations in bounded domains we prove that sub- and supersolutions whose growth at the boundary is suitably controlled must be constant. The ellipticity of the operator is assumed to degenerate at the boundary and a…
Predictive control is frequently used for control problems involving constraints. Being an optimization based technique utilizing a user specified so-called stage cost, performance properties, i.e., bounds on the infinite horizon…
We consider an optimal control problem for a system governed by a Volterra integral equation with impulsive terms. The impulses act on both the state and the control; the control consists of switchings at discrete times. The cost functional…
It is strange but fruitful to think about the functions as random processes. Any function can be viewed as a martingale (in many different ways) with discrete time. But it can be useful to have continuous time too. Processes can emulate…
In this paper, we study the well-posedness and approximate controllability of a class of network systems having delays and controls at the boundary conditions. The particularity of this work is that the network system is defined on infinite…
We consider control systems governed by nonlinear O.D.E.'s that are affine in the time-derivative du/dt of the control u. The latter is allowed to be an integrable, possibly of unbounded variation function, which gives the system an…
This paper considers a new class of deterministic finite-time horizon, two-player, zero-sum differential games (DGs) in which the maximizing player is allowed to take continuous and impulse controls whereas the minimizing player is allowed…
We investigate constrained optimal control problems for linear stochastic dynamical systems evolving in discrete time. We consider minimization of an expected value cost over a finite horizon. Hard constraints are introduced first, and then…
We study a finite horizon optimal control problem for the continuity equation under a weighted integral state constraint on the mass outside a fixed set. The model is cast in a Hilbert framework for densities. On a suitable invariant…
We consider stochastic dynamic programming problems with high-dimensional, discrete state-spaces and finite, discrete-time horizons that prohibit direct computation of the value function from a given Bellman equation for all states and time…
Path Integral Control methods were developed for stochastic optimal control covering a wide class of finite horizon formulations with control affine nonlinear dynamics. Characteristic for this class is that the HJB equation is linear and…
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…
Reflected diffusions naturally arise in many problems from applications ranging from economics and mathematical biology to queueing theory. In this paper we consider a class of infinite time-horizon singular stochastic control problems for…
This paper is devoted to studying an infinite time horizon stochastic recursive control problem with jumps, where infinite time horizon stochastic differential equation and backward stochastic differential equation with jumps describe the…
We consider a classical finite horizon optimal control problem for continuous-time pure jump Markov processes described by means of a rate transition measure depending on a control parameter and controlled by a feedback law. For this class…
We consider the problem of finite-horizon optimal control of a discrete linear time-varying system subject to a stochastic disturbance and fully observable state. The initial state of the system is drawn from a known Gaussian distribution,…
A robust control problem is considered in this paper, where the controlled stochastic differential equations (SDEs) include ambiguity parameters and their coefficients satisfy non-Lipschitz continuous and non-linear growth conditions, the…
We propose a model in which dividend payments occur at regular, deterministic intervals in an otherwise continuous model. This contrasts traditional models where either the payment of continuous dividends is controlled or the dynamics are…
In this note, we present some complementary results on the infinite horizon optimal control for linear time-delay systems. We formally establish some properties of the matrices arising in the Bellman functional, and we prove that no…