相关论文: Optimal control of stochastic differential equatio…

In this paper, we consider optimal control problems derived by stochastic systems with delay, where control domains are non-convex and the diffusion coefficients depend on control variables. By an estimate of the integral of…

In this study, we consider an optimal control problem driven by a stochastic differential equation with state constraints. Here, the state constraints mean the constraints about the path of state. In order to show the maximum principe for…

We consider a stochastic optimal control problem for an heat equation with boundary noise and boundary controls. Under suitable assumptions on the coefficients, we prove existence of optimal controls in strong sense by solving the…

In this paper, we study the maximum principle for stochastic optimal control problems of forward-backward stochastic difference systems (FBS{\Delta}Ss) where the uncertainty is modeled by a discrete time, finite state process, rather than…

In this paper we consider non convex control problems of stochastic differential equations driven by relaxed controls. We present existence of optimal controls and then develop necessary conditions of optimality. We cover both continuous…

In this paper, we consider a class of stochastic control problems for stochastic differential equations with random coefficients. The control domain need not to be convex but the control process is not allowed to enter in diffusion term.…

We study an optimal boundary control problem for the two-dimensional stationary micropolar fluids system with variable density. We control the system by considering boundary controls, for the velocity vector and angular velocity of rotation…

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 work we study an optimal control problem subject to the instationary Navier-Stokes equations, where the control enters via an inhomogeneous Neumann/Do-Nothing boundary condition. Despite the Navier-Stokes equations with these…

We consider the optimal control of singular nonlinear partial differential equation which is the distributional formulation of the multiphase Stefan type free boundary problem for the general second order parabolic equation. Boundary heat…

This paper deals with partially-observed optimal control problems for the state governed by stochastic differential equation with delay. We develop a stochastic maximum principle for this kind of optimal control problems using a variational…

We consider a controlled state equation of parabolic type on the halfline $(0,+\infty)$ with boundary conditions of Dirichlet type in which the unknown is equal to the sum of the control and of a white noise in time. We study finite horizon…

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…

In this paper, we investigate a distributed optimal control problem for a convective viscous Cahn-Hilliard system with dynamic boundary conditions. Such systems govern phase separation processes between two phases taking place in an…

In this paper, we continue the study of some controllability issues for the forward stochastic heat equation with dynamic boundary conditions. The main novelty in the present paper consists of considering only one control without extra…

We consider a control problem where the system is driven by a decoupled as well as a coupled forward-backward stochastic differential equation. We prove the existence of an optimal control in the class of relaxed controls, which are…

Stochastic maximum principle of nonlinear controlled forward-backward systems, where the set of strict (classical) controls need not be convex and the diffusion coefficient depends explicitly on the variable control, is an open problem…

This paper deals with a stochastic optimal feedback control problem for the controlled stochastic partial differential equations. More precisely, we establish the existence of stochastic optimal feedback control for the controlled…

This paper is concerned with the maximum principle of stochastic optimal control problems, where the coefficients of the state equation and the cost functional are uncertain, and the system is generally under Markovian regime switching.…

This article is concerned with stochastic control problems for backward doubly stochastic differential equations of mean-field type, where the coefficient functions depend on the joint distribution of the state process and the control…