相关论文: Optimal control of stochastic differential equatio…

We investigate the linear quadratic stochastic optimal control problems in infinite dimension without Markovian restriction for coefficients. The necessary and sufficient conditions for open-loop optimal controls are presented. We prove the…

Optimal control of heterogeneous mean-field stochastic differential equations with common noise has not been addressed in the literature. In this work, we initiate the study of such models. We formulate the problem within a linear-quadratic…

In this work, we study an optimal boundary control problem for a Cahn - Hilliard -Navier-Stokes (CHNS) system in a two dimensional bounded domain. The CHNS system consists of a Navier-Stokes equation governing the fluid velocity field…

The purpose of this paper is three-fold. Firstly we attack a nonlinear interface problem on an unbounded domain with nonmonotone set-valued transmission conditions. The investigated problem involves a nonlinear monotone partial differential…

In this manuscript we consider a class optimal control problem for stochastic differential delay equations. First, we rewrite the problem in a suitable infinite-dimensional Hilbert space. Then, using the dynamic programming approach, we…

In this paper, we consider the stochastic optimal control problem for a generalized Volterra control system. The corresponding state process is a kind of a generalized stochastic Volterra integral differential equations. We prove the…

In this study, we develop a stochastic optimal control approach with reinforcement learning structure to learn the unknown parameters appeared in the drift and diffusion terms of the stochastic differential equation. By choosing an…

This paper proposes an optimal control problem for a parabolic equation with a nonlocal nonlinearity. The system is described by a parabolic equation involving a nonlinear term that depends on the solution and its integral over the domain.…

We derive novel algorithms for optimization problems constrained by partial differential equations describing multiscale particle dynamics, including non-local integral terms representing interactions between particles. In particular, we…

Motivated by the applications, a class of optimal control problems is investigated, where the goal is to influence the behavior of a given population through another controlled one interacting with the first. Diffusive terms accounting for…

This paper studies the stochastic optimal control problem for systems with unknown dynamics. First, an open-loop deterministic trajectory optimization problem is solved without knowing the explicit form of the dynamical system. Next, a…

This paper investigates a class of controlled stochastic partial differential equations (SPDEs) arising in the modeling of composite materials with spatially varying properties. The state equation describes the evolution of a material…

In this paper we study the stochastic control problem of partially observed (multi-dimensional) stochastic system driven by both Brownian motions and fractional Brownian motions. In the absence of the powerful tool of Girsanov…

The main contributions of this paper are three fold. First, our primary concern is to investigate a class of stochastic recursive delayed control problems which arise naturally with sound backgrounds but have not been well-studied yet. For…

In this paper, we prove both necessary and sufficient maximum principles for infinite horizon discounted control problems of stochastic Volterra integral equations with finite delay and a convex control domain. The corresponding adjoint…

In this paper we provide a complete theoretical analysis of a two-dimensional degenerate non convex singular stochastic control problem. The optimisation is motivated by a storage-consumption model in an electricity market, and features a…

We address a class of backward stochastic differential equations on a bounded interval, where the driving noise is a marked, or multivariate, point process. Assuming that the jump times are totally inaccessible and a technical condition…

The paper is devoted to the study of a new class of optimal control problems for nonsmooth dynamical systems governed by nonconvex discontinuous differential inclusions of the sweeping type with involving variable time into optimization. We…

In this paper, we study the optimal control of a discrete-time stochastic differential equation (SDE) of mean-field type, where the coefficients can depend on both a function of the law and the state of the process. We establish a new…

In this paper, we study a linear-quadratic optimal control problem for mean-field stochastic differential equations driven by a Poisson random martingale measure and a multidimensional Brownian motion. Firstly, the existence and uniqueness…