相关论文: Stochastic control problems for systems driven by …

Optimal control of interacting particles governed by stochastic evolution equations in Hilbert spaces is an open area of research. Such systems naturally arise in formulations where each particle is modeled by stochastic partial…

In this paper, we consider the functional It\^o calculus framework to find a path-dependent version of the Hamilton-Jacobi-Bellman equation for stochastic control problems that feature dynamics and running cost that depend on the path of…

We consider a robust switching control problem. The controller only observes the evolution of the state process, and thus uses feedback (closed-loop) switching strategies, a non standard class of switching controls introduced in this paper.…

In this article, a notion of viscosity solutions is introduced for second order path-dependent Hamilton-Jacobi-Bellman (PHJB) equations associated with optimal control problems for path-dependent stochastic differential equations. We…

In this paper, we study the stochastic optimal control problem for control system with time-varying delay. The corresponding stochastic differential equation is a kind of stochastic differential delay equation. We prove the existence and…

This paper considers linear-quadratic control of a non-linear dynamical system subject to arbitrary cost. I show that for this class of stochastic control problems the non-linear Hamilton-Jacobi-Bellman equation can be transformed into a…

This paper is devoted to the stochastic optimal control problem of ordinary differential equations allowing for both path-dependence and measurable randomness. As opposed to the deterministic path-dependent cases, the value function turns…

This paper investigates the $H_{2}/H_{\infty}$ control problem for linear stochastic differential systems under partial observation. Unlike existing studies that assume full state accessibility, we consider the scenario where the controller…

We characterize the value of swing contracts in continuous time as the unique viscosity solution of a Hamilton-Jacobi-Bellman equation with suitable boundary conditions. The case of contracts with penalties is straightforward, and in that…

In this paper we are interested in a new type of {\it mean-field}, non-Markovian stochastic control problems with partial observations. More precisely, we assume that the coefficients of the controlled dynamics depend not only on the paths…

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…

We study a multiscale stochastic optimal control problem subject to state constraints on the slow variable. To address this class of problems, we develop a rigorous theoretical framework based on singular perturbation analysis, tailored to…

This paper first describes a class of uncertain stochastic control systems with Markovian switching, and derives an It\^o-Liu formula for Markov-modulated processes. And we characterize an optimal control law, which satisfies the…

This paper is concerned with the stochastic recursive optimal control problem with mixed delay. The connection between Pontryagin's maximum principle and Bellman's dynamic programming principle is discussed. Without containing any…

Using a recently introduced representation of the second order adjoint state as the solution of a function-valued backward stochastic partial differential equation (SPDE), we calculate the viscosity super- and subdifferential of the value…

We study an optimal control problem on infinite horizon for a controlled stochastic differential equation driven by Brownian motion, with a discounted reward functional. The equation may have memory or delay effects in the coefficients,…

We consider continuous-state and continuous-time control problems where the admissible trajectories of the system are constrained to remain on a union of half-planes which share a common straight line. This set will be named a junction. We…

We study a time-optimal control problem of a two-peakon collision. First, we state the controllability. Next, we find the time-optimal strategy. This is done via the HamiltonJacobi-Bellman equation and the dynamic programming method. We…

In this paper we study backward stochastic differential equations (BSDEs) driven by the compensated random measure associated to a given pure jump Markov process X on a general state space K. We apply these results to prove well-posedness…

We study optimal control problems for interacting branching diffusion processes, a class of measure-valued dynamics capturing both spatial motion and branching mechanisms. From the perspective of the dynamic programming principle, we…