相关论文: Equilibrium points for Optimal Investment with Vin…

This paper is concerned with a constrained stochastic linear-quadratic optimal control problem, in which the terminal state is fixed and the initial state is constrained to lie in a stochastic linear manifold. The controllability of…

In an earlier paper (https://doi.org/10.1137/21M1393315), the Switch Point Algorithm was developed for solving optimal control problems whose solutions are either singular or bang-bang or both singular and bang-bang, and which possess a…

This paper studies a type of periodic utility maximization problems for portfolio management in incomplete stochastic factor models with convex trading constraints. The portfolio performance is periodically evaluated on the relative ratio…

We consider some boundary value tracking optimal control problem constrained by a Neumann boundary value problem for some elliptic partial differential equation where the control acts as right-hand side. This optimal control problem can be…

This paper deals with a class of time inconsistent stochastic linear quadratic (SLQ) optimal control problems in Markovian framework. Three notions, i.e., closed-loop equilibrium controls/strategies, open-loop equilibrium controls and their…

This article treats optimal sparse control problems with multiple constraints defined at intermediate points of the time domain. For such problems with intermediate constraints, we first establish a new Pontryagin maximum principle that…

Standard Markovian optimal stopping problems are consistent in the sense that the first entrance time into the stopping set is optimal for each initial state of the process. Clearly, the usual concept of optimality cannot in 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…

In this paper, we investigate a class of time-inconsistent discrete-time stochastic linear-quadratic optimal control problems, whose time-consistent solutions consist of an open-loop equilibrium control and a linear feedback equilibrium…

We consider an optimal control problem $\cQ$ governed by an elliptic quasivariational inequality with unilateral constraints. The existence of optimal pairs of the problem is a well known result, see \cite{SS}, for instance. We associate to…

We propose a simple and original approach for solving linear-quadratic mean-field stochastic control problems. We study both finite-horizon and infinite-horizon problems, and allow notably some coefficients to be stochastic. Our method is…

In this paper, infinite horizon stochastic difference equations and backward stochastic difference equations with fractional noises are studied. The main difficulty comes from fractional noises on infinite horizon. Motivated by…

We present stability conditions for deterministic time-varying nonlinear discrete-time systems whose inputs aim to minimize an infinite-horizon time-dependent cost. Global asymptotic and exponential stability properties for general…

The paper addresses an existence problem for infinite horizon optimal control when the system under control is exponentially stabilizable or stable. Classes of nonlinear control systems for which infinite horizon optimal controls exist are…

We consider an irreversible investment problem under incomplete information, where the investor decides whether and when to make investments in a project. Upon investment, the investor acquires previously hidden information from the…

An important problem that arises in many engineering applications is the boundary value problem for ordinary differential equations. There have been many computational methods proposed for dealing with this problem. The convergence of the…

This paper focuses on infinite-horizon optimal control problems for dissipative systems and the relations to their finite-horizon formulations. We show that, for a large class of problems, dissipativity of the state equation, when a…

Necessary optimality conditions in the form of the maximum principle for control problems with infinite time horizon are considered. Both finite and infinite values of objective functional are allowed since the concept of overtaking or…

The present paper represents a continuation of our previous one. There, a continuous dependence result for the solution of an elliptic variational-hemivariational inequality was obtained and then used to prove the existence of optimal pairs…

This paper investigates the infinite horizon optimal control problem (OCP) for space applications characterized by nonlinear dynamics. The proposed approach divides the problem into a finite horizon OCP with a regularized terminal cost,…