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This paper is concerned with a discounted optimal control problem of partially observed forward-backward stochastic systems with jumps on infinite horizon. The control domain is convex and a kind of infinite horizon observation equation is…

We consider the optimal control problem for a linear conditional McKean-Vlasov equation with quadratic cost functional. The coefficients of the system and the weigh-ting matrices in the cost functional are allowed to be adapted processes…

This paper deals with a family of stochastic control problems in Hilbert spaces which arises in typical applications (such as boundary control and control of delay equations with delay in the control) and for which is difficult to apply the…

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…

Uncertainties are abundant in complex systems. Mathematical models for these systems thus contain random effects or noises. The models are often in the form of stochastic differential equations, with some parameters to be determined by…

We give the solution to the minimum-energy control problem for linear stochastic systems. The problem is as follows: given an exactly controllable system, find the control process with the minimum expected energy that transfers the system…

This paper is concerned with one kind of partially observed progressive optimal control problems of coupled forward-backward stochastic systems driven by both Brownian motion and Poisson random measure with risk-sensitive criteria. The…

This paper deals with the infinite-horizon optimal control problem for Boolean control networks (BCNs) with a discounted-cost criterion. This problem has been investigated in existing studies with algorithms characterized by high…

Bipartite matching systems arise in many settings where agents or tasks from two distinct sets must be paired dynamically under compatibility constraints. We consider a high-dimensional bipartite matching system under uncertainty and seek…

Inventory and queueing systems are often designed by controlling weighted combination of some time-averaged performance metrics (like cumulative holding, shortage, server-utilization or congestion costs); but real-world constraints, like…

We consider stochastic differential equation involving pathwise integral with respect to fractional Brownian motion. The estimates for the Hurst parameter are constructed according to first- and second-order quadratic variations of observed…

Problem of time-optimal control of linear systems with fractional dynamics is treated in the paper from the convex-analytic standpoint. A linear system of fractional differential equations involving Riemann--Liouville derivatives is…

We consider covariance control problems for nonlinear stochastic systems. Our objective is to find an optimal control strategy to steer the state from an initial distribution to a terminal one with specified mean and covariance. This…

Trajectory optimization is a fundamental stochastic optimal control problem. This paper deals with a trajectory optimization approach for dynamical systems subject to measurement noise that can be fitted into linear time-varying stochastic…

This paper examines stochastic optimal control problems in which the state is perfectly known, but the controller's measure of time is a stochastic process derived from a strictly increasing L\'evy process. We provide dynamic programming…

An information based method for solving stochastic control problems with partial observation has been proposed. First, the information-theoretic lower bounds of the cost function has been analysed. It has been shown, under rather weak…

In this paper we derive novel change of variable formulas for stochastic integrals w.r.t. a time-changed Brownian motion where we assume that the time-change is a general increasing stochastic process with finitely many jumps in a bounded…

We consider Riemann sum approximations of stochastic integrals with respect to the fractional Browian motion of index $H\geq \frac12$. We show the convergence of these schemes at first and second order. The processes obtained in the limit…

This article studies typical dynamics and fluctuations for a slow-fast dynamical system perturbed by a small fractional Brownian noise. Based on an ergodic theorem with explicit rates of convergence, which may be of independent interest, we…

Controlling the stochastic dynamics of biological populations is a challenge that arises across various biological contexts. However, these dynamics are inherently nonlinear and involve a discrete state space, i.e., the number of molecules,…