相关论文: Optimal control of a stochastic network driven by …

In this article, we consider a stochastic linear quadratic control problem with partial observation. A near optimal control in the weak formulation is characterized. The main features of this paper are the presence of the control in the…

We adapt ideas and concepts developed in optimal transport (and its martingale variant) to give a geometric description of optimal stopping times of Brownian motion subject to the constraint that the distribution of the stopping time is a…

We consider a fractional Ornstein-Uhlenbeck process involving a stochastic forcing term in the drift, as a solution of a linear stochastic differential equation driven by a fractional Brownian motion. For such process we specify mean and…

In this paper we study strongly robust optimal control problems under volatility uncertainty. In the $G$-framework we adapt the stochastic maximum principle to find necessary and sufficient conditions for the existence of a strongly robust…

The goal of this paper is to solve a class of stochastic optimal control problems numerically, in which the state process is governed by an It\^o type stochastic differential equation with control process entering both in the drift and the…

The considered optimal control problem of a stochastic power system, is to select the set of power supply vectors which infimizes the probability that the phase-angle differences of any power flow of the network, endangers the transient…

We propose a variational formulation of an inverse problem in continuous-time stochastic control, aimed at identifying control costs consistent with a given distribution over trajectories. The formulation is based on minimizing the…

We present a stochastic optimal control problem for a tree network. The dynamics of the network are governed by transport equations with a special emphasis on the non-linear damping function. Demand profiles at the network sinks are…

We study a finite-horizon stochastic control criterion for non-convex optimization in which Brownian exploration is balanced against a quadratic control cost. Rather than emphasizing the classical Hopf--Cole representation, we isolate the…

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…

We consider a stochastic control problem which is composed of a controlled stochastic differential equation, and whose associated cost functional is defined through a controlled backward stochastic differential equation. Under appropriate…

In this paper, we investigate dynamic optimization problems featuring both stochastic control and optimal stopping in a finite time horizon. The paper aims to develop new methodologies, which are significantly different from those of mixed…

This work addresses the optimal covariance control problem for stochastic discrete-time linear time-varying systems subject to chance constraints. Covariance steering is a stochastic control problem to steer the system state Gaussian…

We present a numerical algorithm that allows the approximation of optimal controls for stochastic reaction-diffusion equations with additive noise by first reducing the problem to controls of feedback form and then approximating the…

The paper considers the optimal control problem of inventory of a discrete product in regeneration scheme with a Poisson flow of customer requirements. In the system deferred demand is allowed, the volume of which is limited by a given…

This paper considers an ergodic version of the bounded velocity follower problem, assuming that the decision maker lacks knowledge of the underlying system parameters and must learn them while simultaneously controlling. We propose…

We consider a singular control problem that aims to maximize the expected cumulative rewards, where the instantaneous returns depend on the state of a controlled process. The contributions of this paper are twofold. Firstly, to establish…

We study optimal control of Markov processes with age-dependent transition rates. The control policy is chosen continuously over time based on the state of the process and its age. We study infinite horizon discounted cost and infinite…

We study risk-sensitive control of continuous time Markov chains taking values in discrete state space. We study both finite and infinite horizon problems. In the finite horizon problem we characterise the value function via HJB equation…

We prove existence and uniqueness of the solution of a stochastic shell--model. The equation is driven by an infinite dimensional fractional Brownian--motion with Hurst--parameter $H\in (1/2,1)$, and contains a non--trivial coefficient in…