相关论文: On the existence of a limit value in some non expa…

The objective of this work is to study continuous-time Markov decision processes on a general Borel state space with both impulsive and continuous controls for the infinite-time horizon discounted cost. The continuous-time controlled…

We present variational theory for optimal control over a finite time interval in quantum systems with relaxation. The corresponding Euler-Lagrange equations determining the optimal control field are derived. In our theory the optimal…

A Deterministic affine quadratic optimal control problem is considered. Due to the nature of the problem, optimal controls exist under some very mild conditions. Further, it is shown that under some assumptions, the value function is…

We study quadratic optimal stochastic control problems with control dependent noise state equation perturbed by an affine term and with stochastic coefficients. Both infinite horizon case and ergodic case are treated. To this purpose we…

Infinite horizon optimization problems accompany two perplexities. First, the infinite series of utility sequences may diverge. Second, boundary conditions at the infinite terminal time may not be rigorously expressed. In this paper, we…

We consider linear model reduction in both the control and state variables for unconstrained linear-quadratic optimal control problems subject to time-varying parabolic PDEs. The first-order optimality condition for a state-space reduced…

The concept of a local infimum for an optimal control problem is introduced. This definition extends that of an optimal process. For a~local infimum we prove an existence theorem and derive necessary conditions that resemble some family of…

We investigate an optimal stopping problem for the expected value of a discounted payoff on a regime-switching geometric Brownian motion under two constraints on the possible stopping times: only at exogenous random times and only during a…

We consider a stochastic control problem, where the control domain is convex and the system is governed by a nonlinear backward stochastic differential equation. With a L1 terminal data, we derive necessary optimality conditions in the form…

In this paper, we study initial-boundary value problems for the Cahn--Hilliard system with convection and nonconvex potential, where dynamic boundary conditions are assumed for both the associated order parameter and the corresponding…

In this paper we summarize our results in infinite horizon optimal control. We present optimality conditions for weak local minimizer in the framework of weighted functions. Moreover we formulate the Pontryagin Maximum Principle for strong…

In optimal control problems, there exist different kinds of extremals, that is, curves candidates to be solution: abnormal, normal and strictly abnormal. The key point for this classification is how those extremals depend on the cost…

We provide general conditions ensuring that the value functions of some nonlinear stopping problems with finite horizon converge to the value functions of the corresponding problems with infinite horizon. Our result can be formulated as…

We study an optimal process control problem with multiple assignable causes. The process is initially in-control but is subject to random transition to one of multiple out-of-control states due to assignable causes. The objective is to find…

We prove a maximum principle for the problem of optimal control for a fractional diffusion with infinite horizon. Further, we show existence of fractional backward stochastic differential equations on infinite horizon. We illustrate our…

We study a family of optimal control problems in which one aims at minimizing a cost that mixes a quadratic control penalization and the variance of the system, both for finitely many agents and for the mean-field dynamics as their number…

We prove existence of optimal control for the deterministic and stochastic shallow lake problem without any restrictions on the parameter space and we establish a generalization of the Arrhenius Law in the case of noise-dependent…

We study L 1 -optimal stabilization of linear systems with finite and infinite horizons. Main results concern the existence, uniqueness and structure of optimal solutions, and the robustness of optimal cost.

We consider the problem of finite-horizon optimal control of a discrete linear time-varying system subject to a stochastic disturbance and fully observable state. The initial state of the system is drawn from a known Gaussian distribution,…

We study an optimal switching problem with a state constraint: the controller is only allowed to choose strategies that keep the controlled diffusion in a closed domain. We prove that the value function associated with this problem is the…