相关论文: A stochastic maximum principle via Malliavin calcu…
At present, the problem to steer a non-Markovian process with minimum energy between specified end-point marginal distributions remains unsolved. Herein, we consider the special case for a non-Markovian process y(t) which, however, assumes…
We investigate optimal control problems with $L^0$ constraints, which restrict the measure of the support of the controls. We prove necessary optimality conditions of Pontryagin maximum principle type. Here, a special control perturbation…
In this paper we give a new approach to introduce switching strategies in a special class of optimal multiprocesses. Defined as the set of partitions of the time interval, switching strategies become the character of a classical control.…
We obtain the variational equations for backward stochastic differential equations in recursive stochastic optimal control problems, and then get the maximum principle which is novel. The control domain need not be convex, and the generator…
We study a continuous time stochastic optimal control problem under partial observations that are available only at discrete time instants. This hybrid setting, with continuous dynamics and intermittent noisy measurements, arises in…
This paper is a survey on some recent aspects and developments in stochastic control. We discuss the two main historical approaches, Bellman's optimality principle and Pontryagin's maximum principle, and their modern exposition with…
We investigate the maximum caliber variational principle as an inference algorithm used to predict dynamical properties of complex nonequilibrium, stationary, statistical systems in the presence of incomplete information. Specifically, we…
In this paper, we consider optimal control problems derived by stochastic systems with delay, where control domains are non-convex and the diffusion coefficients depend on control variables. By an estimate of the integral of…
This paper consists of a detailed and novel stochastic optimal control analysis of a coupled non-linear dynamical system. The state equations are modeled as additional food provided prey-predator system with Holling Type-III functional…
We provide an improvment of the maximum principle of Pon-tryagin of the optimal control problems, for a system governed by an ordinary differential equation, in presence of final constraints, in the setting of the piece-wise differentiable…
We consider a stochastic control problem where the set of strict (classical) controls is not necessarily convex and the the variable control has two components, the first being absolutely continuous and the second singular. The system is…
We study the McKean-Vlasov optimal control problem with common noise in various formulations, namely the strong and weak formulation, as well as the Markovian and non-Markovian formulations, and allowing for the law of the control process…
We prove a stochastic maximum principle ofPontryagin's type for the optimal control of a stochastic partial differential equationdriven by white noise in the case when the set of control actions is convex. Particular attention is paid to…
We analyze a novel class of rough stochastic control problems that allows for a convenient approach to solving pathwise stochastic control problems with both non-anticipative and anticipative controls. We first establish the well-posedness…
In this paper, we consider a varying terminal time structure for the stochastic optimal control problem under state constraints, in which the terminal time varies with the mean value of the state. In this new stochastic optimal control…
We derive a Maximum Principle for optimal control problems with constraints given by the coupling of a system of ODEs and a PDE of Vlasov-type. Such problems arise naturally as ${\Gamma}$-limits of optimal control problems subject to ODE…
Starting from the Avellaneda-Stoikov framework, we consider a market maker who wants to optimally set bid/ask quotes over a finite time horizon, to maximize her expected utility. The intensities of the orders she receives depend not only on…
In this paper we study optimal advertising problems that models the introduction of a new product into the market in the presence of carryover effects of the advertisement and with memory effects in the level of goodwill. In particular, we…
The optimal control problem of stochastic systems is commonly solved via robust or scenario-based optimization methods, which are both challenging to scale to long optimization horizons. We cast the optimal control problem of a stochastic…
Stochastic systems have a control-theoretic interpretation in which noise plays the role of control. In the weak-noise limit, relevant at low temperatures or in large populations, this leads to a precise mathematical mapping: the most…