相关论文: Convex duality for stochastic singular control pro…

In this work we present two particular cases of the general duality result for linear optimisation problems over signed measures with infinitely many constraints in the form of integrals of functions with respect to the decision variables…

We consider optimal control problems for partial differential equations where the controls take binary values but vary over the time horizon, they can thus be seen as dynamic switches. The switching patterns may be subject to combinatorial…

The paper is about the data-driven computation of optimal control for a class of control affine deterministic nonlinear systems. We assume that the control dynamical system model is not available, and the only information about the system…

We develop a synthetic, variational framework for deriving comparison principles in infinite-dimensional Banach spaces. Unlike traditional approaches that rely on the regularity of minimizers and Euler--Lagrange equations, our method…

We consider the $\mathbb{H}_2$-optimal feedback control problem, for the case in which the plant is passive with bounded $\mathbb{L}_2$ gain, and the feedback law is constrained to be output-strictly passive. In this circumstance, we show…

We describe a reformulation (following Hales (2017)) of a 1934 conjecture of Reinhardt on pessimal packings of convex domains in the plane as a problem in optimal control theory. Several structural results of this problem including its…

Optimal control problems of forward-backward stochastic Volterra integral equations (FBSVIEs, in short) with closed control regions are formulated and studied. Instead of using spike variation method as one may imagine, here we turn to…

This paper investigates the exact controllability problem for multi-dimensional stochastic first-order symmetric hyperbolic systems with control inputs acting in two distinct ways: an internal control applied to the diffusion term and a…

This paper examines a class of singular stochastic control problems with convex objective functions. In Section 2, we use tools from convex analysis to derive necessary and sufficient first order conditions for this class of optimisation…

This paper focuses on finding approximate solutions to stochastic optimal control problems with control domains being not necessarily convex, where the state trajectory is subject to controlled stochastic differential equations. The…

The authors study an infinite dimensional duality theory finalized to obtain the existence of a strong duality between a convex optimization problem connected with the management of vaccinations and its Lagrange dual. Specifically, the…

The canonical duality theory has provided with a unified analytic solution to a range of discrete and continuous problems in global optimization, which can transform a nonconvex primal problem to a concave maximization dual problem over a…

In this paper we study a robust expected utility maximization problem with random endowment in discrete time. We give conditions under which an optimal strategy exists and derive a dual representation for the optimal utility. Our approach…

Building on the free-probability stochastic control framework introduced in arXiv:2502.17329, we connect optimal control problems for $n \times n$ random matrix ensembles with their infinite-dimensional, free-probability analogues. Under…

This paper is concerned with the optimal control problem governed by a linear parabolic equation and subjected to box constraints on control variables. This type of problem has important applications in heating and cooling systems. By…

In this paper we derive robust super- and subhedging dualities for contingent claims that can depend on several underlying assets. In addition to strict super- and subhedging, we also consider relaxed versions which, instead of eliminating…

We study a benchmarked risk-sensitive portfolio problem in a factor-based setting to bring together three strands of the literature: benchmarked risk-sensitive investment management, the Kuroda-Nagai change-of-measure method, and the free…

We study regularity properties of the dynamic value functions of primal and dual problems of optimal investing for utility functions defined on the whole real line. Relations between decomposition terms of value processes of primal and dual…

The objective of the paper is to investigate the approximate controllability property of a linear stochastic control system with values in a separable real Hilbert space. In a first step we prove the existence and uniqueness for the…

This paper investigates the $H_{2}/H_{\infty}$ control problem for linear stochastic differential systems under partial observation. Unlike existing studies that assume full state accessibility, we consider the scenario where the controller…