相关论文: The necessary and sufficient conditions for stocha…

The purpose of this paper is to establish first and second order necessary optimality conditions for optimal control problems of stochastic evolution equations with control and state constraints. The control acts both in the drift and…

This paper establishes a stochastic maximum principle for optimal control problems governed by time-changed forward-backward stochastic differential equations with L\'evy noise. The system incorporates a random, non-decreasing operational…

We study high-dimensional stochastic optimal control problems in which many agents cooperate to minimize a convex cost functional. We consider both the full-information problem, in which each agent observes the states of all other agents,…

In this paper we consider some optimal control problems governed by elliptic partial differential equations. The solution is the state variable, while the control variable is, depending on the case, the coefficient of the PDE, the…

We obtain a maximum principle for stochastic control problem of general controlled stochastic differential systems driven by fractional Brownian motions (of Hurst parameter $H>1/2$). This maximum principle specifies a system of equations…

In this paper, we consider a multi-objective control problem for stochastic systems that seeks to minimize a cost of interest while ensuring safety. We introduce a novel measure of safety risk using the conditional value-at-risk and a set…

We present stability conditions for deterministic time-varying nonlinear discrete-time systems whose inputs aim to minimize an infinite-horizon time-dependent cost. Global asymptotic and exponential stability properties for general…

In this paper we study the optimal stochastic control problem for a path-dependent stochastic system under a recursive path-dependent cost functional, whose associated Bellman equation from dynamic programming principle is a path-dependent…

This paper addresses an optimal control problem governed by a rate independent evolution involving an integral operator. Its particular feature is that the dissipation potential depends on the history of the state. Because of the non-smooth…

Mean field optimal control problems are a class of optimization problems that arise from optimal control when applied to the many body setting. In the noisy case one has a set of controllable stochastic processes and a cost function that is…

A general backward stochastic linear-quadratic optimal control problem is studied, in which both the state equation and the cost functional contain the nonhomogeneous terms. The main feature of the problem is that the weighting matrices in…

In this paper, the optimal strong error estimates for stochastic parabolic optimal control problem with additive noise and integral state constraint are derived based on time-implicit and finite element discretization. The continuous and…

This paper proposes an optimal control problem for a parabolic equation with a nonlocal nonlinearity. The system is described by a parabolic equation involving a nonlinear term that depends on the solution and its integral over the domain.…

This paper is the second part of our series of work to establish pointwise second-order necessary conditions for stochastic optimal controls. In this part, we consider the general cases, i.e., the control region is allowed to be nonconvex,…

In this paper we investigate the optimal control problem for a class of stochastic Cauchy evolution problem with non standard boundary dynamic and control. The model is composed by an infinite dimensional dynamical system coupled with a…

We consider the problem of optimally controlling stochastic, Markovian systems subject to joint chance constraints over a finite-time horizon. For such problems, standard Dynamic Programming is inapplicable due to the time correlation of…

In this article we study optimal control problems for systems that are affine with respect to some of the control variables and nonlinear in relation to the others. We consider finitely many equality and inequality constraints on the…

In this paper, problems of optimal control are considered where in the objective function, in addition to the control cost there is a tracking term that measures the distance to a desired stationary state. The tracking term is given by some…

We a controlled system driven by a coupled forward-backward stochastic differential equation (FBSDE) with a non degenerate diffusion matrix. The cost functional is defined by the solution of the controlled backward stochastic differential…

We establish existence of nearly-optimal controls, conditions for existence of an optimal control and a saddle-point for respectively a control problem and zero-sum differential game associated with payoff functionals of mean-field type,…