相关论文: Stochastic Control and Differential Games with Pat…

In this paper, a stochastic optimal control problem is investigated in which the system is governed by a stochastic functional differential equation. In the framework of functional It\^o calculus, we build the dynamic programming principle…

In this paper, we study a stochastic recursive optimal control problem in which the system is governed by a functional forward-backward stochastic differential equation. Under standard assumptions, we establish the dynamic programming…

In this paper, we consider state and control path-dependent stochastic zero-sum differential games, where the dynamics and the running cost include both state and control paths of the players. Using the notion of nonanticipative strategies,…

This paper is concerned with stochastic impulse control problems in which the running cost changes depending on the impulse control. Because of such a dependence, it brings several difficulties when the usual dynamic programming principle…

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…

In this manuscript we consider a class optimal control problem for stochastic differential delay equations. First, we rewrite the problem in a suitable infinite-dimensional Hilbert space. Then, using the dynamic programming approach, we…

In this paper, we study one kind of stochastic recursive optimal control problem with the obstacle constraints for the cost function where the cost function is described by the solution of one reflected backward stochastic differential…

In this paper, we propose and study the stochastic path-dependent Hamilton-Jacobi-Bellman (SPHJB) equation that arises naturally from the optimal stochastic control problem of stochastic differential equations with path-dependence and…

We consider a finite-time stochastic drift control problem with the assumption that the control is bounded and the system is controlled until the state process leaves the half-line. Assuming general conditions, it is proved that the…

We establish existence and uniqueness of minimax solutions for a fairly general class of path-dependent Hamilton-Jacobi equations. In particular, the relevant Hamiltonians can contain the solution and they only need to be measurable with…

In this paper, we study a class of zero-sum two-player stochastic differential games with the controlled stochastic differential equations and the payoff/cost functionals of recursive type. As opposed to the pioneering work by Fleming and…

This paper considers linear-quadratic control of a non-linear dynamical system subject to arbitrary cost. I show that for this class of stochastic control problems the non-linear Hamilton-Jacobi-Bellman equation can be transformed into a…

This paper is devoted to the stochastic optimal control problem of ordinary differential equations allowing for both path-dependence and measurable randomness. As opposed to the deterministic path-dependent cases, the value function turns…

In this paper we investigate a kind of optimal control problem of coupled forward-backward stochastic system with jumps whose cost functional is defined through a coupled forward-backward stochastic differential equation with Brownian…

An optimal control problem is considered for a stochastic differential equation containing a state-dependent regime switching, with a recursive cost functional. Due to the non-exponential discounting in the cost functional, the problem is…

In this paper, we study a time-inconsistent stochastic optimal control problem with a recursive cost functional by a multi-person hierarchical differential game approach. An equilibrium strategy of this problem is constructed and a…

This paper aims to explore the relationship between maximum principle and dynamic programming principle for stochastic recursive control problem with random coefficients. Under certain regular conditions for the coefficients, the…

In this manuscript we consider optimal control problems of stochastic differential equations with delays in the state and in the control. First, we prove an equivalent Markovian reformulation on Hilbert spaces of the state equation. Then,…

This paper considers optimal control of dynamical systems which are represented by nonlinear stochastic differential equations. It is well-known that the optimal control policy for this problem can be obtained as a function of a value…

We consider a stochastic optimal control problem where the controller can anticipate the evolution of the driving noise over some dynamically changing time window. The controlled state dynamics are understood as a rough differential…