相关论文: Stochastic Near-Optimal Controls for Path-Dependen…

This work addresses the optimal covariance control problem for stochastic discrete-time linear time-varying systems subject to chance constraints. Covariance steering is a stochastic control problem to steer the system state Gaussian…

In this paper we study mean-field type control problems with risk-sensitive performance functionals. We establish a stochastic maximum principle (SMP) for optimal control of stochastic differential equations (SDEs) of mean-field type, in…

We study a stochastic optimal control problem with the state constrained to a smooth, compact domain. The control influences both the drift and a possibly degenerate, control-dependent dispersion matrix, leading to a fully nonlinear,…

This paper proposes to parameterize open loop controls in stochastic optimal control problems via suitable classes of functionals depending on the driver's path signature, a concept adopted from rough path integration theory. We rigorously…

We consider a structural stochastic volatility model for the loss from a large portfolio of credit risky assets. Both the asset value and the volatility processes are correlated through systemic Brownian motions, with default determined by…

We solve the problem of optimal stopping of a Brownian motion subject to the constraint that the stopping time's distribution is a given measure consisting of finitely-many atoms. In particular, we show that this problem can be converted to…

In recent years, an intensive study of strong approximation of stochastic differential equations (SDEs) with a drift coefficient that may have discontinuities in space has begun. In many of these results it is assumed that the drift…

This work deals with optimal control problems as a strategy to drive bifurcating solution of nonlinear parametrized partial differential equations towards a desired branch. Indeed, for these governing equations, multiple solution…

We consider nonlinear stochastic systems that arise in path planning and control of mobile robots. As is typical of almost all nonlinear stochastic systems, the optimally solving problem is intractable. We provide a design approach which…

In this survey we present the near-optimal stochastic control problem according to some recent tools in the literature. In particular, we focus on the approach of a discretization of the noise values instead of the canonical…

We present some new results on sample path optimality for the ergodic control problem of a class of non-degenerate diffusions controlled through the drift. The hypothesis most often used in the literature to ensure the existence of an a.s.…

The paper is devoted to the study of a new class of optimal control problems for nonsmooth dynamical systems governed by nonconvex discontinuous differential inclusions of the sweeping type with involving variable time into optimization. We…

A 2D Stochastic incompressible non-Newtonian fluids driven by fractional Bronwnian motion with Hurst parameter $H \in (1/2,1)$ is studied. The Wiener-type stochastic integrals are introduced for infinite-dimensional fractional Brownian…

In this paper we are interested in a new type of {\it mean-field}, non-Markovian stochastic control problems with partial observations. More precisely, we assume that the coefficients of the controlled dynamics depend not only on the paths…

In this paper, we introduce and develop the theory of semimartingale optimal transport in a path dependent setting. Instead of the classical constraints on marginal distributions, we consider a general framework of path dependent…

The reconstruction and inference of stochastic dynamical systems from data is a fundamental task in inverse problems and statistical learning. While surrogate modeling advances computational methods to approximate these dynamics, standard…

This work recasts time-dependent optimal control problems governed by partial differential equations in a Dynamic Mode Decomposition with control framework. Indeed, since the numerical solution of such problems requires a lot of…

We consider anticipative Stratonovich stochastic differential equations driven by some stochastic process (not necessarily a semi-martingale). No adaptedness of initial point or vector fields is assumed. Under a simple condition on the…

We consider a singular control problem that aims to maximize the expected cumulative rewards, where the instantaneous returns depend on the state of a controlled process. The contributions of this paper are twofold. Firstly, to establish…

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…