相关论文: Singular Limit of Two Scale Stochastic Optimal Con…

A fully stochastic second-order adaptive-regularization method for unconstrained nonconvex optimization is presented which never computes the objective-function value, but yet achieves the optimal $\mathcal{O}(\epsilon^{-3/2})$ complexity…

A finite horizon optimal stopping problem for an infinite dimensional diffusion $X$ is analyzed by means of variational techniques. The diffusion is driven by a SDE on a Hilbert space $\mathcal{H}$ with a non-linear diffusion coefficient…

A parameter estimation problem is considered for a stochastic parabolic equation with multiplicative noise under the assumption that the equation can be reduced to an infinite system of uncoupled diffusion processes. From the point of view…

This work addresses an optimal control problem for a semilinear elliptic equation in two-dimensional space, characterized by an exponential nonlinearity and a singular source term. The source is modeled as a finite linear combination of…

H-infinity filter has been widely applied in engineering field, but copping with bounded noise is still an open problem and difficult to solve. This paper considers the H-infinity filtering problem for linear system with bounded process and…

This paper analyzes a class of impulse control problems for multi-dimensional jump diffusions in the finite time horizon. Following the basic mathematical setup from Stroock and Varadhan \cite{StroockVaradhan06}, this paper first…

The ergodic control problem for a non-degenerate controlled diffusion controlled through its drift is considered under a uniform stability condition that ensures the well-posedness of the associated Hamilton-Jacobi-Bellman (HJB) equation. A…

We discuss boundary control of a wave equation with a non-linear anti-damping boundary condition. We design structured finite-dimensional $H_\infty$-output feedback controllers which stabilize the infinite dimensional system exponentially…

We consider a continuous time stochastic optimal control problem under both equality and inequality constraints on the expectation of some functionals of the controlled process. Under a qualification condition, we show that the problem is…

This paper addresses a risk-constrained decentralized stochastic linear-quadratic optimal control problem with one remote controller and one local controller, where the risk constraint is posed on the cumulative state weighted variance in…

We study a class of singular stochastic control problems for a one-dimensional diffusion $X$ in which the performance criterion to be optimised depends explicitly on the running infimum $I$ (or supremum $S$) of the controlled process. We…

We consider a jump-diffusion mean field control problem with regime switching in the state dynamics. The corresponding value function is characterized as the unique viscosity solution of a HJB master equation on the space of probability…

In this paper, infinite horizon stochastic difference equations and backward stochastic difference equations with fractional noises are studied. The main difficulty comes from fractional noises on infinite horizon. Motivated by…

This work investigates the optimal control problem for reflected McKean-Vlasov SDEs and the viscosity solutions to Hamilton-Jacobi-Bellman(HJB) equations on the Wasserstein space in terms of intrinsic derivative. It follows from the flow…

This paper presents a novel value iteration (VI) algorithm for finding the optimal control for a kind of infinite-horizon stochastic linear quadratic (SLQ) problem with unknown systems. First, an off-line algorithm is estabilished to obtain…

We consider a kind of stochastic exit time optimal control problems, in which the cost function is defined through a nonlinear backward stochastic differential equation. We study the regularity of the value function for such a control…

We study a stochastic velocity tracking problem for the 2D-Navier-Stokes equations perturbed by a multiplicative Gaussian noise. From a physical point of view, the control acts through a boundary injection/suction device with uncertainty,…

The traditional difficulty about stochastic singular control is to characterize the regularities of the value function and the optimal control policy. In this paper, a multi-dimensional singular control problem is considered. We found the…

We provide an overview on how to use the measurable selection techniques to derive the dynamic programming principle for a general stochastic optimal control/stopping problem. By considering its martingale problem formulation on the…

For an optimal control problem of an It\^o's type stochastic differential equation, the control process could be taken as open-loop or closed-loop forms. In the standard literature, provided appropriate regularity, the value functions under…