相关论文: Duality for Nonlinear Filtering II: Optimal Contro…

Backward doubly stochastic Volterra integral equations (BDSVIEs, for short) are introduced and studied systematically. Well-posedness of BDSVIEs in the sense of introduced M-solutions is established. A comparison theorem for BDSVIEs is…

In this article, we consider a stochastic linear quadratic control problem with partial observation. A near optimal control in the weak formulation is characterized. The main features of this paper are the presence of the control in the…

There has been a great deal of recent interest in learning and approximation of functions that can be expressed as expectations of a given nonlinearity with respect to its random internal parameters. Examples of such representations include…

Motivated by the applications, a class of optimal control problems is investigated, where the goal is to influence the behavior of a given population through another controlled one interacting with the first. Diffusive terms accounting for…

This paper investigates optimal control problems for delayed systems governed by Infinitely Anticipated Backward Stochastic Differential Equations (IABSDEs). Unlike existing frameworks limited to bounded delays, we introduce a generalized…

In this paper, we consider an optimal bilinear control problem for the nonlinear Schr\"{o}dinger equations with singular potentials. We show well-posedness of the problem and existence of an optimal control. In addition, the first order…

We consider a unifying framework for stochastic control problem including the following features: partial observation, path-dependence (both with respect to the state and the control), and without any non-degeneracy condition on the…

We investigate a control process described by a linear system of ordinary differential equations with a noise of special type acting to the control parameter. As the cost functional the probability of the final state vector to enter to a…

This paper focuses on the analysis of an optimal control problem governed by a nonsmooth quasilinear partial differential equation that models a stationary incompressible shear-thickening fluid. We start by studying the directional…

This paper extends the domination-monotonicity conditions, which guarantee the well-posedness of extended mean-filed forward-backward stochastic differential equations (extended MF-FBSDEs), from the previously studied linear framework to a…

The paper describes a continuous second-variation algorithm to solve optimal control problems where the control is defined on a closed set. A second order expansion of a Lagrangian provides linear updates of the control to construct a…

The paper is devoted to the optimal control of a system with two time-scales, in a regime when the limit equation is not of averaging type but, in the spirit of Wong-Zakai principle, it is a stochastic differential equation for the slow…

This paper is concerned with a partially observed hybrid optimal control problem, where continuous dynamics and discrete events coexist and in particular, the continuous dynamics can be observed while the discrete events, described by a…

This short note shows how to solve optimal control problems using second order sensitivity analysis

In this article, we consider a fundamental decentralized optimal control problem, which we call the two-player problem. Two subsystems are interconnected in a nested information pattern, and output feedback controllers must be designed for…

We analyze a bilinear optimal control problem for the Stokes--Brinkman equations: the control variable enters the state equations as a coefficient. In two- and three-dimensional Lipschitz domains, we perform a complete continuous analysis…

We consider the problem of controlling an unknown linear dynamical system in the presence of (nonstochastic) adversarial perturbations and adversarial convex loss functions. In contrast to classical control, the a priori determination of an…

This paper studies a time-changed stochastic control problem, where the underlying stochastic process is a L\'evy noise time-changed by an inverse subordinator. We establish a maximum principle theory for the time-changed stochastic control…

This paper is concerned with the existence of optimal controls for backward stochastic partial differential equations with random coefficients, in which the control systems are represented in an abstract evolution form, i.e. backward…

The paper studies a class of quadratic optimal control problems for partially observable linear dynamical systems. In contrast to the full information case, the control is required to be adapted to the filtration generated by the…