相关论文: On the optimally controlled stochastic shallow lak…

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…

We consider an infinite horizon optimal control problem for a continuous-time Markov chain $X$ in a finite set $I$ with noise-free partial observation. The observation process is defined as $Y_t = h(X_t)$, $t \geq 0$, where $h$ is a given…

We present a novel technique to solve the problem of managing optimally a pumped hydroelectric storage system. This technique relies on representing the system as a stochastic optimal control problem with state constraints, these latter…

Optimal control of interacting particles governed by stochastic evolution equations in Hilbert spaces is an open area of research. Such systems naturally arise in formulations where each particle is modeled by stochastic partial…

We study stochastic optimal control of rough stochastic differential equations (RSDEs). This is in the spirit of the pathwise control problem (Lions--Souganidis 1998, Buckdahn--Ma 2007; also Davis--Burstein 1992), with renewed interest and…

In Stochastic Optimal Control (SOC) one minimizes the average cost-to-go, that consists of the cost-of-control (amount of efforts), cost-of-space (where one wants the system to be) and the target cost (where one wants the system to arrive),…

We consider the problem of stochastic optimal control, where the state-feedback control policies take the form of a probability distribution and where a penalty on the entropy is added. By viewing the cost function as a Kullback- Leibler…

We investigate an optimal control problem motivated by neuroscience, where the dynamics is driven by a Poisson process with a controlled stochastic intensity and an unknown parameter. Given a prior distribution for the unknown parameter, we…

The rotating shallow water model is a simplification of oceanic and atmospheric general circulation models that are used in many applications such as surge prediction, tsunami tracking and ocean modelling. In this paper we introduce a class…

We derive the explicit solutions to singular stochastic control problems of the monotone follower type with (a) an expected discounted criterion, (b) an expected ergodic criterion and (c) a pathwise ergodic criterion. These problems have…

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…

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,…

We consider the problem of stochastic optimal control in the presence of an unknown disturbance. We characterize the disturbance via empirical characteristic functions, and employ a chance constrained approach. By exploiting properties of…

The optimal control problem of stochastic systems is commonly solved via robust or scenario-based optimization methods, which are both challenging to scale to long optimization horizons. We cast the optimal control problem of a stochastic…

In this paper, we investigate the wave solutions of a stochastic rotating shallow water model. This approximate model provides an interesting simple description of the interplay between waves and random forcing ensuing either from the wind…

A theoretical framework and numerical techniques to solve optimal control problems with a spatial trace term in the terminal cost and governed by regularized nonlinear hyperbolic conservation laws are provided. Depending on the spatial…

We consider the framework of convex high dimensional stochastic control problems, in which the controls are aggregated in the cost function. As first contribution, we introduce a modified problem, whose optimal control is under some…

Using a recently introduced representation of the second order adjoint state as the solution of a function-valued backward stochastic partial differential equation (SPDE), we calculate the viscosity super- and subdifferential of the value…

We study a single risky financial asset model subject to price impact and transaction cost over an finite time horizon. An investor needs to execute a long position in the asset affecting the price of the asset and possibly incurring in…

Optimal control problem is typically solved by first finding the value function through Hamilton-Jacobi equation (HJE) and then taking the minimizer of the Hamiltonian to obtain the control. In this work, instead of focusing on the value…