相关论文: Stochastic Optimal Control for Systems with Drifts…

We consider optimal control problems for systems governed by mean-field stochastic differential equations, where the control enters both the drift and the diffusion coefficient. We study the relaxed model, in which admissible controls are…

In this paper, we study the optimal control problem for steering the state covariance of a discrete-time linear stochastic system over a finite time horizon. First, we establish the existence and uniqueness of the optimal control law for a…

We study a continuous time stochastic optimal control problem under partial observations that are available only at discrete time instants. This hybrid setting, with continuous dynamics and intermittent noisy measurements, arises in…

We consider a control problem for the nonlinear stochastic Fokker--Planck equation. This equation describes the evolution of the distribution of nonlocally interacting particles affected by a common source of noise. The system is directed…

We present a probabilistic formulation of risk aware optimal control problems for stochastic differential equations. Risk awareness is in our framework captured by objective functions in which the risk neutral expectation is replaced by a…

This paper is a survey on some recent aspects and developments in stochastic control. We discuss the two main historical approaches, Bellman's optimality principle and Pontryagin's maximum principle, and their modern exposition with…

The aim of this paper is to derive a maximum principle for a control problem governed by a stochastic partial differential equation (SPDE) with locally monotone coefficients. In particular, necessary conditions for optimality for this…

We present a neural network approach for approximating the value function of high-dimensional stochastic control problems. Our training process simultaneously updates our value function estimate and identifies the part of the state space…

Time change is a powerful technique for generating noises and providing flexible models. In the framework of time changed Brownian and Poisson random measures we study the existence and uniqueness of a solution to a general mean-field…

In this paper we consider non convex control problems of stochastic differential equations driven by relaxed controls. We present existence of optimal controls and then develop necessary conditions of optimality. We cover both continuous…

Many natural systems exhibit phase transition where external environmental conditions spark a shift to a new and sometimes quite different state. Therefore, detecting the behavior of a stochastic dynamic system such as the most probable…

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…

This paper outlines a novel extension of the classical Pontryagin minimum (maximum) principle to stochastic optimal control problems. Contrary to the well-known stochastic Pontryagin minimum principle involving forward-backward stochastic…

We discuss a mathematical framework for analysis of optimal control problems on infinite-dimensional manifolds. Such problems arise in study of optimization for partial differential equations with some symmetry. It is shown that some…

We obtain the variational equations for backward stochastic differential equations in recursive stochastic optimal control problems, and then get the maximum principle which is novel. The control domain need not be convex, and the generator…

This paper focuses on optimal control problem for a class of discrete-time nonlinear systems. In practical applications, computation time is a crucial consideration when solving nonlinear optimal control problems, especially under real-time…

In this paper, the Pontryagin-type maximum principle for optimal control of quantum stochastic systems in fermion fields is obtained. These systems have gained significant prominence in numerous quantum applications ranging from physical…

This paper is devoted to proposing a new asymmetric risk-sensitive criterion involving different risk attitudes toward varying risk sources. The criterion can only be defined through the initial value of the minimal solutions of quadratic…

The paper concerns the study of the Pontryagin Maximum Principle for an infinite dimensional and infinite horizon boundary control problem for linear partial differential equations. The optimal control model has already been studied both in…

Optimality conditions in the form of a variational inequality are proved for a class of constrained optimal control problems of stochastic differential equations. The cost function and the inequality constraints are functions of the…