相关论文: Stochastic Control Problems with Infinite Horizon …
In this paper we consider a variation of the Merton's problem with added stochastic volatility and finite time horizon. It is known that the corresponding optimal control problem may be reduced to a linear parabolic boundary problem under…
We consider controlled stochastic differential equations (SDEs) with measurable coefficients, a uniformly elliptic diffusion coefficient and an $L_d$-drift. No space-regularity will be assumed for the coefficients. In this framework we…
We consider a stochastic control problem for a class of nonlinear kernels. More precisely, our problem of interest consists in the optimisation, over a set of possibly non-dominated probability measures, of solutions of backward stochastic…
This paper mainly investigates the optimal control and stabilization problems for linear discrete-time Markov jump systems. The general case for the finite-horizon optimal controller is considered, where the input weighting matrix in the…
A general backward stochastic linear-quadratic optimal control problem is studied, in which both the state equation and the cost functional contain the nonhomogeneous terms. The main feature of the problem is that the weighting matrices in…
An optimal ergodic control problem (EC problem, for short) is investigated for a linear stochastic differential equation with quadratic cost functional. Constant nonhomogeneous terms, not all zero, appear in the state equation, which lead…
This paper considers the infinite horizon optimal control problem for nonlinear systems. Under the condition of nonlinear controllability of the system to any terminal set containing the origin and forward invariance of the terminal set, we…
We study a stochastic optimal control problem for fully coupled forward-backward stochastic control systems with a nonempty control domain. For our problem, the first-order and second-order variational equations are fully coupled linear…
In this paper, we study a stochastic linear-quadratic control problem with random coefficients and regime switching on a horizon $[0,T\wedge\tau]$, where $\tau$ is a given random jump time for the underlying state process and $T$ is a…
This paper addresses the numerical solution of backward stochastic differential equations (BSDEs) arising in stochastic optimal control. Specifically, we investigate two BSDEs: one derived from the Hamilton-Jacobi-Bellman equation and the…
We study the existence of a minimal supersolution for backward stochastic differential equations when the terminal data can take the value +$\infty$ with positive probability. We deal with equations on a general filtered probability space…
An optimal control problem is considered for linear stochastic differential equations with quadratic cost functional. The coefficients of the state equation and the weights in the cost functional are bounded operators on the spaces of…
A linear control system with quadratic cost functional over infinite time horizon is considered without assuming controllability/stabilizability condition and the global integrability condition for the nonhomogeneous term of the state…
In this paper, we consider discrete-time infinite horizon problems of optimal control to a terminal set of states. These are the problems that are often taken as the starting point for adaptive dynamic programming. Under very general…
The optimal control of problems that are constrained by partial differential equations with uncertainties and with uncertain controls is addressed. The Lagrangian that defines the problem is postulated in terms of stochastic functions, with…
An optimal control problem is considered for a stochastic differential equation containing a state-dependent regime switching, with a recursive cost functional. Due to the non-exponential discounting in the cost functional, the problem is…
This paper is concerned with an optimal control problem for a nonhomogeneous linear stochastic differential equation having regime switching with a quadratic functional in the large time horizon. This is a continuation of the paper…
We consider an optimal stochastic impulse control problem over an infinite time horizon motivated by a model of irreversible investment choices with fixed adjustment costs. By employing techniques of viscosity solutions and relying on…
In this paper we make a survey on the so called randomization method, a recent methodology to study stochastic optimization problems. It allows to represent the value function of an optimal control problem by a suitable backward stochastic…
We consider the problem of optimal multiple switching in finite horizon, when the state of the system, including the switching costs, is a general adapted stochastic process. The problem is formulated as an extended impulse control problem…