相关论文: A homing problem for diffusion processes with cont…
Stochastic optimal control problems with constraints on the probability distribution of the final output are considered. Necessary conditions for optimality in the form of a coupled system of partial differential equations involving a…
We consider a control problem for longitudinal vibrations of a nonhomogeneous bar with clamped ends. The vibrations of the bar are controlled by an external force which is distributed along the bar. For the minimization problem of mean…
In this paper, we study a distributed optimal control problem for a diffuse interface model for tumor growth. The model consists of a Cahn-Hilliard type equation for the phase field variable coupled to a reaction diffusion equation for the…
In a classical optimal stopping problem the aim is to maximize the expected value of a functional of a diffusion evaluated at a stopping time. This note considers optimal stopping problems beyond this paradigm. We study problems in which…
We have random number of independent diffusion processes with absorption on boundaries in some region at initial time $t=0$. The initial numbers and positions of processes in region is defined by Poisson random measure. It is required to…
Optimal control of diffusion processes is intimately connected to the problem of solving certain Hamilton-Jacobi-Bellman equations. Building on recent machine learning inspired approaches towards high-dimensional PDEs, we investigate the…
This paper is devoted to an optimal control problem of fully coupled forward-backward stochastic differential equations driven by sub-diffusion, whose solutions are not Markov processes. The stochastic maximum principle is obtained, where…
We analyse a version of the policy iteration algorithm for the discounted infinite-horizon problem for controlled multidimensional diffusion processes, where both the drift and the diffusion coefficient can be controlled. We prove that,…
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…
We consider a terminal control problem for processes governed by a nonlinear system of fractional ODEs. In order to show existence of the control, we first consider the linear counterpart of the system and reprove a number of classical…
In this paper we extend dynamic programming techniques to the study of discrete-time infinite horizon optimal control problems on compact control invariant sets with state-independent best asymptotic average cost. To this end we analyse the…
This paper addresses the inverse optimal control problem of finding the state weighting function that leads to a quadratic value function when the cost on the input is fixed to be quadratic. The paper focuses on a class of infinite horizon…
In this paper we consider diffusions on the half line (0, $\infty$) such that the expectation of the arrival time at the origin is uniformly bounded in the initial point. This implies that there is a well defined diffusion process starting…
We consider the impulse control of Levy processes under the infinite horizon, discounted cost criterion. Our motivating example is the cash management problem in which a controller is charged a fixed plus proportional cost for adding to or…
A distributed optimal control problem for a phase field system which physical context is that of tumor growth is discussed. The system we are going to take into account consists of a Cahn-Hilliard equation for the phase variable (relative…
We consider an infinite horizon discounted optimal control problem for piecewise deterministic Markov processes, where a piecewise open-loop control acts continuously on the jump dynamics and on the deterministic flow. For this class of…
We present a methodology for obtaining explicit solutions to infinite time horizon optimal stopping problems involving general, one-dimensional, It\^o diffusions, payoff functions that need not be smooth and state-dependent discounting.…
For an arbitrary diffusion process $X$ with time-homogeneous drift and variance parameters $\mu(x)$ and $\sigma^2(x)$, let $V_\varepsilon$ be $1/\varepsilon$ times the total time $X(t)$ spends in the strip…
The paper deals with a problem of control of a system characterized by the fact that the influence of controls on the dynamics of certain functions of state variables (called observables) is relatively weak and the rates of change of these…
In this paper, motivated by a physics problem, we investigate some numerical and computational aspects for the problem of hierarchical controllability in a one-dimensional wave equation in domains with a moving boundary. Some controls act…