相关论文: On some recent aspects of stochastic control and t…

In this paper, we study the optimal control system driven by stochastic differential equations (SDEs) of mean-field type, in which the control variable has two components, the first being absolutely continuous and the second singular. On…

We study time-inconsistent recursive stochastic control problems, i.e., for which the Bellman principle of optimality does not hold. For this class of problems classical optimal controls may fail to exist, or to be relevant in practice, and…

Optimal control under uncertainty is a prevailing challenge for many reasons. One of the critical difficulties lies in producing tractable solutions for the underlying stochastic optimization problem. We show how advanced approximate…

Optimal control of stochastic nonlinear dynamical systems is a major challenge in the domain of robot learning. Given the intractability of the global control problem, state-of-the-art algorithms focus on approximate sequential optimization…

We consider a stochastic control problem where the set of strict (classical) controls is not necessarily convex, and the system is governed by a nonlinear backward stochastic differential equation. By introducing a new approach, we…

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…

This article gives an overview of the developments in controlled diffusion processes, emphasizing key results regarding existence of optimal controls and their characterization via dynamic programming for a variety of cost criteria and…

This note is addressed to giving a short introduction to control theory of stochastic systems, governed by stochastic differential equations in both finite and infinite dimensions. We will mainly explain the new phenomenon and difficulties…

This paper is mainly concerned with the solutions to both forward and backward mean-field stochastic partial differential equation and the corresponding optimal control problem for mean-field stochastic partial differential equation. We…

In this paper we study the stochastic control problem of partially observed (multi-dimensional) stochastic system driven by both Brownian motions and fractional Brownian motions. In the absence of the powerful tool of Girsanov…

We prove a version of the maximum principle, in the sense of Pontryagin, for the optimal control of a stochastic partial differential equation driven by a finite dimensional Wiener process. The equation is formulated in a semi-abstract form…

In this paper, we consider the stochastic optimal control problem for a generalized Volterra control system. The corresponding state process is a kind of a generalized stochastic Volterra integral differential equations. We prove the…

This paper investigates the optimal control problem for a class of parabolic equations where the diffusion coefficient is influenced by a control function acting nonlocally. Specifically, we consider the optimization of a cost functional…

In this paper, we consider a varying terminal time structure for the stochastic optimal control problem under state constraints, in which the terminal time varies with the mean value of the state. In this new stochastic optimal control…

In this paper, we consider the stochastic optimal control problem for the interacting particle system. We obtain the stochastic maximum principle of the optimal control system by introducing a generalized backward stochastic differential…

We consider the determination of the optimal stationary singular stochastic control of a linear diffusion for a class of average cumulative cost minimization problems arising in various financial and economic applications of stochastic…

We consider a stochastic control problem which is composed of a controlled stochastic differential equation, and whose associated cost functional is defined through a controlled backward stochastic differential equation. Under appropriate…

We review recent progress in optimal control in stochastic thermodynamics. Theoretical advances provide in-depth insight into minimum-dissipation control with either full or limited (parametric) control, and spanning the limits from slow to…

Under a Bayesian framework, we formulate the fully sequential sampling and selection decision in statistical ranking and selection as a stochastic control problem, and derive the associated Bellman equation. Using value function…

Optimal control theory deals with finding protocols to steer a system between assigned initial and final states, such that a trajectory-dependent cost function is minimized. The application of optimal control to stochastic systems is an…