相关论文: Optimally coupling the Kolmogorov diffusion, and r…

We tackle a nonlinear optimal control problem for a stochastic differential equation in Euclidean space and its state-linear counterpart for the Fokker-Planck-Kolmogorov equation in the space of probabilities. Our approach is founded on a…

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…

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 study stochastic optimal control problems for (possibly degenerate) McKean-Vlasov controlled diffusions and obtain discrete-time as well as finite interacting particle approximations. (i) Under mild assumptions, we first prove the…

We characterize the optimal control for a class of singular stochastic control problems as the unique solution to a related Skorokhod reflection problem. The considered optimization problems concern the minimization of a discounted cost…

In this paper, we establish a general stochastic maximum principle for optimal control for systems described by a continuous-time Markov regime-switching stochastic recursive utilities model. The control domain is postulated not to be…

This paper is to investigate the control problem of maximizing the net benefit of a single species while the cost of the resource allocation is minimized in a population model which can be described by a reaction diffusion advection…

This is a case study concerning the rate at which probabilistic coupling occurs for nilpotent diffusions. We focus on the simplest case of Kolmogorov diffusion (Brownian motion together with its time integral, or, slightly more generally,…

A class of optimal control problems governed by linear fractional diffusion equation with control constraint is considered. We first establish some results on the existence of strong solution to the state equation and the existence of…

This paper is concerned with the problem of enhancing convection-cooling via active control of the incompressible velocity field, described by a stationary diffusion-convection model. This essentially leads to a bilinear optimal control…

We formulate and analyse an optimal control problem for the coagulation-fragmentation equation, where a scalar, time-dependent control modulates the coagulation rate by multiplying the coagulation kernel. The objective functional consists…

We consider stochastic control with discretionary stopping for the drift of a diffusion process over an infinite time horizon. The objective is to choose a control process and a stopping time to minimize the expectation of a convex terminal…

In this work, we investigate the optimal control problem for continuous-time Markov decision processes with the random impact of the environment. We provide conditions to show the existence of optimal controls under finite-horizon criteria.…

This paper investigates the near optimal control for a kind of linear stochastic control systems governed by the forward backward stochastic differential equations, where both the drift and diffusion terms are allowed to depend on controls…

We present discrete-time approximation of optimal control policies for infinite horizon discounted/ergodic control problems for controlled diffusions in $\Rd$\,. In particular, our objective is to show near optimality of optimal policies…

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 article, we analyse the existence of an optimal feedback controller of stochastic optimal control problems governed by SDEs which have the control in the diffusion part. To this end, we consider the underlying Fokker-Planck equation…

We present a formulation of an optimal control problem for a two-dimensional diffusion process governed by a Fokker-Planck equation to achieve a nonequilibrium steady state with a desired circulation while accelerating convergence toward…

This paper is concerned with impulse approximate controllability for stochastic evolution equations with impulse controls. As direct applications, we formulate captivating minimal norm and time optimal control problems; The minimal norm…

This paper establishes a verification theorem for impulse control problems involving conditional McKean-Vlasov jump diffusions. We obtain a Markovian system by combining the state equation of the problem with the stochastic Fokker-Planck…