相关论文: An Analysis of Monotone Follower Problems for Diff…

This article discusses an optimal control problem for a phase field model of two immiscible incompressible fluid flow, incorporating surface tension effects. The optimal control problem is defined with a $L^2$-cost functional and subject to…

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…

This work addresses the optimal covariance control problem for stochastic discrete-time linear time-varying systems subject to chance constraints. Covariance steering is a stochastic control problem to steer the system state Gaussian…

This paper is concerned with a discrete-time mean-field stochastic linear-quadratic optimal control problem arose from financial application. Through matrix dynamical optimization method, a group of linear feedback controls is investigated.…

We investigate the asymptotic properties of a finite-time horizon linear-quadratic optimal control problem driven by a multiscale stochastic process with multiplicative Brownian noise. We approach the problem by considering the associated…

In ergodic singular stochastic control problems, a decision-maker can instantaneously adjust the evolution of a state variable using a control of bounded variation, with the goal of minimizing a long-term average cost functional. The cost…

Motivated by applications in natural resource management, risk management, and finance, this paper is focused on an ergodic two-sided singular control problem for a general one-dimensional diffusion process. The control is given by a…

Exploiting a fluid dynamic formulation for which a probabilistic counterpart might not be available, we extend the theory of Schroedinger bridges to the case of inertial particles with losses and general, possibly singular diffusion…

We consider a class of exit time stochastic control problems for diffusion processes with discounted criterion, where the controller can utilize a given amount of resource, called "fuel". In contrast to the vast majority of existing…

We prove convergence of the proximal policy gradient method for a class of constrained stochastic control problems with control in both the drift and diffusion of the state process. The problem requires either the running or terminal cost…

In this article we show a robustness theorem for controlled stochastic differential equations driven by approximations of Brownian motion. Often, Brownian motion is used as an idealized model of a diffusion where approximations such as…

We study a class of infinite-dimensional singular stochastic control problems with applications in economic theory and finance. The control process linearly affects an abstract evolution equation on a suitable partially-ordered…

We study reinforcement learning for controlled diffusion processes with unbounded continuous state spaces, bounded continuous actions, and polynomially growing rewards: settings that arise naturally in finance, economics, and operations…

The paper concerns the study and applications of a new class of optimal control problems governed by a perturbed sweeping process of the hysteresis type with control functions acting in both play-and-stop operator and additive…

In this work, we present numerical analysis for a distributed optimal control problem, with box constraint on the control, governed by a subdiffusion equation which involves a fractional derivative of order $\alpha\in(0,1)$ in time. The…

In this paper, we study the regularity of the value function associated with a stochastic control problem where two controls act simultaneously on a modulated multidimensional diffusion process. The first is a switching control modelling a…

This work collects some methodological insights for numerical solution of a "minimum-dispersion" control problem for nonlinear stochastic differential equations, a particular relaxation of the covariance steering task. The main ingredient…

This paper is devoted to the distributed continuous-time optimization problem with time-varying objective functions and time-varying nonlinear inequality constraints. Different from most studied distributed optimization problems with…

We consider the problem of finite-horizon optimal control of a discrete linear time-varying system subject to a stochastic disturbance and fully observable state. The initial state of the system is drawn from a known Gaussian distribution,…

In this paper, we propose a unified stochastic optimal control framework that integrates time-optimal control problems with classical stochastic optimal control formulations. Unlike conventional deterministic time-optimal control models,…