Maximum Principle for Forward-Backward Doubly Stochastic Control Systems and Applications [PDF]
, 2010 The maximum principle for optimal control problems of fully coupled forward-backward doubly stochastic differential equations (FBDSDEs in short) in the global form is obtained, under the assumptions that the diffusion coefficients do not contain the ...
Bensoussan +22 more
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An optimal control problem of forward-backward stochastic Volterra integral equations with state constraints [PDF]
, 2013 This paper is devoted to the stochastic optimal control problems for systems governed by forward-backward stochastic Volterra integral equations (FBSVIEs, for short) with state constraints.
Wei, Qingmeng, Xiao, Xinling
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Stochastic-fractional optimal control problems and application in portfolio management [PDF]
Mathematics and Modeling in FinanceThe aim of this paper is to propose a new method for solving a calss of stochasticfractional optimal control problems. To this end, we introduce an equivalent form for the presented stochastic-fractional optimal control problem and prove that these ...
Saba Yaghobipour, Majid Yarahmadi
doaj +1 more source
Some Unsolved Problems in Stability and Optimal Control Theory of Stochastic Systems
Mathematics, 2022 In spite of the fact that the theory of stability and optimal control for different types of stochastic systems is well developed and very popular in research, there are some simply and clearly formulated problems, solutions of which have not been found ...
Leonid Shaikhet
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Dynamic consistency for Stochastic Optimal Control problems [PDF]
, 2010 For a sequence of dynamic optimization problems, we aim at discussing a notion of consistency over time. This notion can be informally introduced as follows.
Carpentier, Pierre +4 more
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Shock and Vibration, 2018 A probability-weighted optimal control strategy for nonlinear stochastic vibrating systems with random time delay is proposed. First, by modeling the random delay as a finite state Markov process, the optimal control problem is converted into the one of ...
R. C. Hu +4 more
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Optimal distributed control of a stochastic Cahn-Hilliard equation [PDF]
, 2019 We study an optimal distributed control problem associated to a stochastic Cahn-Hilliard equation with a classical double-well potential and Wiener multiplicative noise, where the control is represented by a source-term in the definition of the chemical ...
Scarpa, Luca
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Delayed Stochastic Linear-Quadratic Control Problem and Related Applications
Journal of Applied Mathematics, 2012 We discuss a quadratic criterion optimal control problem for stochastic linear system with delay in both state and control variables. This problem will lead to a kind of generalized forward-backward stochastic differential equations (FBSDEs) with Itô’s ...
Li Chen, Zhen Wu, Zhiyong Yu
doaj +1 more source
Dynamic programming approach to principal-agent problems [PDF]
, 2017 We consider a general formulation of the Principal-Agent problem with a lump-sum payment on a finite horizon, providing a systematic method for solving such problems.
Cvitanić, Jakša +2 more
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Control of Time-Varying Epidemic-Like Stochastic Processes and Their Mean-Field Limits
, 2017 The optimal control of epidemic-like stochastic processes is important both historically and for emerging applications today, where it can be especially important to include time-varying parameters that impact viral epidemic-like propagation.
azizan ruhi +4 more
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