Results 21 to 30 of about 1,450,399 (320)

Stochastic Optimization Theory of Backward Stochastic Differential Equations Driven by G-Brownian Motion [PDF]

, 2013
In this paper, we consider the stochastic optimal control problems under G-expectation. Based on the theory of backward stochastic differential equations driven by G-Brownian motion, which was introduced in [10.11], we can investigate the more general ...
Bi, Xiuchun, Zhang, Shuguang, Zheng, Zhonghao   +2 more
core   +8 more sources

Stochastic optimal and time-optimal control studies for additional food provided prey–predator systems involving Holling type III functional response

Computational and Mathematical Biophysics, 2023
This article consists of a detailed and novel stochastic optimal control analysis of a coupled non-linear dynamical system. The state equations are modelled as an additional food-provided prey–predator system with Holling type III functional response for
Prakash Daliparthi Bhanu, Vamsi Dasu Krishna Kiran   +1 more
doaj   +1 more source

STOCHASTIC OPTIMAL CONTROL OF A TWO-DIMENSIONAL DYNAMICAL SYSTEM [PDF]

Journal of Engineering Science (Chişinău), 2020
In this paper, we considered the problem of optimally controlling a twodimensional dynamical system until it reaches either of two boundaries. We consider a controlled dynamical system (X(t), Y(t)) which is a generalization of the classic twodimensional ...
Lefebvre, Mario
doaj   +1 more source

Path-Dependent Optimal Stochastic Control and Viscosity Solution of Associated Bellman Equations [PDF]

, 2012
In this paper we study the optimal stochastic control problem for a path-dependent stochastic system under a recursive path-dependent cost functional, whose associated Bellman equation from dynamic programming principle is a path-dependent fully ...
Shanjian Tang, Fu Zhang
semanticscholar   +1 more source

Optimal Transportation Problem by Stochastic Optimal Control [PDF]

SIAM Journal on Control and Optimization, 2008
We address an optimal mass transportation problem by means of optimal stochastic control. We consider a stochastic control problem which is a natural extension of the Monge-Kantorovich problem. Using a vanishing viscosity argument we provide a probabilistic proof of two fundamental results in mass transportation: the Kantorovich duality and the graph ...
Mikami, Toshio, Thieullen, Michele
openaire   +3 more sources

Inverse stochastic optimal controls

Automatica, 2023
We study an inverse problem of the stochastic optimal control of general diffusions with performance index having the quadratic penalty term of the control process. Under mild conditions on the system dynamics, the cost functions, and the optimal control process, we show that our inverse problem is well-posed using a stochastic maximum principle. Then,
openaire   +3 more sources

Partially Observed Non-linear Risk-sensitive Optimal Stopping Control for Non-linear Discrete-time Systems [PDF]

, 2006
In this paper we introduce and solve the partially observed optimal stopping non-linear risk-sensitive stochastic control problem for discrete-time non-linear systems.
Ford, Jason
core   +2 more sources

Domain decomposition for stochastic optimal control [PDF]

53rd IEEE Conference on Decision and Control, 2014
This work proposes a method for solving linear stochastic optimal control (SOC) problems using sum of squares and semidefinite programming. Previous work had used polynomial optimization to approximate the value function, requiring a high polynomial degree to capture local phenomena.
Matanya B. Horowitz, Ivan Papusha, Joel W. Burdick   +2 more
openaire   +2 more sources

Stochastic Control of Optimized Certainty Equivalents

SIAM Journal on Financial Mathematics, 2022
Optimized certainty equivalents (OCEs) is a family of risk measures widely used by both practitioners and academics. This is mostly due to its tractability and the fact that it encompasses important examples, including entropic risk measures and average value at risk.
Julio D. Backhoff Veraguas, A. Max Reppen, Ludovic Tangpi   +2 more
openaire   +3 more sources

Open-loop and closed-loop solvabilities for stochastic linear quadratic optimal control problems of Markovian regime switching system

E S A I M: Control, Optimisation and Calculus of Variations, 2021
This paper investigates the stochastic linear quadratic (LQ, for short) optimal control problem of Markovian regime switching system. The representation of the cost functional for the stochastic LQ optimal control problem of Markovian regime switching ...
Xin Zhang, Xunjing Li, Jie Xiong
semanticscholar   +1 more source