Results 21 to 30 of about 11,868,558 (299)

The Optimal Control Problem with State Constraints for Fully Coupled Forward-Backward Stochastic Systems with Jumps

Abstract and Applied Analysis, 2014
We focus on the fully coupled forward-backward stochastic differential equations with jumps and investigate the associated stochastic optimal control problem (with the nonconvex control and the convex state constraint) along with stochastic maximum ...
Qingmeng Wei
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A Maximum Principle for Controlled Time-Symmetric Forward-Backward Doubly Stochastic Differential Equation with Initial-Terminal Sate Constraints

Abstract and Applied Analysis, 2012
We study the optimal control problem of a controlled time-symmetric forward-backward doubly stochastic differential equation with initial-terminal state constraints. Applying the terminal perturbation method and Ekeland’s variation principle, a necessary
Shaolin Ji, Qingmeng Wei, Xiumin Zhang
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Probability-Weighted Optimal Control for Nonlinear Stochastic Vibrating Systems with Random Time Delay

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, Q. F. Lü, X. F. Wang, Z. G. Ying, R. H. Huan   +4 more
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Optimal control in an inventory management problem considering replenishment lead time based upon a non-diffusive stochastic differential equation

Journal of Advanced Mechanical Design, Systems, and Manufacturing, 2019
An inventory management problem is theoretically discussed for a factory having effects of lead times in replenishing the inventory, where it stocks materials used for its products.
Hiroaki T.-KANEKIYO, Shinjiro AGATA
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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
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Assessing non-convex value functions for the optimal control of stochastic differential equations

Results in Control and Optimization, 2022
Solving the optimal control of stochastic differential equations (SDEs) using the dynamic programming method requires writing the problem in terms of the so-called value function. This paper presents conditions to assure that the value function is convex
Elmer Lévano, João B.R. do Val, Alessandro N. Vargas   +2 more
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Stochastic-fractional optimal control problems and application in portfolio management [PDF]

Mathematics and Modeling in Finance
The 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
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Dynamic programming principle for optimal control of uncertain random differential equations and its application to optimal portfolio selection

Review of Business and Economics Studies
This study aimed to examine an uncertain stochastic optimal control problem premised on an uncertain stochastic process. The proposed approach is used to solve an optimal portfolio selection problem.
Justin Chirima, Frank Ranganai Matenda, Eriyoti Chikodza, Mabutho Sibanda   +3 more
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Stochastic Optimal Control for Uncertain Structural Systems Under Random Excitations Based on Bayes Optimal Estimation

Buildings
Stochastic vibration control of uncertain structures under random loading is an important problem and its minimax optimal control strategy remains to be developed.
Hua Lei, Zhao-Zhong Ying, Zu-Guang Ying
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An approximate stochastic optimal control framework to simulate nonlinear neuro-musculoskeletal models in the presence of noise.

PLoS Computational Biology, 2022
Optimal control simulations have shown that both musculoskeletal dynamics and physiological noise are important determinants of movement. However, due to the limited efficiency of available computational tools, deterministic simulations of movement focus
Tom Van Wouwe, Lena H Ting, Friedl De Groote   +2 more
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