Then, the optimal control is designed by a series of coupled generalized Riccati difference equations with Markov jump (GRDEs-MJ) and linear recursive equations with Markov jump (LREs-MJ). Moreover, based on the non-discounted cost case, we deduce the optimal control problem with discounted ...
In this paper, a stochastic control problem under model uncertainty with general penalty term is studied. Two types of penalties are considered. The first one is of type f-divergence penalty treated in the general framework of a continuous filtration. The second one called consistent time penalty...
time optimal stochastic control/ C1330 Optimal control C1340G Time-varying control systemsLet z =k+wt be a simply controlled diffusion process an Rn, where Wt is an n-dimensionnl Brownian motion on (,F, P). We say xRn is stochastically attainable if there exists a eeU, a fixed ...
In this paper, an open problem is solved, for the stochastic optimal control problem with delay where the control domain is nonconvex and the diffusion term contains both control and its delayed term. Inspired by previous results about delayed stochastic control systems, Peng’s global stochastic ...
Namely, the secondorder extension was motivated by illiquidity modeling, and the controlled loss version was introduced following the problem of quantile hedging. The third part specializes to an overview of Backward stochastic differential equations, and their extensions to the quadratic case. ...
In this paper, we consider stochastic recursive optimal control problem of the stochastic delayed system described by forward-backward stochastic differential equation with delay. By virtue of classical spike variational approach, duality method and the anticipated backward stochastic differential equation, we...
In Section 13.2, we shall formulate a stochastic optimal control problem which is governed by stochastic differential equations. We shall only consider stochastic differential equations of a type known as Ito equations. These equations arise when the state equar tions, such as those we have seen ...
This paper studies a stochastic linear quadratic optimal control problem (LQ problem, for short), for which the coefficients are allowed to be random and the cost functional is allowed to have a negative weight on the square of the control variable. The authors introduce the stochastic Riccati ...
Different from the finite horizon case, it is shown that both the open-loop and closed-loop solvabilities of the LQ problem are equivalent to the existence of a static stabilizing solution to the associated generalized ARE. Moreover, any open-loop optimal control admits a closed-loop ...
Sufficient Maximum Principle for Stochastic Optimal Control Problems with General Delays This paper is to establish a sufficient maximum principle for one kind of stochastic optimal control problem with three types of delays: a discrete delay, ... F Zhang - 《Journal of Optimization Theory & Applica...