Gianluca Gorni (1983)
Atti della Accademia Nazionale dei Lincei. Classe di Scienze Fisiche, Matematiche e Naturali. Rendiconti Lincei. Matematica e Applicazioni
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Si studia il problema della sintesi per un problema di controllo stocastico con equazione di stato lineare e funzione costo convessa.
N.U. Ahmed (2014)
Discussiones Mathematicae, Differential Inclusions, Control and Optimization
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In this paper we consider the question of optimal control for a class of stochastic evolution equations on infinite dimensional Hilbert spaces with controls appearing in both the drift and the diffusion operators. We consider relaxed controls (measure valued random processes) and briefly present some results on the question of existence of mild solutions including their regularity followed by a result on existence of partially observed optimal relaxed controls. Then we develop the necessary...
N.U. Ahmed (2015)
Discussiones Mathematicae, Differential Inclusions, Control and Optimization
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In this paper we consider controlled McKean-Vlasov stochastic evolution equations on Hilbert spaces. We prove existence and uniqueness of solutions and regularity properties thereof. We use relaxed controls, adapted to a current of sub-sigma algebras generated by observable processes, and taking values from a Polish space. We introduce an appropriate topology based on weak star convergence. We prove continuous dependence of solutions on controls with respect to appropriate topologies....
N.U. Ahmed (2007)
Discussiones Mathematicae, Differential Inclusions, Control and Optimization
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In this paper, we present a result on relaxability of partially observed control problems for infinite dimensional stochastic systems in a Hilbert space. This is motivated by the fact that measure valued controls, also known as relaxed controls, are difficult to construct practically and so one must inquire if it is possible to approximate the solutions corresponding to measure valued controls by those corresponding to ordinary controls. Our main result is the relaxation theorem which...
Augusto Visintin (1983)
Atti della Accademia Nazionale dei Lincei. Classe di Scienze Fisiche, Matematiche e Naturali. Rendiconti Lincei. Matematica e Applicazioni
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Si considerano problemi di controllo ottimale con una dipendenza non lineare tra il controllo e lo stato. Si mostra come in certi casi la continuità di tale dipendenza, quindi la buona posizione nel senso di Tychonov, è connessa alla forma del funzionale costo. In particolare si esamina un problema di Stefan a due fasi con controllo distribuito nel termine di sorgente.
Jianhui Huang, Jingtao Shi (2012)
ESAIM: Control, Optimisation and Calculus of Variations
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This paper deals with the optimal control problem in which the controlled system is described by a fully coupled anticipated forward-backward stochastic differential delayed equation. The maximum principle for this problem is obtained under the assumption that the diffusion coefficient does not contain the control variables and the control domain is not necessarily convex. Both the necessary and sufficient conditions of optimality are proved. As illustrating examples, two kinds of linear...
N.U. Ahmed (2001)
Discussiones Mathematicae, Differential Inclusions, Control and Optimization
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In this paper, we consider optimal feedback control for stochastc infinite dimensional systems. We present some new results on the solution of associated HJB equations in infinite dimensional Hilbert spaces. In the process, we have also developed some new mathematical tools involving distributions on Hilbert spaces which may have many other interesting applications in other fields. We conclude with an application to optimal stationary feedback control.
Augusto Visintin (1983)
Atti della Accademia Nazionale dei Lincei. Classe di Scienze Fisiche, Matematiche e Naturali. Rendiconti
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Si considerano problemi di controllo ottimale con una dipendenza non lineare tra il controllo e lo stato. Si mostra come in certi casi la continuità di tale dipendenza, quindi la buona posizione nel senso di Tychonov, è connessa alla forma del funzionale costo. In particolare si esamina un problema di Stefan a due fasi con controllo distribuito nel termine di sorgente.
Gabriella Di Blasio (1981)
Atti della Accademia Nazionale dei Lincei. Classe di Scienze Fisiche, Matematiche e Naturali. Rendiconti
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In questo lavoro si considera il problema del controllo ottimo per un'equazione lineare con ritardo in uno spazio di Hilbert, con costo quadratico. Si dimostra che il problema della sintesi si traduce in una equazione di Riccati in uno opportuno spazio prodotto e si prova che tale equazione ammette un’unica soluzione.
Yufeng Shi, Qingfeng Zhu (2013)
ESAIM: Control, Optimisation and Calculus of Variations
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The partially observed optimal control problem is considered for forward-backward doubly stochastic systems with controls entering into the diffusion and the observation. The maximum principle is proven for the partially observable optimal control problems. A probabilistic approach is used, and the adjoint processes are characterized as solutions of related forward-backward doubly stochastic differential equations in finite-dimensional spaces. Then, our theoretical result is applied...
Liangquan Zhang, Yufeng Shi (2011)
ESAIM: Control, Optimisation and Calculus of Variations
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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 control variable, but the control domain need not to be convex. We apply our stochastic maximum principle (SMP in short) to investigate the optimal control problems of a class of stochastic partial differential equations (SPDEs in short)....
Xiaoqing Pan, Xiaohu Li (2017)
Dependence Modeling
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This paper studies the increasing convex ordering of the optimal discounted capital allocations for stochastic arrangement increasing risks with stochastic arrangement decreasing occurrence times. The application to optimal allocation of policy limits is presented as an illustration as well.
Liangquan Zhang, Yufeng Shi (2011)
ESAIM: Control, Optimisation and Calculus of Variations
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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 control variable, but the control domain need not to be convex. We apply our stochastic maximum principle (SMP in short) to investigate the optimal control problems of a class of stochastic partial differential equations (SPDEs in short)....
Marcin Boryc, Łukasz Kruk (2015)
Annales Universitatis Mariae Curie-Sklodowska, sectio A – Mathematica
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A singular stochastic control problem in n dimensions with timedependent coefficients on a finite time horizon is considered. We show that the value function for this problem is a generalized solution of the corresponding HJB equation with locally bounded second derivatives with respect to the space variables and the first derivative with respect to time. Moreover, we prove that an optimal control exists and is unique.
Benchaabane, Abbes, Benchettah, Azzedine (2011)
Serdica Mathematical Journal
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2000 Mathematics Subject Classification: 37F21, 70H20, 37L40, 37C40, 91G80, 93E20. In this work we will study a problem of optimal investment in financial markets with stochastic volatility with small parameter. We used the averaging method of Bogoliubov for limited development for the optimal strategies when the small parameter of the model tends to zero and the limit for the optimal strategy and demonstrated the convergence of these optimal strategies.
Szymon Peszat, Łukasz Stettner (2015)
Banach Center Publications
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In the paper we present a selected variety of problems studied by Professor Jerzy Zabczyk. Important part of Prof. Zabczyk's scientific activity was devoted to his PhD students. He has promoted 9 PhD students: Tomasz Bielecki, Jarosław Sobczyk, Łukasz Stettner and Gianmario Tessitore work mostly in control and its applications to mathematical finance, whereas the research of Anna Chojnowska-Michalik, Wojciech Jachimiak, Anna Milian, Szymon Peszat and Anna Rusinek is concentrated mostly...
Marcin Boryc, Łukasz Kruk (2015)
Annales UMCS, Mathematica
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A singular stochastic control problem in n dimensions with timedependent coefficients on a finite time horizon is considered. We show that the value function for this problem is a generalized solution of the corresponding HJB equation with locally bounded second derivatives with respect to the space variables and the first derivative with respect to time. Moreover, we prove that an optimal control exists and is unique
Franco Flandoli (1982)
Atti della Accademia Nazionale dei Lincei. Classe di Scienze Fisiche, Matematiche e Naturali. Rendiconti Lincei. Matematica e Applicazioni
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Si prova resistenza locale della soluzione di una equazione di Riccati che si incontra in un problema di controllo ottimale. In ipotesi di regolarità per il costo si prova resistenza globale. Il problema astratto considerato è il modello di alcuni problemi di controllo ottimale governati da equazioni paraboliche con controllo sulla frontiera.