A linear-quadratic control problem with an infinite time horizon for some infinite dimensional controlled stochastic differential equations driven by a fractional Brownian motion is formulated and solved. The feedback form of the optimal control and the optimal cost are given explicitly. The optimal control is the sum of the well known linear feedback control for the associated infinite dimensional deterministic linear-quadratic control problem and a suitable prediction of the adjoint optimal system...

In this paper, we consider probability measures μ and ν on a d-dimensional sphere in ${𝐑}^{d+1},d\ge 1,$ and cost functions of the form $c(𝐱,𝐲)=l\left(\frac{{|𝐱-𝐲|}^2}{2}\right)$ that generalize those arising in geometric optics where $l\left(t\right)=-logt.$ We prove that if μ and ν vanish on $(d-1)$-rectifiable sets, if |l'(t)|>0,${lim}_{t\to 0^{+}}l\left(t\right)=+\infty ,$ and $g\left(t\right):=t(2-t){\left(l^{\text{'}}\left(t\right)\right)}^2$ is monotone then there exists a unique optimal map To that transports μ onto $\nu ,$ where optimality is measured against c. Furthermore, ${inf}_{𝐱}|T_o𝐱-𝐱|>0.$ Our approach is based on direct variational arguments. In the special case when $l\left(t\right)=-logt,$ existence of optimal maps...

Optimal nonanticipating controls are shown to exist in nonautonomous piecewise deterministic control problems with hard terminal restrictions. The assumptions needed are completely analogous to those needed to obtain optimal controls in deterministic control problems. The proof is based on well-known results on existence of deterministic optimal controls.