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An optimal control problem with a time-parameter is considered. The functional to be optimized includes the maximum over time-horizon reached by a function of the state variable, and so an $L^infty$-term. In addition to the classical control function, the time at which this maximum is reached is considered as a free parameter. The problem couples the behavior of the state and the control, with this time-parameter. A change of variable is introduced to derive first and second-order optimality conditions. This allows the implementation of a Newton method. Numerical simulations are developed, for selected ordinary differential equations and a partial differential equation, which illustrate the influence of the additional parameter and the original motivation.
We consider a stochastic control problem which is composed of a controlled stochastic differential equation, and whose associated cost functional is defined through a controlled backward stochastic differential equation. Under appropriate convexity a
We study a class of infinite-dimensional singular stochastic control problems with applications in economic theory and finance. The control process linearly affects an abstract evolution equation on a suitable partially-ordered infinite-dimensional s
In this paper we study, by probabilistic techniques, the convergence of the value function for a two-scale, infinite-dimensional, stochastic controlled system as the ratio between the two evolution speeds diverges. The value function is represented a
In this paper, the optimal control problem of neutral stochastic functional differential equation (NSFDE) is discussed. A class of so-called neutral backward stochastic functional equations of Volterra type (VNBSFEs) are introduced as the adjoint equ
- In this paper we introduce a new method to solve fixed-delay optimal control problems which exploits numerical homotopy procedures. It is known that solving this kind of problems via indirect methods is complex and computationally demanding because