SIAM Journal on Control and Optimization

The present work is devoted to a study of the solvability of a class of non-Lipschitz and noncanonical backward stochastic differential equations (BSDEs) that naturally arises from an intertemporal mutual fund management problem; to this end, we propose a ...

This paper is concerned with a class of open quantum systems whose dynamic variables have an algebraic structure, similar to that of the Pauli matrices pertaining to finite-level systems. The system interacts with external bosonic fields, and its ...

We study the temperature control problem for Langevin diffusions in the context of nonconvex optimization. The classical optimal control of such a problem is of the bang-bang type, which is overly sensitive to errors. A remedy is to allow the diffusions to ...

This paper studies the multidimensional mixed singular-regular stochastic control problems subject to reduced-form default driven by contagious intensities. The dynamic process of surplus is given by a system of diffusion processes with two controls, and the ...

We consider a problem of assignability of the dichotomy spectrum for one-sided discrete time-varying linear systems. Our purpose is to prove that uniform complete controllability is a sufficient condition for proportional local assignability of the ...

We use the ideas of Adly, Attouch, and Cabot [in Nonsmooth Mechanics and Analysis, Adv. Mech. Math. 12, Springer, New York, 2006, pp. 289--304] on finite-time stabilization of dry friction oscillators to establish a theorem on finite-time stabilization of ...

We prove the existence of a global Lipschitz minimizer of functionals of the form $\mathcal I(u)=\int_\Omega f(\nabla u(x))+g(x,u(x))\,dx$, $u\in\phi+W^{1,1}_0(\Omega)$, assuming that $\phi$ satisfies the bounded slope condition (BSC). Our assumptions on the ...

In this article, we introduce a method to approximate solutions of some variational mean field game problems with congestion by finite sets of player trajectories. These trajectories are obtained by solving a minimization problem similar to the initial ...

Discrete algebraic Riccati equations and their fixed points are well understood and arise in a variety of applications; however, the time-varying equations have not yet been fully explored in the literature. In this article we provide a self-contained ...

We develop a sampling-free approximation scheme for distributionally robust PDE-constrained optimization problems, which are min-max control problems. We define the ambiguity set through moment and entropic constraints. We use second-order Taylor's ...

In optimal control theory one sometimes extends the minimization domain of a given problem, with the aim of achieving the existence of an optimal control. However, this issue is naturally confronted with the possibility of a gap between the original ...

The classical state-space approach to optimal estimation of stochastic processes is efficient when the driving noises are generated by martingales. In particular, the weight function of the optimal linear filter, which solves a complicated operator equation ...

We discuss an open-loop backward Stackelberg differential game involving a single leader and single follower. Unlike most Stackelberg game literature, the state to be controlled is characterized by a backward stochastic differential equation for which the ...

In this paper, we consider the distributed estimation problem of a linear stochastic system described by an autoregressive model with exogenous inputs when both the system orders and parameters are unknown. We design distributed algorithms to estimate the ...

We consider Steklov eigenvalues of three-dimensional, nearly spherical domains. In previous work, we have shown that the Steklov eigenvalues are analytic functions of the domain perturbation parameter. Here, we compute the first-order term of the ...

We establish the null controllability for fourth order stochastic parabolic equations. Utilizing the duality argument, the null controllability is reduced to the observability for fourth order backward stochastic parabolic equations, and the desired ...

A new analytical framework consisting of two phenomena, a single sample and multiple samples, is proposed to formulate the identification problem of Boolean control networks (BCNs) systematically and comprehensively. Under this framework, the existing ...

This paper considers a class of space fractional partial differential equations (FPDEs) that describe gas pressures in fractured media. First, the well-posedness, uniqueness, and stability of the considered FPDEs are investigated. Then, the reference ...

We prove the existence and uniqueness of solutions to a class of quadratic backward SDE (BSDE) systems which we call triangular quadratic. Our results generalize several existing results about diagonally quadratic BSDEs in the non-Markovian setting. As part ...

A differential game modeling the noncooperative outcome of pollution in groundwater is studied. Spatio-temporal objectives are constrained by a convection-diffusion-reaction equation ruling the spread of the pollution in the aquifer, and the velocity of ...

The nonexponential Schilder-type theorem in Backhoff-Veraguas, Lacker, and Tangpi [Ann.\Appl. Probab., 30 (2020), pp. 1321--1367] is expressed as a convergence result for path-dependent partial differential equations with appropriate notions of generalized ...

In this paper, we provide exponential rates of convergence to the interior Nash equilibrium for continuous-time dual-space game dynamics such as mirror descent (MD) and actor-critic (AC). We perform our analysis in $N$-player continuous concave games that ...

A class of optimal control problems governed by fractional differential equations with control constraints and free right end point is considered. We first prove a result on the existence of optimal solutions for the case where the state equation may be ...

We consider a pointwise tracking optimal control problem for a semilinear elliptic partial differential equation. We derive the existence of optimal solutions and analyze first and, necessary and sufficient, second order optimality conditions. We devise ...

We study a stochastic optimal control problem for forward-backward control systems with quadratic generators. In order to establish the first- and second-order variational and adjoint equations, we obtain a new estimate for one-dimensional linear backward ...

Sparsity-promoting terms are incorporated into the objective functions of optimal control problems in order to ensure that optimal controls vanish on large parts of the underlying domain. Typical candidates for those terms are integral functions on Lebesgue ...

Conservative dynamical systems propagate as stationary points of the action functional. Using this representation, it has previously been demonstrated that one may obtain fundamental solutions for two-point boundary value problems for some classes of ...

Self-organization and control around flocks and mills is studied for second-order swarming systems involving self-propulsion and potential terms. It is shown that through the action of constrained control, it is possible to control any initial ...

We consider the constrained optimal control problem for a continuous-time Markov decision process (CTMDP) with gradual-impulsive control. The performance criteria are the expected total undiscounted costs (from the running cost and the impulsive cost). We ...