Delayed Optimal Control of Stochastic LQ Problem

Lq-stochastic Control

Optimal Transportation Problem by Stochastic Optimal Control

We solve optimal transportation problem using stochastic optimal control theory. Indeed, for a super linear cost at most quadratic at infinity, we prove Kantorovich duality theorem by a zero noise limit (or vanishing viscosity) argument.. We also obtain a characterization of the support of an optimal measure in Monge-Kantorovich minimization problem (MKP) as a graph. Our key tool is a duality r...

Stochastic LQ Control via Semide nite Programming

We study stochastic linear quadratic LQ optimal control problems over an in nite time horizon allowing the cost matrices to be inde nite We develop a systematic approach based on semide nite programming SDP A central issue is the stability of the feedback control and we show this can be e ectively examined through the complementary duality of the S DP Furthermore we establish several implicatio...

Optimal control of stochastic delayed systems with jumps

We consider the optimal control of stochastic delayed systems with jumps, in which both the state and controls can depend on the past history of the system, for a value function which depends on the initial path of the process. We derive the Hamilton-Jacobi-Bellman equation and the associated verification theorem and prove a necessary and a sufficient maximum principles for such problems. Expli...

Linearly Constrained Lq and Lqg Optimal Control

It has recently been shown that the logarithmic barrier method for solving nite-dimensional, linearly constrained quadratic optimization problems can be extended to an innnite-dimensional setting with complexity estimates similar to the nite dimensional case. As a consequence, an eecient computational method for solving the linearly constrained LQ control problem is now a vailable. In this pape...