Stochastic optimal control has become a critical framework for addressing decision-making problems under uncertainty, especially in the context of financial market models. By combining probabilistic ...

Merton, Robert C. "Analytical Optimal Control Theory as Applied to Stochastic and Non-Stochastic Economics." Diss., Massachusetts Institute of Technology (MIT), 1970.

Stochastic control problems in finance often involve complex controls at discrete times. As a result, numerically solving such problems using, for example, methods based on partial differential or ...

The Annals of Applied Probability, Vol. 28, No. 1 (February 2018), pp. 1-34 (34 pages) In this paper, we aim to develop the stochastic control theory of branching diffusion processes where both the ...

Abstract: This article addresses the problem of wake steering control for wind farms that explicitly consider the tradeoff between farm-level power generation and yaw duty cycle under variable and ...

Abstract: This article investigates the optimal containment control (OCC) problem of a class of nonlinear stochastic multiagent systems (MASs) under secure communication. A novel OCC strategy is ...