An optimal stochastic control problem is considered for systems with unbounded controls satisfying an integral constraint. It is shown that there exists an optimal control within the class of generalized controls leading to impulse actions. Applying an approach of time transformation, developed recently for deterministic systems, the original control problem is shown to be equivalent to an opti...

This paper studies exponential convergence index assignment of stochastic control systems from the viewpoint of backward stochastic di'erential equation. Like deterministic control systems, it is shown that the exact controllability of an open-loop stochastic system is equivalent to the possibility of assigning an arbitrary exponential convergence index to the solution of the closed-loop stocha...

We will discuss the regularity theory and the geometry of the free boundary for free boundary problems of obstacle type, but without positivity assumptions, for instance the Pompeiu problem 4:15–5:00 pm Wendell Fleming Brown University Risk Sensitive Stochastic Control Abstract: Risk sensitive control provides a link between deterministic and stochastic modelling of disturbances in control syst...

This paper presents a computationally fesible procedure for the optimal control and stochastic simulation of large nonlinear models with rational expectations under the assumption of certainty equivalence.

This paper discusses the optimal preview control problem for a class of linear continuous stochastic control systems in the infinite horizon, based on the augmented error system method. Firstly, an assistant system is designed and the state equation is translated to the assistant system.Then, an integrator is introduced to construct a stochastic augmented error system. As a result, the tracking...

it is known that a stochastic dierential equation (sde) induces two probabilisticobjects, namely a diusion process and a stochastic ow. while the diusion process isdetermined by the innitesimal mean and variance given by the coecients of the sde,this is not the case for the stochastic ow induced by the sde. in order to characterize thestochastic ow uniquely the innitesimal covariance give...

in this paper, a stochastic two-stage model is offered for optimization of the day-ahead scheduling of the microgrid. system uncertainties including dispatchable distributed generation and energy storage contingencies are considered in the stochastic model. for handling uncertainties, monte carlo simulation is employed for generation several scenarios and then a reduction method is used to d...