Advanced control strategies for stochastic systems using PDF optimisation

DOI10.1051/COCV/2025091MaRDI QIDQ6854669zbMATH OpenFDO

Authors Randa Herzallah

Publication date 24 February 2026

Published in European Series in Applied and Industrial Mathematics (ESAIM): Control, Optimization and Calculus of Variations (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1051/COCV/2025091

zbMATH Keywords

Fokker-Planck equationHamilton-Jacobi-Bellman equationKullback-Leibler divergenceprobability density functionstochastic control

Mathematics Subject Classification ID

Fokker-Planck equations (35Q84) Hamilton-Jacobi equations in optimal control and differential games (49L12) Stationary stochastic processes (60G10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20)

Cites work

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• Solvability of indefinite stochastic Riccati equations and linear quadratic optimal control problems
• Stochastic differential equations. An introduction with applications.
• Stochastic linear quadratic optimal control problems with expectation-type linear equality constraints on the terminal states
• Towards fully probabilistic control design

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