Cover Image

Batch Sample-wise Stochastic Optimal Control via Stochastic Maximum Principle

Fuente: arXiv

Saved in:

Bibliographic Details
Main Authors:	Sun, Hui, Bao, Feng
Format:	Preprint
Published:	2025
Subjects:	Optimization and Control 60H10, 60H30, 65C20
Online Access:	Acceder al recurso
Tags:	Add Tag No Tags, Be the first to tag this record!

Similar Items

An Effective Particle Gradient Projection Method for Solving Stochastic and Mean Field Control Problem
by: Sun, Hui
Published: (2026)

Optimal Control of Stochastic Partial Differential Equations with Partial Observations: Stochastic Maximum Principles and Numerical Approximation
by: Cao, Yanzhao, et al.
Published: (2025)

Maximum Principle of Stochastic Optimal Control Problems with Model Uncertainty
by: Hao, Tao, et al.
Published: (2023)

Differentiating through Stochastic Differential Equations: A Primer
by: Leburu, Rishi, et al.
Published: (2026)

Stochastic conformal integrators for linearly damped stochastic Poisson systems
by: Bréhier, Charles-Edouard, et al.
Published: (2025)

Stochastic Optimal Control for Jump Diffusion Models with Singular Drifts
by: Bogso, Antoine-Marie, et al.
Published: (2026)

Global Convergence of Successive Approximations for Non-convex Stochastic Optimal Control Problems
by: Ji, Shaolin, et al.
Published: (2022)

First- and Half-order Schemes for Regime Switching Stochastic Differential Equation with Non-differentiable Drift Coefficient
by: Vashistha, Divyanshu, et al.
Published: (2025)

Stochastic Optimal Control for Systems with Drifts of Bounded Variation: A Maximum Principle Approach
by: Bogso, Antoine Marie, et al.
Published: (2025)

Controlled fields, rough stochastic calculus, and Itô-Wentzell-Alekseev-Gröbner identities
by: Dause, Jannis R., et al.
Published: (2026)

Splitting methods for stochastic Hodgkin-Huxley type systems and a localized fundamental mean-square convergence theorem
by: Étoré, Pierre, et al.
Published: (2026)

Numerical Methods and Analysis via Random Field Based Malliavin Calculus for Backward Stochastic PDEs
by: Dai, Wanyang
Published: (2013)

Ergodic control of McKean-Vlasov systems on the Wasserstein space
by: Fuhrman, Marco, et al.
Published: (2025)

Boundary-preserving Lamperti-splitting schemes for some Stochastic Differential Equations
by: Ulander, Johan
Published: (2023)

Learning-Based Importance Sampling via Stochastic Optimal Control for Stochastic Reaction Networks
by: Hammouda, Chiheb Ben, et al.
Published: (2021)

An Actor-Critic Framework for Continuous-Time Jump-Diffusion Controls with Normalizing Flows
by: Guo, Liya, et al.
Published: (2026)

A Class of Degenerate Mean Field Games, Associated FBSDEs and Master Equations
by: Bensoussan, Alain, et al.
Published: (2024)

Numerical Methods for Dynamical Low-Rank Approximations of Stochastic Differential Equations -- Part I: Time discretization
by: Kazashi, Yoshihito, et al.
Published: (2026)

A General Maximum Principle for Progressive Optimal Control of Fully Coupled Forward-Backward Stochastic Systems with Jumps
by: Wang, Bin, et al.
Published: (2024)

Dynamical Low-Rank Approximation for Stochastic Differential Equations
by: Kazashi, Yoshihito, et al.
Published: (2023)

Nonlocal Stochastic Optimal Control for Diffusion Processes: Existence, Maximum Principle and Financial Applications
by: Anita, Stefana-Lucia, et al.
Published: (2025)

Learning Stochastic Reduced Models from Data: A Nonintrusive Approach
by: Freitag, M. A., et al.
Published: (2024)

Strong Global Convergence of the Consensus-Based Optimization Algorithm
by: Bonandin, Sabrina, et al.
Published: (2025)

Stochastic Galerkin Method and Hierarchical Preconditioning for PDE-constrained Optimization
by: Li, Zhendong, et al.
Published: (2025)

Quadratic Mean-Field BSDEs and Exponential Utility Maximization
by: Ding, Yining, et al.
Published: (2025)

A Control Theoretical Approach to Mean Field Games and Associated Master Equations
by: Bensoussan, Alain, et al.
Published: (2024)

Stochastic Singular Linear Systems and Related Linear-Quadratic Optimal Control Problems under Finite and Infinite Horizons
by: Li, Mengzhen, et al.
Published: (2024)

Relationship between Maximum Principle and Dynamic Programming Principle for Risk-Sensitive Stochastic Optimal Control Problems with Applications
by: Dong, Huanqing, et al.
Published: (2025)

Pontryagin Maximum Principle for rough stochastic systems and pathwise stochastic control
by: Horst, Ulrich, et al.
Published: (2025)

A Novel Approach to Peng's Maximum Principle for McKean-Vlasov Stochastic Differential Equations
by: Spille, Johan Benedikt, et al.
Published: (2026)

An efficient gradient projection method for stochastic optimal control problem with expected integral state constraint
by: Wang, Qiming, et al.
Published: (2024)

Control of McKean--Vlasov SDEs with Contagion Through Killing at a State-Dependent Intensity
by: Hambly, Ben, et al.
Published: (2023)

Multiple equilibria in mean-field game models for large oligopolies with strategic complementarities
by: Dianetti, Jodi, et al.
Published: (2024)

Modeling Unknown Stochastic Dynamical System Subject to External Excitation
by: Chen, Yuan, et al.
Published: (2024)

Dimension reduction for large-scale stochastic systems with non-zero initial states and controlled diffusion
by: Redmann, Martin
Published: (2024)

Filtering and 1/3 Power Law for Optimal Time Discretisation in Numerical Integration of Stochastic Differential Equations
by: Vladimirov, Igor G.
Published: (2025)

Stochastic Optimal Linear Quadratic Controls with A Recursive Cost Functional
by: Li, Lin, et al.
Published: (2026)

A new numerical scheme for Itô stochastic differential equations based on Wick-type Wong-Zakai arguments
by: Lanconelli, Alberto, et al.
Published: (2024)

Quantifying a convergence theorem of Gyöngy and Krylov
by: Dareiotis, Konstantinos, et al.
Published: (2021)

Parameter Estimation in Stochastic Differential Equations via Wiener Chaos Expansion and Stochastic Gradient Descent
by: Delgado-Vences, Francisco, et al.
Published: (2026)