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math.OC2026
Equivalence between time and norm optimal control problems of stochastic differential equations
Yanqing Wang
In this paper, we establish the equivalence between minimal time and minimal norm control problems for controllable stochastic differential equations (SDEs). The core of this equiv…
math.OC2024
Numerical Methods for Optimal Control Problems with SPDEs
Andreas Prohl, Yanqing Wang
This paper investigates numerical methods for solving stochastic linear quadratic (SLQ) optimal control problems governed by stochastic partial differential equations (SPDEs). Two…