Related papers: A general necessary and sufficient optimality cond…
This paper is a survey on some recent aspects and developments in stochastic control. We discuss the two main historical approaches, Bellman's optimality principle and Pontryagin's maximum principle, and their modern exposition with…
In this study, we consider an optimal control problem driven by a stochastic differential equation with state constraints. Here, the state constraints mean the constraints about the path of state. In order to show the maximum principe for…
This paper establishes a stochastic maximum principle for optimal control problems governed by time-changed forward-backward stochastic differential equations with L\'evy noise. The system incorporates a random, non-decreasing operational…
The main contributions of this paper are three fold. First, our primary concern is to investigate a class of stochastic recursive delayed control problems which arise naturally with sound backgrounds but have not been well-studied yet. For…
We consider a stochastic control problem which is composed of a controlled stochastic differential equation, and whose associated cost functional is defined through a controlled backward stochastic differential equation. Under appropriate…
We consider a singular stochastic control problem, which is called the Monotone Follower Stochastic Control Problem and give sufficient conditions for the existence and uniqueness of a local-time type optimal control. To establish this…
The maximum principle for optimal control problems of fully coupled forward-backward doubly stochastic differential equations (FBDSDEs in short) in the global form is obtained, under the assumptions that the diffusion coefficients do not…
This paper provides necessary conditions of optimality for optimal control problems with time delays in both state and control variables. Different versions of the necessary conditions cover fixed end-time problems and, under additional…
This note is addressed to giving a short introduction to control theory of stochastic systems, governed by stochastic differential equations in both finite and infinite dimensions. We will mainly explain the new phenomenon and difficulties…
This paper is concerned with the existence of optimal controls for backward stochastic partial differential equations with random coefficients, in which the control systems are represented in an abstract evolution form, i.e. backward…
This paper firstly presents the necessary and sufficient conditions for a kind of discrete-time robust stochastic optimal control problem with convex control domains. As it is an "inf sup problem", the classical variational method is…
We investigate constrained optimal control problems for linear stochastic dynamical systems evolving in discrete time. We consider minimization of an expected value cost over a finite horizon. Hard constraints are introduced first, and then…
In this paper, we study a delayed forward-backward stochastic control system in which all the coefficients depend on the state and control terms, and the control domain is not necessarily convex. A global stochastic maximum principle is…
The necessary conditions for an optimal control of a stochastic control problem with recursive utilities is investigated. The first order condition is the the well-known Pontryagin type maximum principle. When the optimal control satisfying…
An optimal control problem for the continuity equation is considered. The aim of a "controller" is to maximize the total mass within a target set at a given time moment. The existence of optimal controls is established. For a particular…
This work establishes a general stochastic maximum principle for partially observed optimal control of semi-linear stochastic partial differential equations in a nonconvex control domain. The state evolves in a Hilbert space driven by a…
We consider a control problem constrained by the unsteady stochastic Stokes equations with nonhomogeneous boundary conditions in connected and bounded domains. In this paper, controls are defined inside the domain as well as on the…
We characterize the optimal control for a class of singular stochastic control problems as the unique solution to a related Skorokhod reflection problem. The considered optimization problems concern the minimization of a discounted cost…
We shall consider a stochastic maximum principle of optimal control for a control problem associated with a stochastic partial differential equations of the following type: d x(t) = (A(t) x(t) + a (t, u(t)) x(t) + b(t, u(t)) dt +…
A dual control problem is presented for the optimal stochastic control of a system governed by partial differential equations. Relationships between the optimal values of the original and the dual problems are investigated and two duality…