Related papers: A general stochastic maximum principle for optimal…
In this paper, we study the optimal control problem of a controlled time-symmetric forward-backward doubly stochastic differential equation with initial-terminal sate constraints. Applying the terminal perturbation method and Ekeland's…
Hu et. al 2018 studied a stochastic optimal control problem for fully coupled forward-backward stochastic control systems with a nonempty control domain. By assuming a weakly coupled condition, they established an approach to obtain the…
In this paper, we solve an open problem and obtain a general maximum principle for a stochastic optimal control problem where the control domain is an arbitrary non-empty set and all the coefficients (especially the diffusion term and the…
In this paper we prove necessary conditions for optimality of a stochastic control problem for a class of stochastic partial differential equations that is controlled through the boundary. This kind of problems can be interpreted as a…
In this paper, we consider the stochastic optimal control problem for a generalized Volterra control system. The corresponding state process is a kind of a generalized stochastic Volterra integral differential equations. We prove the…
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…
This paper is concerned with a discounted optimal control problem of partially observed forward-backward stochastic systems with jumps on infinite horizon. The control domain is convex and a kind of infinite horizon observation equation is…
This paper investigates the optimal control problem for a class of parabolic equations where the diffusion coefficient is influenced by a control function acting nonlocally. Specifically, we consider the optimization of a cost functional…
This paper examines the stochastic maximum principle (SMP) for a forward-backward stochastic control system where the backward state equation is characterized by the backward stochastic differential equation (BSDE) with quadratic growth and…
This paper develops a comprehensive framework for optimal control of systems governed by fractional backward stochastic evolution equations (FBSEEs) in Hilbert spaces. We first establish a stochastic maximum principle (SMP) as a necessary…
This paper introduces a new recursive stochastic optimal control problem driven by a forward-backward stochastic differential equations (FBSDEs), where the ter?minal time varies according to the constraints of the state of the forward…
We study a stochastic optimal control problem for fully coupled forward-backward stochastic control systems with a nonempty control domain. For our problem, the first-order and second-order variational equations are fully coupled linear…
We consider optimal control problems for systems governed by mean-field stochastic differential equations, where the control enters both the drift and the diffusion coefficient. We study the relaxed model, in which admissible controls are…
The paper is devoted to the optimal control of a system with two time-scales, in a regime when the limit equation is not of averaging type but, in the spirit of Wong-Zakai principle, it is a stochastic differential equation for the slow…
In this paper, we consider a stochastic recursive optimal control problem under model uncertainty. In this framework, the cost function is described by solutions of a family of backward stochastic differential equations. With the help of…
In this paper, we study the stochastic optimal control problem for control system with time-varying delay. The corresponding stochastic differential equation is a kind of stochastic differential delay equation. We prove the existence and…
In this study, we consider an optimal control problem driven by a stochastic differential system with a stopping time terminal cost functional. We establish the stochastic maximum principle for this new kind of an optimal control problem by…
The main purpose of this paper is to establish the first and second order necessary optimality conditions for stochastic optimal controls using the classical variational analysis approach. The control system is governed by a stochastic…
We consider the control problem of the stochastic Navier-Stokes equations in multidimensional domains introduced in \cite{ocpc} restricted to noise terms defined by Q-Wiener processes. Using a stochastic maximum principle, we derive a…
Here we derive a nonsmooth maximum principle for optimal control problems with both state and mixed constraints. Crucial to our development is a convexity assumption on the "velocity set". The approach consists of applying known…