Related papers: A general stochastic maximum principle for mixed r…

We study a class of optimal control problems governed by nonlinear stochastic equations of monotone type under certain coercivity and linear growth conditions. We give first order necessary conditions of optimality. A stochastic Pontryagin…

We consider a stochastic control problem where the set of strict (classical) controls is not necessarily convex, and the system is governed by a nonlinear backward stochastic differential equation. By introducing a new approach, we…

In this paper we develop necessary conditions for optimality, in the form of the stochastic Pontryagin maximum principle, for controlled equations with pointwise delay in the state and with control dependent noise, in the general case of…

The purpose of this paper is to derive some pointwise second-order necessary conditions for stochastic optimal controls in the general case that the control variable enters into both the drift and the diffusion terms. When the control…

In this paper, we consider optimal control problems derived by stochastic systems with delay, where control domains are non-convex and the diffusion coefficients depend on control variables. By an estimate of the integral of…

In this note our aim is to give a proof of the Pontryagin maximum principle for a general optimal control problem with running state constraints and smooth dynamics. Our proof is based on the classical Ekeland variational principle. The…

In this paper we consider the maximum principle of optimal control for a stochastic control problem. This problem is governed by a system of fully coupled multi-dimensional forward-backward doubly stochastic differential equation with…

We study relaxed stochastic control problems where the state equation is a one dimensional linear stochastic differential equation with random and unbounded coefficients. The two main results are existence of an optimal relaxed control and…

We consider the stochastic optimal control problem for the dynamical system of the stochastic differential equation driven by a local martingale with a spatial parameter. Assuming the convexity of the control domain, we obtain the…

In this paper, we investigate an optimal control problem for McKean-Vlasov stochastic partial differential equations, in which the coefficients depend on the law of the state process. For systems with nonconvex control sets, we establish a…

We prove a version of the maximum principle, in the sense of Pontryagin, for the optimal control of a stochastic partial differential equation driven by a finite dimensional Wiener process. The equation is formulated in a semi-abstract form…

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…

This paper is concerned with the partial information optimal control problem of mean-field type under partial observation, where the system is given by a controlled mean-field forward-backward stochastic differential equation with…

In this note, we give the stochastic maximum principle for optimal control of stochastic PDEs in the general case (when the control domain need not be convex and the diffusion coefficient can contain a control variable).

This paper is concerned with a partially observed hybrid optimal control problem, where continuous dynamics and discrete events coexist and in particular, the continuous dynamics can be observed while the discrete events, described by a…

This paper is concerned with the maximum principle of stochastic optimal control problems, where the coefficients of the state equation and the cost functional are uncertain, and the system is generally under Markovian regime switching.…

In this paper we consider non convex control problems of stochastic differential equations driven by relaxed controls. We present existence of optimal controls and then develop necessary conditions of optimality. We cover both continuous…

In this article, the sufficient Pontryagin's maximum principle for infinite horizon discounted stochastic control problem is established. The sufficiency is ensured by an additional assumption of concavity of the Hamiltonian function.…

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…

In this paper, we obtain the maximum principle for optimal controls of stochastic systems with jumps by introducing a new method of variation. The control is allowed to enter both diffusion and jump term and the control domain need not to…