Related papers: A general stochastic maximum principle for mixed r…
This paper studies a time-changed stochastic control problem, where the underlying stochastic process is a L\'evy noise time-changed by an inverse subordinator. We establish a maximum principle theory for the time-changed stochastic control…
This paper investigates an optimal control problem where the system is described by a stochastic differential equation with extended mixed delays that contain point delay, extended distributed delay, and extended noisy memory. The model is…
In this paper we study an optimal control problem with nonsmooth mixed state and control constraints. In most of the existing results, the necessary optimality condition for optimal control problems with mixed state and control constraints…
We establish a geometric Pontryagin maximum principle for discrete time optimal control problems on finite dimensional smooth manifolds under the following three types of constraints: a) constraints on the states pointwise in time, b)…
This paper investigates the optimal control problem for a class of nonlinear fully coupled forward-backward stochastic difference equations (FBS$\Delta$Es). Under the convexity assumption of the control domain, we establish a variational…
We analyze a novel class of rough stochastic control problems that allows for a convenient approach to solving pathwise stochastic control problems with both non-anticipative and anticipative controls. We first establish the well-posedness…
In this paper, the optimal control problem of neutral stochastic functional differential equation (NSFDE) is discussed. A class of so-called neutral backward stochastic functional equations of Volterra type (VNBSFEs) are introduced as the…
In this paper, we consider optimal control of stochastic differential equations subject to an expected path constraint. The stochastic maximum principle is given for a general optimal stochastic control in terms of constrained FBSDEs. In…
In ergodic singular stochastic control problems, a decision-maker can instantaneously adjust the evolution of a state variable using a control of bounded variation, with the goal of minimizing a long-term average cost functional. The cost…
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…
This paper investigates the stochastic linear-quadratic control problems with affine constraints, in which both equality and inequality constraints are involved. With the help of the Pontryagin maximum principle and Lagrangian duality…
We establish the existence of both optimal relaxed controls and strict optimal controls for systems driven by Reflected Stochastic Differential Equations RSDEs. Our approach is based on weak convergence techniques for the associated RSDEs…
In this work, we address some optimal control problems related to the evolution of two isothermal, incompressible, immisible fluids in a two dimensional bounded domain. A distributed optimal control problem is formulated as the minimization…
Controllability maximization problem under sparsity constraints is a node selection problem that selects inputs that are effective for control in order to minimize the energy to control for desired state. In this paper we discuss the…
We study a continuous time stochastic optimal control problem under partial observations that are available only at discrete time instants. This hybrid setting, with continuous dynamics and intermittent noisy measurements, arises in…
The purpose of this paper is to provide a detailed probabilistic analysis of the optimal control of nonlinear stochastic dynamical systems of the McKean Vlasov type. Motivated by the recent interest in mean field games, we highlight the…
We consider a continuous time stochastic optimal control problem under both equality and inequality constraints on the expectation of some functionals of the controlled process. Under a qualification condition, we show that the problem is…
In this paper, we investigate a distributed optimal control problem for a convective viscous Cahn-Hilliard system with dynamic boundary conditions. Such systems govern phase separation processes between two phases taking place in an…
This article considers a discrete-time robust optimal control problem on matrix Lie groups. The underlying system is assumed to be perturbed by exogenous unmeasured bounded disturbances, and the control problem is posed as a min-max optimal…
In this paper we present a dynamic programing approach to stochastic optimal control problems with dynamic, time-consistent risk constraints. Constrained stochastic optimal control problems, which naturally arise when one has to consider…