Related papers: A mixed relaxed singular maximum principle for lin…
In this paper, the optimal control for discrete-time systems driven by fractional noises is studied. A stochastic maximum principle is obtained by introducing a backward stochastic difference equation contains both fractional noises and the…
We study a stochastic recursive optimal control problem in which the cost functional is described by the solution of a backward stochastic differential equation driven by G-Brownian motion. Some of the economic and financial optimization…
We study a robust maximization problem from terminal wealth and consumption under a convex constraints on the portfolio. We state the existence and the uniqueness of the consumption-investment strategy by studying the associated quadratic…
In this paper, we consider the stochastic optimal control problem for the interacting particle system. We obtain the stochastic maximum principle of the optimal control system by introducing a generalized backward stochastic differential…
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 study a constrained optimal control problem with possibly degenerate coefficients arising in models of optimal portfolio liquidation under market impact. The coefficients can be random in which case the value function is described by a…
We consider the determination of the optimal stationary singular stochastic control of a linear diffusion for a class of average cumulative cost minimization problems arising in various financial and economic applications of stochastic…
We prove a general existence result in stochastic optimal control in discrete time where controls take values in conditional metric spaces, and depend on the current state and the information of past decisions through the evolution of a…
We prove a sufficient stochastic maximum principle for the optimal control of a regime-switching diffusion model. We show the connection to dynamic programming and we apply the result to a quadratic loss minimization problem, which can be…
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…
We prove a stochastic maximum principle for a control problem where the state equation is delayed both in the state and in the control, and also the final cost functional may depend on the past trajectories. The adjoint equations turn out…
Though switched dynamical systems have shown great utility in modeling a variety of physical phenomena, the construction of an optimal control of such systems has proven difficult since it demands some type of optimal mode scheduling. In…
This paper investigates optimal control problems for delayed systems governed by Infinitely Anticipated Backward Stochastic Differential Equations (IABSDEs). Unlike existing frameworks limited to bounded delays, we introduce a generalized…
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…
In this paper, we prove the necessary and sufficient maximum principles (NSMPs in short) for the optimal control of systems described by a quasilinear stochastic heat equation within convex control domains, which all the coefficients…
We consider optimal control problems for partial differential equations where the controls take binary values but vary over the time horizon, they can thus be seen as dynamic switches. The switching patterns may be subject to combinatorial…
We consider the problem of optimal singular control of a stochastic partial differential equation (SPDE) with space-mean dependence. Such systems are proposed as models for population growth in a random environment. We obtain sufficient and…
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…
We study the optimal control problem for a weighted mean-field system. A new feature of the control problem is that the coefficients depend on the state process as well as its weighted measure and the control variable. By applying…
In this paper, we consider optimal control problems of stochastic Volterra equations (SVEs) with singular kernels, where the control domain is not necessarily convex. We establish a global maximum principle by means of the spike variation…