Related papers: Multitime stochastic maximum principle on curvilin…
This paper considers a controlled It\^o-L\'evy process where the information available to the controller is possibly less than the overall information. All the system coefficients and the objective performance functional are allowed to be…
We establish a Pontryagin maximum principle for discrete time optimal control problems under the following three types of constraints: a) constraints on the states pointwise in time, b) constraints on the control actions pointwise in time,…
In this paper, we consider a general time-inconsistent optimal control problem for a non homogeneous linear system, in which its state evolves according to a stochastic differential equation with deterministic coefficients, when the noise…
In this paper we present a general framework that allows one to study discretization of certain dynamical systems. This generalizes earlier work on discretization of Lagrangian and Hamiltonian systems on tangent bundles and cotangent…
In this paper, we derive first-order Pontryagin optimality conditions for risk-averse stochastic optimal control problems subject to final time inequality constraints, and whose costs are general, possibly non-smooth finite coherent risk…
In this paper we develop a novel, discrete-time optimal control framework for mechanical systems with uncertain model parameters. We consider finite-horizon problems where the performance index depends on the statistical moments of the…
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…
A necessary maximum principle is proved for optimal controls of stochastic systems driven by multidimensional Teugel's martingales. The multidimensional Teugel's martingales are constructed by orthogonalizing the multidimensional L\'{e}vy…
We analyze the problem of stochastic optimal control of SDEs where the driver includes a self-exciting stochastic process. Due to the non-Markovian nature of the problem, we apply the stochastic maximum principle approach. We derive a…
Some optimization problems coming from the Differential Geometry, as for example, the minimal submanifolds problem and the harmonic maps problem are solved here via interior solutions of appropriate multitime optimal control problems.…
A geometric approach to time-dependent optimal control problems is proposed. This formulation is based on the Skinner and Rusk formalism for Lagrangian and Hamiltonian systems. The corresponding unified formalism developed for optimal…
In this paper, we propose a unified stochastic optimal control framework that integrates time-optimal control problems with classical stochastic optimal control formulations. Unlike conventional deterministic time-optimal control models,…
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 derive sufficient and necessary maximum principles for a stochastic optimal control problem where the system state is given by a controlled stochastic differential equation with default. We prove existence of a unique…
We consider optimal control problems, where the control appears in the main part of the operator. We derive the Pontryagin maximum principle as a necessary optimality condition. The proof uses the concept of topological derivatives. In…
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 article we derive a Pontryagin maximum principle (PMP) for discrete-time optimal control problems on matrix Lie groups. The PMP provides first order necessary conditions for optimality; these necessary conditions typically yield two…
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…
We obtain a discrete time analog of E. Noether's theorem in Optimal Control, asserting that integrals of motion associated to the discrete time Pontryagin Maximum Principle can be computed from the quasi-invariance properties of the…
In this paper the necessary conditions of optimality in the form of maximum principle are derived for a very general class of variational problems. This class includes problems with any optimization criteria and constraints that can be…