Related papers: Maximum principle for optimal control of stochasti…
This paper studies the optimal control problems of stochastic evolution equations with infinite delay of general functional type. By introducing a non-anticipative path derivative and its infinite-window dual operator, we derive the…
This paper investigates the near optimal control for a kind of linear stochastic control systems governed by the forward backward stochastic differential equations, where both the drift and diffusion terms are allowed to depend on controls…
This paper is devoted to an optimal control problem of fully coupled forward-backward stochastic differential equations driven by sub-diffusion, whose solutions are not Markov processes. The stochastic maximum principle is obtained, where…
We prove a maximum principle of optimal control of stochastic delay equations on infinite horizon. We establish first and second sufficient stochastic maximum principles as well as necessary conditions for that problem. We illustrate our…
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…
This paper presents a method to approximately solve stochastic optimal control problems in which the cost function and the system dynamics are polynomial. For stochastic systems with polynomial dynamics, the moments of the state can be…
This paper studies a stochastic optimal control problem with state constraint, where the state equation is described by a controlled stochastic evolution equation with jumps in Hilbert Space and the control domain is assumed to be convex.…
We study the Pontryagin maximum principle by deriving necessary and sufficient conditions for a class of optimal control problems arising in non exchangeable mean field systems, where agents interact through heterogeneous and asymmetric…
We here consider optimal control problems governed by nonlinear stochastic equations on a Hilbert space H with nonconvex payoff, which is rewritten as a deterministic optimal control problem governed by a Kolmogorov equation in H. We prove…
This paper is concerned with the partial information optimal control problem of wa controlled forward-backward stochastic differential equation of jump diffusion with correlated noises between the system and the observation. For this type…
This paper is concerned with a constrained stochastic linear-quadratic optimal control problem, in which the terminal state is fixed and the initial state is constrained to lie in a stochastic linear manifold. The controllability of…
This paper aims to study the relationship between the maximum principle and the dynamic programming principle for recursive optimal control problem of stochastic evolution equations, where the control domain is not necessarily convex and…
We study singular stochastic control of a two dimensional stochastic differential equation, where the first component is linear with random and unbounded coefficients. We derive existence of an optimal relaxed control and necessary…
This paper deals with a stochastic optimal feedback control problem for the controlled stochastic partial differential equations. More precisely, we establish the existence of stochastic optimal feedback control for the controlled…
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 presents three versions of maximum principle for a stochastic optimal control problem of Markov regime-switching forward-backward stochastic differential equations with jumps (FBSDEJs). A general sufficient maximum principle for…
We consider distributed-order non-local fractional optimal control problems with controls taking values on a closed set and prove a strong necessary optimality condition of Pontryagin type. The possibility that admissible controls are…
In this paper, we study optimal stochastic control problems for stochastic systems driven by non-Markov sub-diffusion $B_{L_t}$, which have the mixed features of deterministic and stochastic controls. Here $B_t$ is the standard Brownian…
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…
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…