Related papers: A maximum principle for fractional diffusion proce…
We prove maximum principles for the problem of optimal control for a jump diffusion with infinite horizon and partial information. The results are applied to partial information optimal consumption and portfolio problems in infinite…
In this paper, infinite horizon stochastic difference equations and backward stochastic difference equations with fractional noises are studied. The main difficulty comes from fractional noises on infinite horizon. Motivated by…
This paper is concerned with a discounted stochastic optimal control problem for regime switching diffusion in an infinite horizon. First, as a preliminary with particular interests in its own right, the global well-posedness of infinite…
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 consider a problem of optimal control of an infinite horizon system governed by forward-backward stochastic differential equations with delay. Sufficient and necessary maximum principles for optimal control under partial information in…
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…
In this paper, we prove both necessary and sufficient maximum principles for infinite horizon discounted control problems of stochastic Volterra integral equations with finite delay and a convex control domain. The corresponding adjoint…
This article gives an overview of the developments in controlled diffusion processes, emphasizing key results regarding existence of optimal controls and their characterization via dynamic programming for a variety of cost criteria and…
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…
In this paper, we focus on maximum principles of a time-space fractional diffusion equation. Maximum principles for classical solution and weak solution are all obtained by using properties of the time fractional derivative operator and the…
The strong maximum principle is a remarkable characterization of parabolic equations, which is expected to be partly inherited by fractional diffusion equations. Based on the corresponding weak maximum principle, in this paper we establish…
This paper focuses on infinite-horizon optimal control problems for dissipative systems and the relations to their finite-horizon formulations. We show that, for a large class of problems, dissipativity of the state equation, when a…
Stochastic maximum principle of nonlinear controlled forward-backward systems, where the set of strict (classical) controls need not be convex and the diffusion coefficient depends explicitly on the variable control, is an open problem…
We prove a version of the stochastic maximum principle, in the sense of Pontryagin, for the finite horizon optimal control of a stochastic partial differential equation driven by an infinite dimensional additive noise. In particular we…
In this paper, a maximum principle for the one-dimensional sub-diffusion equation with Atangana-Baleanu fractional derivative is formulated and proved. The proof of the maximum principle is based on an extremum principle for the…
A class of optimal control problems governed by linear fractional diffusion equation with control constraint is considered. We first establish some results on the existence of strong solution to the state equation and the existence of…
We consider stochastic control with discretionary stopping for the drift of a diffusion process over an infinite time horizon. The objective is to choose a control process and a stopping time to minimize the expectation of a convex terminal…
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 infinite horizon jump-diffusion forward-backward stochastic differential equations under some monotonicity conditions. We establish an existence and uniqueness theorem, two stability results and a comparison…
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…