Related papers: A maximum principle for fractional diffusion proce…
This paper deals with partially-observed optimal control problems for the state governed by stochastic differential equation with delay. We develop a stochastic maximum principle for this kind of optimal control problems using a variational…
We discuss a mathematical framework for analysis of optimal control problems on infinite-dimensional manifolds. Such problems arise in study of optimization for partial differential equations with some symmetry. It is shown that some…
In this paper, we establish a general stochastic maximum principle for optimal control for systems described by a continuous-time Markov regime-switching stochastic recursive utilities model. The control domain is postulated not to be…
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…
A general maximum principle (necessary and sufficient conditions) for an optimal control problem governed by a stochastic differential equation driven by an infinite dimensional martingale is established. The solution of this equation takes…
The paper studies a class of multidimensional optimal stopping problems with infinite horizon for linear switching diffusions. There are two main novelties in the optimal problems considered: the underlying stochastic process has…
This paper investigates the optimal control problem for a class of parabolic equations where the diffusion coefficient is influenced by a control function acting nonlocally. Specifically, we consider the optimization of a cost functional…
We prove the dynamic programming principle for a class of diffusion processes controlled up to the time of exit from a cylindrical region $[0,T)\times G$. It is assumed that the functional to be maximized is in the Lagrange form with…
The main result in this paper is a variational formula for the exit rate from a bounded domain for a diffusion process in terms of the stationary law of the diffusion constrained to remain in this domain forever. Related results on the…
We derive the dual variational principle (principle of minimal complementary energy) for the nonlocal nonlinear scalar diffusion problem, which may be viewed as the nonlocal version of the $p$-Laplacian operator. We establish existence and…
We propose a novel approach to modeling advertising dynamics for a firm operating over distributed market domain based on controlled partial differential equations of diffusion type. Using our model, we consider a general type of…
We provide a framework for high-order discretizations of nonlinear scalar convection-diffusion equations that satisfy a discrete maximum principle. The resulting schemes can have arbitrarily high order accuracy in time and space, and can be…
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…
We introduce a new optimal control problem where the controlled dynamical system depends on multi-order (incommensurate) fractional differential equations. The cost functional to be maximized is of Bolza type and depends on incommensurate…
We consider the infinite horizon risk-sensitive problem for nondegenerate diffusions with a compact action space, and controlled through the drift. We only impose a structural assumption on the running cost function, namely…
This paper is concerned with the distributed control and stabilization problems for linear discrete-time large scale systems with imposed constraints. The main contributions of this paper are: Firstly, by using the maximum principle…
In this paper we consider the maximum principle of optimal control for a stochastic control problem. This problem is governed by a system of fully coupled multi-dimensional forward-backward doubly stochastic differential equation with…
In this paper, an open problem is solved, for the stochastic optimal control problem with delay where the control domain is nonconvex and the diffusion term contains both control and its delayed term. Inspired by previous results by \O…
The finite state semi-Markov process is a generalization over the Markov chain in which the sojourn time distribution is any general distribution. In this article we provide a sufficient stochastic maximum principle for the optimal control…
In this article, we study the classical finite-horizon optimal stopping problem for multidimensional diffusions through an approach that differs from what is typically found in the literature. More specifically, we first prove a key…