Related papers: A maximum principle for infinite horizon delay equ…
In this paper we prove necessary conditions for optimality of a stochastic control problem for a class of stochastic partial differential equations that is controlled through the boundary. This kind of problems can be interpreted as a…
We study deterministic nonstationary discrete-time optimal control problems in both finite and infinite horizon. With the aid of Gateaux differentials, we prove a discrete-time maximum principle in analogy with the well-known…
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, we consider stochastic optimal control of systems driven by stochastic differential equations with irregular drift coefficient. We establish a necessary and sufficient stochastic maximum principle. To achieve this, we first…
We study a control problem where the state equation is a nonlinear partial differential equation of the calculus of variation in a bounded domain, perturbed by noise. We allow the control to act on the boundary and set stochastic boundary…
We study a class of infinite horizon impulse control problems with execution delay when the dynamics of the system is described by a general adapted stochastic process. The problem is solved by means of probabilistic tools relying on the…
The famous proof of the Pontryagin maximum principle for control problems on a finite horizon bases on the needle variation technique, as well as the separability concept of cones created by disturbances of the trajectories. In this…
We present a version of the stochastic maximum principle (SMP) for ergodic control problems. In particular we give necessary (and sufficient) conditions for optimality for controlled dissipative systems in finite dimensions. The strategy we…
A general maximum principle is proved for optimal controls of abstract semilinear stochastic evolution equations. The control variable, as well as linear unbounded operators, acts in both drift and diffusion terms, and the control set need…
In this paper, we consider the stochastic optimal control problem for a generalized Volterra control system. The corresponding state process is a kind of a generalized stochastic Volterra integral differential equations. We prove the…
In this study, we consider an optimal control problem driven by a stochastic differential equation with state constraints. Here, the state constraints mean the constraints about the path of state. In order to show the maximum principe for…
In this paper, we study the optimal control problem of a controlled time-symmetric forward-backward doubly stochastic differential equation with initial-terminal sate constraints. Applying the terminal perturbation method and Ekeland's…
In this paper, we consider a stochastic recursive optimal control problem under model uncertainty. In this framework, the cost function is described by solutions of a family of backward stochastic differential equations. With the help of…
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…
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…
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…
The solution to the infinite horizon optimal control problem for linear distributed time-delay systems is presented. The proposal is based on the use of the Cauchy solution for distributed time-delay systems. In contrast with previous…
We provide simple necessary and sufficient conditions under which a path constitutes a solution to an infinite-horizon, continuous-time optimal control problem. We prove transversality conditions under standard assumptions. We also present…
In this article, we explore two distinct issues. Initially, we examine the utilization of the Pontriagin maximum principle in relation to fractional delay differential equations. Additionally, we discuss the optimal approach for solving the…
In this paper, we study the necessary and sufficient conditions for ensuring the well-posedness of the stochastic singular systems. Moreover, we investigate the stochastic singular linear-quadratic control problems, considering both finite…