Related papers: Stochastic maximum principle for infinite dimensio…
We prove a maximum principle for the problem of optimal control for a fractional diffusion with infinite horizon. Further, we show existence of fractional backward stochastic differential equations on infinite horizon. We illustrate our…
This paper is concerned with the maximum principle of stochastic optimal control problems, where the coefficients of the state equation and the cost functional are uncertain, and the system is generally under Markovian regime switching.…
Living organisms exhibit remarkable adaptations across all scales, from molecules to ecosystems. We believe that many of these adaptations correspond to optimal solutions driven by evolution, training, and underlying physical and chemical…
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 develops a comprehensive extension of the $\Lambda$-set framework for optimal control, introducing second-order $\Lambda$-sets and generalizing the theory to non-smooth, hybrid, and stochastic hybrid systems. We first establish…
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…
Pontryagin type maximum principle and Bellman's dynamic programming principle serve as two of the most important tools in solving optimal control problems. There is a huge literature on the study of relationship between them. The main…
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…
Novel nonlinear damping control is proposed for the second-order systems. The proportional output feedback is combined with the damping term which is quadratic to the output derivative and inverse to the set-point distance. The global…
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…
We consider a control problem constrained by the unsteady stochastic Stokes equations with nonhomogeneous boundary conditions in connected and bounded domains. In this paper, controls are defined inside the domain as well as on the…
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…
This paper investigates optimal control problems for delayed systems governed by Infinitely Anticipated Backward Stochastic Differential Equations (IABSDEs). Unlike existing frameworks limited to bounded delays, we introduce a generalized…
We generalize the Maximum Principle for free end point optimal control problems involving sweeping systems derived in [9] to cover the case where the end point is constrained to take values in a certain set. As in [9], an ingenious smooth…
In the present paper, by using the relaxed transposition method[29], we solve the second-order adjoint equations, corresponding to the optimal control of quantum stochastic systems in fermion fields, which plays the fundamental roles in the…
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…
This paper is concerned with a kind of risk-sensitive optimal control problem for fully coupled forward-backward stochastic systems. The control variable enters the diffusion term of the state equation and the control domain is not…
This paper is concerned with the existence of optimal controls for backward stochastic partial differential equations with random coefficients, in which the control systems are represented in an abstract evolution form, i.e. backward…
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…
In this paper we investigate the optimal control problem for a class of stochastic Cauchy evolution problem with non standard boundary dynamic and control. The model is composed by an infinite dimensional dynamical system coupled with a…