Related papers: Maximum Principle for Quasilinear Stochastic PDEs …
In this paper, we consider a class of stochastic control problems for stochastic differential equations with random coefficients. The control domain need not to be convex but the control process is not allowed to enter in diffusion term.…
We construct least squares formulations of PDEs with inhomogeneous essential boundary conditions, where boundary residuals are not measured in unpractical fractional Sobolev norms, but which formulations nevertheless are shown to yield a…
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…
We derive a Maximum Principle for optimal control problems with constraints given by the coupling of a system of ODEs and a PDE of Vlasov-type. Such problems arise naturally as ${\Gamma}$-limits of optimal control problems subject to ODE…
This paper is devoted to a global stochastic maximum principle for conditional mean-field forward-backward stochastic differential equations (FBSDEs, for short) with regime switching. The control domain is unnecessarily convex and the…
In this paper we investigate maximum principles for functionals defined on solutions to special partial differential equations of elliptic type, extending results by Payne and Philippin. We apply such maximum principles to investigate one…
This paper is concerned with the quasi-linear reflected backward stochastic partial differential equation (RBSPDE for short). Basing on the theory of backward stochastic partial differential equation and the parabolic capacity and…
Proving local well-posedness for quasilinear problems in pde's presents a number of difficulties, some of which are universal and others of which are more problem specific. While a common standard, going back to Hadamard, has existed for a…
The focus of this study is on exploring some qualitative properties of solutions to a class of semilinear elliptic problems in bounded domains, where the boundary conditions depend non-locally on the unknown solution at specified interior…
In this paper we wonder whether a quasilinear system of PDEs of first order admits Hamiltonian formulation with local and nonlocal operators. By using the theory of differential coverings, we find differential-geometric conditions necessary…
We consider a process given as the solution of a stochastic differential equation with irregular, path dependent and time-inhomogeneous drift coefficient and additive noise. Explicit and optimal bounds for the Lebesgue density of that…
In the 2nd version of this note we introduce the notion of viscosity solution for a type of fully nonlinear parabolic path-dependent partial differential equations (P-PDE). We then prove the comparison theorem (or maximum principle) of this…
We introduce a new method for proving the nonexistence of positive supersolutions of elliptic inequalities in unbounded domains of $\mathbb{R}^n$. The simplicity and robustness of our maximum principle-based argument provides for its…
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…
In this paper we develop necessary conditions for optimality, in the form of the stochastic Pontryagin maximum principle, for controlled equations with pointwise delay in the state and with control dependent noise, in the general case of…
We consider the nonlinear problem \[(P) \;\; I u=f(x,u) \text{ in $\Omega$,} \;\; u=0 \text{ on $\mathbb{R}^{N}\setminus\Omega$ }\] in an open bounded set $\Omega\subset\mathbb{R}^{N}$, where $I$ is a nonlocal operator which may be…
In this paper, we study the optimal control of a discrete-time stochastic differential equation (SDE) of mean-field type, where the coefficients can depend on both a function of the law and the state of the process. We establish a new…
The aim of this paper is to investigate the existence of optimal controls for systems described by stochastic partial differential equations (SPDEs) with locally monotone coefficients controlled by different external forces which are…
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 derive existence results and first order necessary optimality conditions for optimal control problems governed by quasilinear parabolic PDEs with a class of first order nonlinearities that include for instance quadratic gradient terms.…