Related papers: Necessary conditions for optimality for stochastic…
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.…
An optimal control problem for the continuity equation is considered. The aim of a "controller" is to maximize the total mass within a target set at a given time moment. The existence of optimal controls is established. For a particular…
In this paper, we investigate a mean-field singular stochastic optimal control problem for systems governed by mean-field regime-switching singular stochastic differential equations. The state process is assumed to depend on both a regular…
In this paper, we study the maximum principle of mean field type control problems when the volatility function depends on the state and its measure and also the control, by using our recently developed method. Our method is to embed the…
This paper aims to establish second order necessary conditions for optimal control in quantum stochastic systems. We employ a variational approach, analogous to methods in classical stochastic control, to analyze systems governed by quantum…
Inspired in our work on the controllability for the semilinear with memory \cite{Carrasco-Guevara-Leiva:2017aa, Guevara-Leiva:2016aa, Guevara-Leiva:2017aa}, we present the general cases for the approximate controllability of impulsive…
Optimal control and the associated second-order path-dependent Hamilton-Jacobi-Bellman (PHJB) equation are studied for unbounded functional stochastic evolution systems in Hilbert spaces. The notion of viscosity solution without…
We consider the optimization of a dynamical system by switching at discrete time points between abstract evolution equations composed by nonlinearly perturbed strongly continuous semigroups, nonlinear state reset maps at mode transition…
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 study the problem of optimal control for mean-field stochastic partial differential equations (stochastic evolution equations) driven by a Brownian motion and an independent Poisson random measure, in the case of \textit{partial…
We discuss the issue of maximal regularity for evolutionary equations with non-autonomous coefficients. Here evolutionary equations are abstract partial-differential algebraic equations considered in Hilbert spaces. The catch is to consider…
We investigate a stochastic optimal control problem where the controlled system is depicted as a stochastic differential delayed equation; however, at the terminal time, the state is constrained in a convex set. We firstly introduce an…
We consider a stochastic control problem which is composed of a controlled stochastic differential equation, and whose associated cost functional is defined through a controlled backward stochastic differential equation. Under appropriate…
This paper analyzes a discretization of a stochastic parabolic optimal control problem, where the diffusion term contains the control variable. With rough data, the convergence of the discretization is derived. In addition, a Monte-Carlo…
For the evolutionary Stokes problem with dynamic boundary conditions, we show the maximal regularity of weak solutions in time. Due to the characterization of $R$-sectorial operators on Hilbert spaces, the proof reduces to identifying the…
In this paper we study the stochastic control problem of partially observed (multi-dimensional) stochastic system driven by both Brownian motions and fractional Brownian motions. In the absence of the powerful tool of Girsanov…
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…
The paper is concerned with a class of optimization problems for moving sets $t\mapsto\Omega(t)\subset\mathbb{R}^2$, motivated by the control of invasive biological populations. Assuming that the initial contaminated set $\Omega_0$ is…
In this work, we will investigate the question of optimal control for bilinear systems with constrained endpoint. The optimal control will be characterized through a set of unconstrained minimization problems that approximate the former.…
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…