Related papers: Neutral Backward Stochastic Functional Differentia…
A general backward stochastic linear-quadratic optimal control problem is studied, in which both the state equation and the cost functional contain the nonhomogeneous terms. The main feature of the problem is that the weighting matrices in…
This paper is concerned with a linear quadratic optimal control problem of delayed backward stochastic differential equations. An explicit representation is derived for the optimal control, which is a linear feedback of the entire past…
We consider a stochastic control problem, where the control domain is convex and the system is governed by a nonlinear backward stochastic differential equation. With a L1 terminal data, we derive necessary optimality conditions in the form…
We obtain the variational equations for backward stochastic differential equations in recursive stochastic optimal control problems, and then get the maximum principle which is novel. The control domain need not be convex, and the generator…
Backward doubly stochastic Volterra integral equations (BDSVIEs, for short) are introduced and studied systematically. Well-posedness of BDSVIEs in the sense of introduced M-solutions is established. A comparison theorem for BDSVIEs is…
The purpose of this paper is to provide a detailed probabilistic analysis of the optimal control of nonlinear stochastic dynamical systems of the McKean Vlasov type. Motivated by the recent interest in mean field games, we highlight the…
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…
This paper deals with a stochastic optimal feedback control problem for the controlled stochastic partial differential equations. More precisely, we establish the existence of stochastic optimal feedback control for the controlled…
In this paper, we derive first-order Pontryagin optimality conditions for risk-averse stochastic optimal control problems subject to final time inequality constraints, and whose costs are general, possibly non-smooth finite coherent risk…
This article is concerned with an optimal control problem derived by mean-field forward-backward stochastic differential equation with noisy observation, where the drift coefficients of the state equation and the observation equation are…
From economics point of view, we investigate a new optimal control problem driven by a stochastic differential equation with a multi-time states cost functional. By constructing a series of first-order adjoint equations, we establish the…
We study methods for solving stochastic control problems of systems of forward-backward mean-field equations with delay, in finite or infinite horizon. Necessary and sufficient maximum principles under partial information are given. The…
We study a class of optimal control problems governed by nonlinear stochastic equations of monotone type under certain coercivity and linear growth conditions. We give first order necessary conditions of optimality. A stochastic Pontryagin…
For a class of stochastic delay evolution equations driven by cylindrical $Q$-Wiener process, we study the Pontryagin's maximum principle for the stochastic recursive optimal control problem. The delays are given as moving averages with…
We consider ergodic backward stochastic differential equations in a discrete time setting, where noise is generated by a finite state Markov chain. We show existence and uniqueness of solutions, along with a comparison theorem. To obtain…
In this paper, we study the stochastic optimal control problem for control system with time-varying delay. The corresponding stochastic differential equation is a kind of stochastic differential delay equation. We prove the existence and…
We consider distributed-order non-local fractional optimal control problems with controls taking values on a closed set and prove a strong necessary optimality condition of Pontryagin type. The possibility that admissible controls are…
We prove a version of the stochastic maximum principle, in the sense of Pontryagin, for the finite horizon optimal control of a stochastic partial differential equation driven by an infinite dimensional additive noise. In particular we…
In this paper, we develop an optimization-based framework for solving coupled forward-backward stochastic differential equations. We introduce an integral-form objective function and prove its equivalence to the error between consecutive…
We investigate a control process described by a linear system of ordinary differential equations with a noise of special type acting to the control parameter. As the cost functional the probability of the final state vector to enter to a…