Related papers: A general maximum principle for mean-field stochas…
In this paper we consider non convex control problems of stochastic differential equations driven by relaxed controls. We present existence of optimal controls and then develop necessary conditions of optimality. We cover both continuous…
In this paper we study jump-diffusion stochastic differential equations (SDEs) with a discontinuous drift coefficient and a possibly degenerate diffusion coefficient. Such SDEs appear in applications such as optimal control problems in…
In this paper, we study an optimal control problem of a mean-field forward-backward stochastic system with random jumps in progressive structure, where both regular and singular controls are considered in our formula. In virtue of the…
Our paper is devoted to the study of Peng's stochastic maximum principle (SMP) for a stochastic control problem composed of a controlled forward stochastic differential equation (SDE) as dynamics and a controlled backward SDE which defines…
In this paper, we are concerned with a stochastic optimal control problem of mean-field type under partial observation, where the state equation is governed by the controlled nonlinear mean-field stochastic differential equation, moreover…
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…
The maximum principle for optimal control problems of fully coupled forward-backward doubly stochastic differential equations (FBDSDEs in short) in the global form is obtained, under the assumptions that the diffusion coefficients do not…
This paper is mainly concerned with the solutions to both forward and backward mean-field stochastic partial differential equation and the corresponding optimal control problem for mean-field stochastic partial differential equation. We…
The purpose of this paper is to study optimal control of conditional McKean-Vlasov (mean-field) stochastic differential equations with jumps (conditional McKean-Vlasov jump diffusions, for short). To this end, we first prove a stochastic…
A general stochastic maximum principle is proved for optimal controls of semilinear stochastic evolution equations. Stochastic evolution operators, and the control with values in a general set enter into both drift and diffusion terms.
Time change is a powerful technique for generating noises and providing flexible models. In the framework of time changed Brownian and Poisson random measures we study the existence and uniqueness of a solution to a general mean-field…
Optimal control problems of forward stochastic Volterra integral equations (SVIEs) are formulated and studied. When control region is arbitrary subset of Euclidean space and control enters into the diffusion, necessary conditions of…
This paper is concerned with optimal control of systems driven by G-stochastic differential equations (G-SDEs), with controlled jump term. We study the relaxed problem, in which admissible controls are measurevalued processes and the state…
In this paper, we analyze mean-field game modulated by finite states markov chains. We first develop a sufficient stochastic maximum principle for the optimal control of a Markov-modulated stochastic differential equation (SDE) of…
The objective of this paper is to weaken the Lipschitz condition to a monotonicity condition and to study the corresponding Pontryagin stochastic maximum principle (SMP) for a mean-field optimal control problem under monotonicity…
Stochastic maximum principle of nonlinear controlled forward-backward systems, where the set of strict (classical) controls need not be convex and the diffusion coefficient depends explicitly on the variable control, is an open problem…
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…
We study optimal control for mean-field forward backward stochastic differential equations with payoff functionals of mean-field type. Sufficient and necessary optimality conditions in terms of a stochastic maximum principle are derived. As…
The purpose of this paper is to explore the necessary conditions for optimality of mean-field forward-backward delay control systems. A new estimate is proved, which is a powerfultool to deal with the optimal control problems of mean-field…
We extend Peng's maximum principle to the case of stochastic delay differential equations of mean-field type. More precisely, the coefficients of our control problem depend on the state, on the past trajectory and on its expected value.…