Related papers: Stochastic maximum principle for optimal control o…
This paper studies stochastic control problems with the action space taken to be probability measures, with the objective penalised by the relative entropy. We identify suitable metric space on which we construct a gradient flow for the…
In this paper we study optimal advertising problems that models the introduction of a new product into the market in the presence of carryover effects of the advertisement and with memory effects in the level of goodwill. In particular, we…
We prove a maximum principle for local solutions of quasi-linear parabolic stochastic PDEs, with non-homogeneous second order operator on a bounded domain and driven by a space-time white noise. Our method based on an approximation of the…
This article treats optimal sparse control problems with multiple constraints defined at intermediate points of the time domain. For such problems with intermediate constraints, we first establish a new Pontryagin maximum principle that…
The main purpose of this paper is to establish the first and second order necessary optimality conditions for stochastic optimal controls using the classical variational analysis approach. The control system is governed by a stochastic…
In this paper, we generalise Pontryagin's stochastic maximum principle to controlled McKean-Vlasov equations with anticipating law. The associated new type of delayed backward equations with implicit terminal condition is studied.
The optimal control of problems that are constrained by partial differential equations with uncertainties and with uncertain controls is addressed. The Lagrangian that defines the problem is postulated in terms of stochastic functions, with…
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.…
In this paper, we derive sufficient and necessary maximum principles for a stochastic optimal control problem where the system state is given by a controlled stochastic differential equation with default. We prove existence of a unique…
This article (I) considers the known optimal control model of a quantum information transfer along a spin chain with controlled external parabolic magnetic field, with an arbitrary length. The article adds certain lower and upper pointwise…
In this paper we are concerned with a new type of backward equations with anticipation which we call neutral backward stochastic functional differential equations. We obtain the existence and uniqueness and prove a comparison theorem. As an…
This paper investigates a class of controlled stochastic partial differential equations (SPDEs) arising in the modeling of composite materials with spatially varying properties. The state equation describes the evolution of a material…
This article is concerned with stochastic control problems for backward doubly stochastic differential equations of mean-field type, where the coefficient functions depend on the joint distribution of the state process and the control…
We present a version of the stochastic maximum principle (SMP) for ergodic control problems. In particular we give necessary (and sufficient) conditions for optimality for controlled dissipative systems in finite dimensions. The strategy we…
We derive the Pontryagin maximum principle and $Q$-functions for the relaxed control of noisy rough differential equations. Our main tool is the development of a novel differentiation procedure along `spike variation' perturbations of 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…
In this paper, we solve an open problem and obtain a general maximum principle for a stochastic optimal control problem where the control domain is an arbitrary non-empty set and all the coefficients (especially the diffusion term and the…
Optimal control of the singular nonlinear parabolic PDE which is a distributional formulation of multidimensional and multiphase Stefan-type free boundary problem is analyzed. Approximating sequence of finite-dimensional optimal control…
We consider the problem to steer a linear dynamical system with full state observation from an initial gaussian distribution in state-space to a final one with minimum energy control. The system is stochastically driven through the control…
In this paper, we consider optimal control problems derived by stochastic systems with delay, where control domains are non-convex and the diffusion coefficients depend on control variables. By an estimate of the integral of…