Related papers: Stochastic Minimum Principle for Partially Observe…
We prove convergence of the proximal policy gradient method for a class of constrained stochastic control problems with control in both the drift and diffusion of the state process. The problem requires either the running or terminal cost…
In this paper, we study optimal stochastic control problems for stochastic systems driven by non-Markov sub-diffusion $B_{L_t}$, which have the mixed features of deterministic and stochastic controls. Here $B_t$ is the standard Brownian…
This paper deals with partially-observed optimal control problems for the state governed by stochastic differential equation with delay. We develop a stochastic maximum principle for this kind of optimal control problems using a variational…
We consider a class of stochastic impulse control problems of general stochastic processes i.e. not necessarily Markovian. Under fairly general conditions we establish existence of an optimal impulse control. We also prove existence of…
The aim of this notes is to give a concise introduction to control theory for systems governed by stochastic partial differential equations. We shall mainly focus on controllability and optimal control problems for these systems. For 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…
This paper is the first part of our series work to establish pointwise second-order necessary conditions for stochastic optimal controls. In this part, both drift and diffusion terms may contain the control variable but the control region…
This paper is concerned with a general maximum principle for the fully coupled forward-backward stochastic optimal control problem with jumps, where the control domain is not necessarily convex, within the progressively measurable…
In this paper, we establish some second order necessary/sufficient optimality conditions for optimal control problems of stochastic evolution equations in infinite dimensions. The control acts on both the drift and diffusion terms and the…
In this note, we give the stochastic maximum principle for optimal control of stochastic PDEs in the general case (when the control domain need not be convex and the diffusion coefficient can contain a control variable).
This paper deals with a stochastic recursive optimal control problem, where the diffusion coefficient depends on the control variable and the control domain is not necessarily convex. We focus on the connection between the general maximum…
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…
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…
This paper focuses on finding approximate solutions to stochastic optimal control problems with control domains being not necessarily convex, where the state trajectory is subject to controlled stochastic differential equations. The…
This paper presents three versions of maximum principle for a stochastic optimal control problem of Markov regime-switching forward-backward stochastic differential equations with jumps (FBSDEJs). A general sufficient maximum principle for…
The paper is devoted to the study of a new class of optimal control problems for nonsmooth dynamical systems governed by nonconvex discontinuous differential inclusions of the sweeping type with involving variable time into optimization. We…
This paper is the second part of our series of work to establish pointwise second-order necessary conditions for stochastic optimal controls. In this part, we consider the general cases, i.e., the control region is allowed to be nonconvex,…
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…
We study a regulation problem for stochastic systems subject to both continuous fluctuations and rare but significant shocks, modeled as a jump-diffusion with uncertainty in both the drift and the jump intensity. Such settings arise in…
This paper considers the problem of partially observed optimal control for forward stochastic systems which are driven by Brownian motions and an independent Poisson random measure with a feature that the cost functional is of mean-field…