Related papers: A stochastic maximum principle with dissipativity …
In this article, we present a general methodology for stochastic control problems driven by the Brownian motion filtration including non-Markovian and non-semimartingale state processes controlled by mutually singular measures. The main…
This paper outlines a novel extension of the classical Pontryagin minimum (maximum) principle to stochastic optimal control problems. Contrary to the well-known stochastic Pontryagin minimum principle involving forward-backward stochastic…
In this paper, we consider a general time-inconsistent optimal control problem for a non homogeneous linear system, in which its state evolves according to a stochastic differential equation with deterministic coefficients, when the noise…
In this paper, the optimal control problem of neutral stochastic functional differential equation (NSFDE) is discussed. A class of so-called neutral backward stochastic functional equations of Volterra type (VNBSFEs) are introduced as the…
In this study, we develop a stochastic optimal control approach with reinforcement learning structure to learn the unknown parameters appeared in the drift and diffusion terms of the stochastic differential equation. By choosing an…
In this paper we investigate the optimal control problem for a class of stochastic Cauchy evolution problem with non standard boundary dynamic and control. The model is composed by an infinite dimensional dynamical system coupled with a…
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 is concerned with the stochastic recursive optimal control problem with mixed delay. The connection between Pontryagin's maximum principle and Bellman's dynamic programming principle is discussed. Without containing any…
We prove the dynamic programming principle for a class of diffusion processes controlled up to the time of exit from a cylindrical region $[0,T)\times G$. It is assumed that the functional to be maximized is in the Lagrange form with…
This article contributes to a framework for a computational indirect method based on the Pontryagin maximum principle to efficiently solve a class of state constrained time-optimal control problems in the presence of a time-dependent flow…
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…
We study a stochastic recursive optimal control problem in which the cost functional is described by the solution of a backward stochastic differential equation driven by G-Brownian motion. Some of the economic and financial optimization…
In this paper, we study the optimal control system driven by stochastic differential equations (SDEs) of mean-field type, in which the control variable has two components, the first being absolutely continuous and the second singular. On…
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…
This paper is concerned with optimal control problems for systems governed by mean-field stochastic differential equation, in which the control enters both the drift and the diffusion coefficient. We prove that the relaxed state process,…
A necessary maximum principle is proved for optimal controls of stochastic systems driven by multidimensional Teugel's martingales. The multidimensional Teugel's martingales are constructed by orthogonalizing the multidimensional L\'{e}vy…
We establish necessary conditions of optimality for discrete-time infinite-horizon optimal control in presence of constraints at infinity. These necessary conditions are in form of weak and strong Pontryagin principles. We use a functional…
This work aims to control the dynamics of certain non-Newtonian fluids in a bounded domain of $\mathbb{R}^d$, $d=2,3$ perturbed by a multiplicative Wiener noise, the control acts as a predictable distributed random force, and the goal is to…
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…
In this paper, we study a class of fractional optimal control problems. A necessary condition for the existence of an optimal control is provided in the literature. It is commonly given as the existence of a solution of a fractional…