Related papers: Sufficient stochastic maximum principle for the op…
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…
We prove a sufficient stochastic maximum principle for the optimal control of a regime-switching diffusion model. We show the connection to dynamic programming and we apply the result to a quadratic loss minimization problem, which can be…
We derive sufficient and necessary optimality conditions in terms of a stochastic maximum principle (SMP) for controls associated with cost functionals of mean-field type, under dynamics driven by a class of Markov chains of mean-field type…
In this paper we prove a necessary condition of the optimal control problem for a class of general mean-field forward-backward stochastic systems with jumps in the case where the diffusion coefficients depend on control, the control set…
We study a stochastic optimal control problem for jump-diffusion systems whose drift coefficient is piecewise Lipschitz continuous and exhibits threshold-induced discontinuities. Such dynamics naturally arise in applications with…
This paper is concerned with a discounted stochastic optimal control problem for regime switching diffusion in an infinite horizon. First, as a preliminary with particular interests in its own right, the global well-posedness of infinite…
In this paper, we establish a general stochastic maximum principle for optimal control for systems described by a continuous-time Markov regime-switching stochastic recursive utilities model. The control domain is postulated not to be…
In this paper, we present an optimal control problem for stochastic differential games under Markov regime-switching forward-backward stochastic differential equations with jumps and partial information. First, we prove a sufficient maximum…
In this paper we set up an optimal control framework for a hybrid stochastic system with dual or multiple Markov switching diffusion processes, while Markov chains governing these switching diffusions are not identical as assumed by the…
In this paper, we obtain the maximum principle for optimal controls of stochastic systems with jumps by introducing a new method of variation. The control is allowed to enter both diffusion and jump term and the control domain need not to…
This paper is concerned with a partially observed hybrid optimal control problem, where continuous dynamics and discrete events coexist and in particular, the continuous dynamics can be observed while the discrete events, described by a…
In this work, we investigate the optimal control problem for continuous-time Markov decision processes with the random impact of the environment. We provide conditions to show the existence of optimal controls under finite-horizon criteria.…
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…
In this paper, we investigate a mean-field singular stochastic optimal control problem for systems governed by mean-field regime-switching singular stochastic differential equations. The state process is assumed to depend on both a regular…
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…
In this paper, we consider stochastic optimal control of systems driven by stochastic differential equations with irregular drift coefficient. We establish a necessary and sufficient stochastic maximum principle. To achieve this, we first…
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…
This paper investigates the optimal control problem for a class of parabolic equations where the diffusion coefficient is influenced by a control function acting nonlocally. Specifically, we consider the optimization of a cost functional…
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.
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…