Related papers: Stochastic Maximum Principle for Optimal Control o…
We discuss a mathematical framework for analysis of optimal control problems on infinite-dimensional manifolds. Such problems arise in study of optimization for partial differential equations with some symmetry. It is shown that some…
We study the Pontryagin maximum principle by deriving necessary and sufficient conditions for a class of optimal control problems arising in non exchangeable mean field systems, where agents interact through heterogeneous and asymmetric…
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…
We establish an optimal strong convergence rate of a fully discrete numerical scheme for second order parabolic stochastic partial differential equations with monotone drifts, including the stochastic Allen-Cahn equation, driven by an…
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 consider the stochastic optimal control problem for the interacting particle system. We obtain the stochastic maximum principle of the optimal control system by introducing a generalized backward stochastic differential…
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…
We study a continuous time stochastic optimal control problem under partial observations that are available only at discrete time instants. This hybrid setting, with continuous dynamics and intermittent noisy measurements, arises in…
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…
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 note outlines a mean-field approach to dynamic optimal transport problems based on the recently proposed McKean-Pontryagin maximum principle. Key aspects of the proposed methodology include i) avoidance of sampling over stochastic…
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 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 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…
In this paper, we prove a Pontryagin Maximum Principle for constrained optimal control problems in the Wasserstein space of probability measures. The dynamics, is described by a transport equation with non-local velocities and is subject to…
We use a white noise approach to study the problem of optimal inside control of a stochastic delay equation driven by a Brownian motion B and a Poisson random measure N. In particular, we use Hida-Malliavin calculus and the Donsker delta…
In this paper, we prove both necessary and sufficient maximum principles for infinite horizon discounted control problems of stochastic Volterra integral equations with finite delay and a convex control domain. The corresponding adjoint…
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…
This paper investigates the optimal control problem for a class of nonlinear fully coupled forward-backward stochastic difference equations (FBS$\Delta$Es). Under the convexity assumption of the control domain, we establish a variational…
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…