Related papers: Stochastic maximum principle for SPDEs with delay
We consider the stochastic control of a semi-linear stochastic partial differential equations (SPDE) of McKean-Vlasov type. Based on a recent novel approach to the Lions derivative for Banach space valued functions, we prove the Gateaux…
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…
A stochastic procedure is developed which allows one to express Pontryagin's maximum principle for dissipative quantum system solely in terms of stochastic wave functions. Time-optimal controls can be efficiently computed without computing…
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…
In this paper we study a Pontryagin type stochastic maximum principle for the optimal control of a system, where the state dynamics satisfy a stochastic partial differential equation (SPDE) driven by a two-parameter (time-space) Brownian…
This article is concerned with the second order necessary conditions for the stochastic optimal control problem of stochastic evolution equation with model uncertainty when the traditional Pontryagin-type maximum principle holds trivially…
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 consider distributed-order non-local fractional optimal control problems with controls taking values on a closed set and prove a strong necessary optimality condition of Pontryagin type. The possibility that admissible controls are…
We consider optimal control problems, where the control appears in the main part of the operator. We derive the Pontryagin maximum principle as a necessary optimality condition. The proof uses the concept of topological derivatives. In…
The objective of this paper is to weaken the Lipschitz condition to a monotonicity condition and to study the corresponding Pontryagin stochastic maximum principle (SMP) for a mean-field optimal control problem under monotonicity…
Optimality conditions in the form of a variational inequality are proved for a class of constrained optimal control problems of stochastic differential equations. The cost function and the inequality constraints are functions 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…
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…
The purpose of this paper is to explore the necessary conditions for optimality of mean-field forward-backward delay control systems. A new estimate is proved, which is a powerfultool to deal with the optimal control problems of mean-field…
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 analyze a novel class of rough stochastic control problems that allows for a convenient approach to solving pathwise stochastic control problems with both non-anticipative and anticipative controls. We first establish the well-posedness…
In this paper we prove a version of the maximum principle, in the sense of Pontryagin, for the optimal control of a finite dimensional stochastic differential equation, driven by a multidimensional Wiener process. We drop the usual…
In this paper, we consider optimal control of stochastic differential equations subject to an expected path constraint. The stochastic maximum principle is given for a general optimal stochastic control in terms of constrained FBSDEs. In…
We consider a stochastic control problem, where the control domain is convex and the system is governed by a nonlinear backward stochastic differential equation. With a L1 terminal data, we derive necessary optimality conditions in the form…
In this paper, we consider a varying terminal time structure for the stochastic optimal control problem under state constraints, in which the terminal time varies with the mean value of the state. In this new stochastic optimal control…