Related papers: Stochastic maximum principle for SPDEs with delay
The aim of this paper is to derive a maximum principle for a control problem governed by a stochastic partial differential equation (SPDE) with locally monotone coefficients. In particular, necessary conditions for optimality for this…
We provide an improvment of the maximum principle of Pon-tryagin of the optimal control problems, for a system governed by an ordinary differential equation, in presence of final constraints, in the setting of the piece-wise differentiable…
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…
In this paper, we consider a stochastic recursive optimal control problem under model uncertainty. In this framework, the cost function is described by solutions of a family of backward stochastic differential equations. With the help of…
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…
In this paper we consider the maximum principle of optimal control for a stochastic control problem. This problem is governed by a system of fully coupled multi-dimensional forward-backward doubly stochastic differential equation with…
We present a Pontryagin maximum principle for discrete time optimal control problems with (a) pointwise constraints on the control actions and the states, (b) frequency constraints on the control and the state trajectories, and (c)…
We prove a Pontryagin Maximum Principle for optimal control problems in the space of probability measures, where the dynamics is given by a transport equation with non-local velocity. We formulate this first-order optimality condition using…
We study stochastic delay differential equations (SDDE) where the coefficients depend on the moving averages of the state process. As a first contribution, we provide sufficient conditions under which a linear path functional of the…
This work establishes two versions of the Pontryagin-type maximum principles for partially observed optimal control of coupled forward stochastic partial differential equations (FSPDEs) and backward stochastic differential equations (BSDEs)…
This paper is concerned with providing the maximum principle for a control problem governed by a stochastic evolution system on a separable Hilbert space. In particular, necessary conditions for optimality for this stochastic optimal…
We study methods for solving stochastic control problems of systems of forward-backward mean-field equations with delay, in finite or infinite horizon. Necessary and sufficient maximum principles under partial information are given. The…
We extend Peng's maximum principle for semilinear stochastic partial differential equations (SPDEs) in one space-dimension with non-convex control domains and control-dependent diffusion coefficients to the case of general cost functionals…
This paper investigates a class of controlled stochastic partial differential equations (SPDEs) arising in the modeling of composite materials with spatially varying properties. The state equation describes the evolution of a material…
We study a stochastic control problem for nonlinear systems governed by stochastic differential equations with irregular drift. The drift coefficient is assumed to decompose as $b(t,x,a)=b_1(t,x)+b_2(x)b_3(t,a)$, where $b_1$ is bounded and…
An optimal control problem for a semilinear elliptic equation of divergence form is considered. Both the leading term and the semilinear term of the state equation contain the control. The well-known Pontryagin type maximum principle for…
We consider the optimal control problem of stochastic evolution equations in a Hilbert space under a recursive utility, which is described as the solution of a backward stochastic differential equation (BSDE). A very general maximum…
In this paper, we first introduce a new spatial-temporal interaction operator to describe the space-time dependent phenomena. Then we consider the stochastic optimal control of a new system governed by a stochastic partial differential…
Using a recently introduced representation of the second order adjoint state as the solution of a function-valued backward stochastic partial differential equation (SPDE), we calculate the viscosity super- and subdifferential of the value…
This paper investigates the stochastic linear-quadratic control problems with affine constraints, in which both equality and inequality constraints are involved. With the help of the Pontryagin maximum principle and Lagrangian duality…