Related papers: Stochastic maximum principle for SPDEs with delay

We consider an optimal control problem for a system of local continuity equations on a space of probability measures. Such systems can be viewed as macroscopic models of ensembles of non-interacting particles or homotypic individuals,…

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…

Consider a general nonlinear optimal control problem in finite dimension, with constant state and/or control delays. By the Pontryagin Maximum Principle, any optimal trajectory is the projection of a Pontryagin extremal. We establish that,…

In this paper, we study a stochastic optimal control problem under a type of consistent convex expectation dominated by G-expectation. By the separation theorem for convex sets, we get the representation theorems for this convex expectation…

We establish a geometric Pontryagin maximum principle for discrete time optimal control problems on finite dimensional smooth manifolds under the following three types of constraints: a) constraints on the states pointwise in time, b)…

This paper introduces a new recursive stochastic optimal control problem driven by a forward-backward stochastic differential equations (FBSDEs), where the ter?minal time varies according to the constraints of the state of the forward…

In this paper we give a new approach to introduce switching strategies in a special class of optimal multiprocesses. Defined as the set of partitions of the time interval, switching strategies become the character of a classical control.…

In this note, we give the stochastic maximum principle for optimal control of stochastic PDEs in the general case (when the control domain need not be convex and the diffusion coefficient can contain a control variable).

In this paper, we study the optimal control problem of a controlled time-symmetric forward-backward doubly stochastic differential equation with initial-terminal sate constraints. Applying the terminal perturbation method and Ekeland's…

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…

We study relaxed stochastic control problems where the state equation is a one dimensional linear stochastic differential equation with random and unbounded coefficients. The two main results are existence of an optimal relaxed control and…

We consider the stochastic optimal control problem for the dynamical system of the stochastic differential equation driven by a local martingale with a spatial parameter. Assuming the convexity of the control domain, we obtain the…

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 derive a version of the Pontryagin maximum principle for general finite-dimensional nonlinear optimal sampled-data control problems. Our framework is actually much more general, and we treat optimal control problems for…

We investigate constrained optimal control problems for linear stochastic dynamical systems evolving in discrete time. We consider minimization of an expected value cost over a finite horizon. Hard constraints are introduced first, and then…

We derive a Maximum Principle for optimal control problems with constraints given by the coupling of a system of ODEs and a PDE of Vlasov-type. Such problems arise naturally as ${\Gamma}$-limits of optimal control problems subject to ODE…

This paper is concerned with a stochastic recursive optimal control problem with time delay, where the controlled system is described by a stochastic differential delayed equation (SDDE) and the cost functional is formulated as the solution…

A novel approach to design the feedback control based on past states is proposed for hybrid stochastic differential equations (HSDEs). This new theorem builds up the connection between the delay feedback control and the control function…

We study singular stochastic control of a two dimensional stochastic differential equation, where the first component is linear with random and unbounded coefficients. We derive existence of an optimal relaxed control and necessary…

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…