Related papers: Stochastic maximum principle for SPDEs with delay
In this paper we study stochastic control problems with delayed information, that is, the control at time $t$ can depend only on the information observed before time $t-H$ for some delay parameter $H$. Such delay occurs frequently in…
This paper consists of a detailed and novel stochastic optimal control analysis of a coupled non-linear dynamical system. The state equations are modeled as additional food provided prey-predator system with Holling Type-III functional…
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 short communication, we first recall a version of the Pontryagin maximum principle for general finite-dimensional nonlinear optimal sampled-data control problems. This result was recently obtained in [L. Bourdin and E. Tr{\'e}lat ,…
Pontrygin-type maximum principle is extended for the present value Hamiltonian systems and current value Hamiltonian systems of nonlinear difference equations for uniform time step $h$. A new method termed as a discrete time current value…
In this note our aim is to give a proof of the Pontryagin maximum principle for a general optimal control problem with running state constraints and smooth dynamics. Our proof is based on the classical Ekeland variational principle. The…
In this work, we consider optimal control problems for mechanical systems on vector spaces with fixed initial and free final state and a quadratic Lagrange term. Specifically, the dynamics is described by a second order ODE containing an…
We present a new geometric unfolding of a prototype problem of optimal control theory, the Mayer problem. This approach is crucially based on the Stokes Theorem and yields to a necessary and sufficient condition that characterizes the…
This paper studies a stochastic optimal control problem with state constraint, where the state equation is described by a controlled stochastic evolution equation with jumps in Hilbert Space and the control domain is assumed to be convex.…
In this article we consider a stochastic optimal control problem where the dynamics of the state process, $X(t)$, is a controlled stochastic differential equation with jumps, delay and \emph{noisy memory}. The term noisy memory is, to the…
We develop a necessary stochastic maximum principle for a finite-dimensional stochastic control problem in infinite horizon under a polynomial growth and joint monotonicity assumption on the coefficients. The second assumption generalizes…
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…
We consider nonsmooth optimal control problems subject to a linear elliptic partial differential equation with homogeneous Dirichlet boundary conditions. It is well-known that local solutions satisfy the celebrated Pontryagin maximum…
In this paper, the Pontryagin-type maximum principle for optimal control of quantum stochastic systems in fermion fields is obtained. These systems have gained significant prominence in numerous quantum applications ranging from physical…
State-space models (SSMs) are effective architectures for sequential modeling, but a rigorous theoretical understanding of their training dynamics is still lacking. In this work, we formulate the training of SSMs as an ensemble optimal…
We consider optimal transport problems where the cost is optimized over controlled dynamics and the end time is free. Unlike the classical setting, the search for optimal transport plans also requires the identification of optimal "stopping…
We consider a stochastic control problem which is composed of a controlled stochastic differential equation, and whose associated cost functional is defined through a controlled backward stochastic differential equation. Under appropriate…
Stochastic Optimal Control Problems (SOCPs) plays a major role in the sequential decision-making challenges. There exist various iterative algorithms, under framework of stochastic maximum principle, that sequentially find the optimal…
We prove a general existence result in stochastic optimal control in discrete time where controls take values in conditional metric spaces, and depend on the current state and the information of past decisions through the evolution of a…
We obtain a maximum principle for stochastic control problem of general controlled stochastic differential systems driven by fractional Brownian motions (of Hurst parameter $H>1/2$). This maximum principle specifies a system of equations…