Related papers: First and second order necessary conditions for st…
In this paper we study the optimality condition for the Venttsel boundary control of a parabolic equation, that is, the state of the dynamic system is governed by a parabolic equation together with an initial condition while the control is…
In this paper, we consider optimal control problems derived by stochastic systems with delay, where control domains are non-convex and the diffusion coefficients depend on control variables. By an estimate of the integral of…
In this paper, we solve an open problem and obtain a general maximum principle for a stochastic optimal control problem where the control domain is an arbitrary non-empty set and all the coefficients (especially the diffusion term and the…
This paper is addressed to studying the exact controllability for stochastic transport equations by two controls: one is a boundary control imposed on the drift term and the other is an internal control imposed on the diffusion term. By…
The aim of this work is to study, from an intrinsic and geometric point of view, second-order constrained variational problems on Lie algebroids, that is, optimization problems defined by a cost functional which depends on higher-order…
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 study an optimal control problem with a quadratic cost functional for non-Newtonian fluids of differential type. More precisely, we consider the system governing the evolution of a second grade fluid filling a two-dimensional bounded…
In this work, we present an efficient gradient projection method for solving a class of stochastic optimal control problem with expected integral state constraint. The first order optimality condition system consisting of forward-backward…
Optimal control problems of forward stochastic Volterra integral equations (SVIEs) are formulated and studied. When control region is arbitrary subset of Euclidean space and control enters into the diffusion, necessary conditions of…
The paper is devoted to deriving necessary optimality conditions in a general optimal control problem for dynamical systems governed by controlled sweeping processes with hard-constrained control actions entering both polyhedral moving sets…
We consider the determination of the optimal stationary singular stochastic control of a linear diffusion for a class of average cumulative cost minimization problems arising in various financial and economic applications of stochastic…
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…
The general maximum principle is proved for an infinite dimensional controlled stochastic evolution system. The control is allowed to take values in a nonconvex set and enter into both drift and diffusion terms. The operator-valued backward…
This paper is concerned with the existence of optimal controls for backward stochastic partial differential equations with random coefficients, in which the control systems are represented in an abstract evolution form, i.e. backward…
In this study, we develop a stochastic optimal control approach with reinforcement learning structure to learn the unknown parameters appeared in the drift and diffusion terms of the stochastic differential equation. By choosing an…
In this paper, we study a class of stochastic optimal control problem with jumps under partial information. More precisely, the controlled systems are described by a fully coupled nonlinear multi- dimensional forward-backward stochastic…
We consider in this paper, mixed relaxed-singular stochastic control problems, where the control variable has two components, the first being measure-valued and the second singular. The control domain is not necessarily convex and the…
The mathematical modeling of numerous real-world applications results in hierarchical optimization problems with two decision makers where at least one of them has to solve an optimal control problem of ordinary or partial differential…
We consider a control problem constrained by the unsteady stochastic Stokes equations with nonhomogeneous boundary conditions in connected and bounded domains. In this paper, controls are defined inside the domain as well as on the…
Stochastic optimal control problems with constraints on the probability distribution of the final output are considered. Necessary conditions for optimality in the form of a coupled system of partial differential equations involving a…