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We address a class of backward stochastic differential equations on a bounded interval, where the driving noise is a marked, or multivariate, point process. Assuming that the jump times are totally inaccessible and a technical condition…
This paper is concerned with a time-inconsistent recursive stochastic control problems where the forward state process is constrained through an additional recursive utility system. By adapting the Ekeland variational principle, necessary…
In this article, we prove second-order necessary optimality conditions for the so-called time crisis problem that comes up within the context of viability theory. It consists in minimizing the time spent by solutions of a controlled…
This paper is concerned with the deterministic optimal control of Ito stochastic systems with random coefficients. The necessary and sufficient conditions for the unique solvability of the optimal control problem with random coefficients…
In this paper, we propose a unified stochastic optimal control framework that integrates time-optimal control problems with classical stochastic optimal control formulations. Unlike conventional deterministic time-optimal control models,…
We investigate a stochastic optimal control problem where the controlled system is depicted as a stochastic differential delayed equation; however, at the terminal time, the state is constrained in a convex set. We firstly introduce an…
In this paper, we consider the stochastic optimal control problem for a generalized Volterra control system. The corresponding state process is a kind of a generalized stochastic Volterra integral differential equations. We prove the…
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…
We shall consider a stochastic maximum principle of optimal control for a control problem associated with a stochastic partial differential equations of the following type: d x(t) = (A(t) x(t) + a (t, u(t)) x(t) + b(t, u(t)) dt +…
This paper provides a framework for deriving a new set of necessary conditions for adverse control problems among two players. The distinguish feature of such problems is that the first player has a priori knowledge on the second player…
This article is concerned with an optimal control problem derived by mean-field forward-backward stochastic differential equation with noisy observation, where the drift coefficients of the state equation and the observation equation are…
In this paper, we study the problem of how to optimally steer the state covariance of a general continuous-time linear stochastic system over a finite time interval subject to additive noise. Optimality here means reaching a target state…
Necessary conditions for existence of normal extremals in optimal control of systems subject to nonholonomic constraints are derived as solutions of a constrained second order variational problems. In this work, a geometric interpretation…
Most of the stochastic orders for comparing random variables, considered in the literature, are afflicted with two main drawbacks: (i) lack of connex property and (ii) lack of consideration of any dependence structure between the random…
We consider a continuous time stochastic optimal control problem under both equality and inequality constraints on the expectation of some functionals of the controlled process. Under a qualification condition, we show that the problem is…
This paper first makes an attempt to investigate the partial information near optimal control of systems governed by forward-backward stochastic differential equations with observation noise under the assumption of a convex control domain.…
In this paper, the optimal strong error estimates for stochastic parabolic optimal control problem with additive noise and integral state constraint are derived based on time-implicit and finite element discretization. The continuous and…
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…
This paper is concerned with necessary and sufficient second-order conditions for finite-dimensional and infinite-dimensional constrained optimization problems. Using a suitably defined directional curvature functional for the admissible…
This paper is concerned with optimal control problems for systems governed by mean-field stochastic differential equation, in which the control enters both the drift and the diffusion coefficient. We prove that the relaxed state process,…