Related papers: The Pontryagin's maximum principle for stochastic …
We establish a Pontryagin maximum principle for discrete time optimal control problems under the following three types of constraints: a) constraints on the states pointwise in time, b) constraints on the control actions pointwise in time,…
From economics point of view, we investigate a new optimal control problem driven by a stochastic differential equation with a multi-time states cost functional. By constructing a series of first-order adjoint equations, we establish the…
In this paper, we consider a varying terminal time structure for the stochastic optimal control problem under state constraints, in which the terminal time varies with the mean value of the state. In this new stochastic optimal control…
In this study, we consider an optimal control problem driven by a stochastic differential system with a stopping time terminal cost functional. We establish the stochastic maximum principle for this new kind of an optimal control problem by…
In this study, we propose a varying terminal time structure for the optimal control problem under state constraints, in which the terminal time follows the varying of the control via the constrained condition. Focusing on this new optimal…
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 develop necessary conditions for optimality, in the form of the stochastic Pontryagin maximum principle, for controlled equations with pointwise delay in the state and with control dependent noise, in the general case of…
We consider distributed-order non-local fractional optimal control problems with controls taking values on a closed set and prove a strong necessary optimality condition of Pontryagin type. The possibility that admissible controls are…
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)…
In this paper, we consider a class of stochastic control problems for stochastic differential equations with random coefficients. The control domain need not to be convex but the control process is not allowed to enter in diffusion term.…
The aim of this notes is to give a concise introduction to control theory for systems governed by stochastic partial differential equations. We shall mainly focus on controllability and optimal control problems for these systems. For the…
This article treats optimal sparse control problems with multiple constraints defined at intermediate points of the time domain. For such problems with intermediate constraints, we first establish a new Pontryagin maximum principle that…
We study a control problem where the state equation is a nonlinear partial differential equation of the calculus of variation in a bounded domain, perturbed by noise. We allow the control to act on the boundary and set stochastic boundary…
In this paper we develop necessary conditions for optimality, in the form of the Pontryagin maximum principle, for the optimal control problem of a class of infinite dimensional evolution equations with delay in the state. In the cost…
We study Mean Field stochastic control problems where the cost function and the state dynamics depend upon the joint distribution of the controlled state and the control process. We prove suitable versions of the Pontryagin stochastic…
For a class of stochastic delay evolution equations driven by cylindrical $Q$-Wiener process, we study the Pontryagin's maximum principle for the stochastic recursive optimal control problem. The delays are given as moving averages with…
We consider a stochastic control problem, where the control domain is convex and the system is governed by a nonlinear backward stochastic differential equation. With a L1 terminal data, we derive necessary optimality conditions in the form…
An optimal control problem driven by an ordinary differential equation under continuous state constraints is considered in this study. From an operational point of view, we introduce a discrete state constraints optimal control problem and…
In this article, the sufficient Pontryagin's maximum principle for infinite horizon discounted stochastic control problem is established. The sufficiency is ensured by an additional assumption of concavity of the Hamiltonian function.…
Our work is devoted to the study of Pontryagin's stochastic maximum principle for a mean-field optimal control problem under Peng's $G$-expectation. The dynamics of the controlled state process is given by a stochastic differential equation…