Related papers: Existence and optimality conditions for relaxed me…
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…
The purpose of this paper is to establish the first and second order necessary conditions for stochastic optimal controls in infinite dimensions. The control system is governed by a stochastic evolution equation, in which both drift and…
In this study, we consider an optimal control problem driven by a stochastic differential equation with state constraints. Here, the state constraints mean the constraints about the path of state. In order to show the maximum principe for…
We analyze the problem of stochastic optimal control of SDEs where the driver includes a self-exciting stochastic process. Due to the non-Markovian nature of the problem, we apply the stochastic maximum principle approach. We derive a…
In this paper, we establish some second order necessary/sufficient optimality conditions for optimal control problems of stochastic evolution equations in infinite dimensions. The control acts on both the drift and diffusion terms and the…
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…
We study high-dimensional stochastic optimal control problems in which many agents cooperate to minimize a convex cost functional. We consider both the full-information problem, in which each agent observes the states of all other agents,…
We characterize the optimal control for a class of singular stochastic control problems as the unique solution to a related Skorokhod reflection problem. The considered optimization problems concern the minimization of a discounted cost…
By a memory mean-field process we mean the solution $X(\cdot)$ of a stochastic mean-field equation involving not just the current state $X(t)$ and its law $\mathcal{L}(X(t))$ at time $t$, but also the state values $X(s)$ and its law…
In this paper, we consider the stochastic optimal control problem for the interacting particle system. We obtain the stochastic maximum principle of the optimal control system by introducing a generalized backward stochastic differential…
The optimal control problem of stochastic systems is commonly solved via robust or scenario-based optimization methods, which are both challenging to scale to long optimization horizons. We cast the optimal control problem of a stochastic…
In this paper, we study the stochastic optimal control problem for control system with time-varying delay. The corresponding stochastic differential equation is a kind of stochastic differential delay equation. We prove the existence and…
We consider a class of stochastic impulse control problems of general stochastic processes i.e. not necessarily Markovian. Under fairly general conditions we establish existence of an optimal impulse control. We also prove existence of…
This paper is concerned with optimal control of systems driven by G-stochastic differential equations (G-SDEs), with controlled jump term. We study the relaxed problem, in which admissible controls are measurevalued processes and the state…
In this paper, we establish a general stochastic maximum principle for optimal control for systems described by a continuous-time Markov regime-switching stochastic recursive utilities model. The control domain is postulated not to be…
This paper is devoted to an optimal control problem of fully coupled forward-backward stochastic differential equations driven by sub-diffusion, whose solutions are not Markov processes. The stochastic maximum principle is obtained, where…
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…
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…
This paper is concerned with the partial information optimal control problem of mean-field type under partial observation, where the system is given by a controlled mean-field forward-backward stochastic differential equation with…
The purpose of this paper is to derive some pointwise second-order necessary conditions for stochastic optimal controls in the general case that the control variable enters into both the drift and the diffusion terms. When the control…