Related papers: Maximum principle for an optimal control problem a…
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…
This paper considers the stochastic linear quadratic optimal control problem in which the control domain is nonconvex. By the functional analysis and convex perturbation methods, we establish a novel maximum principle. The application of…
In this paper, we consider a general time-inconsistent optimal control problem for a non homogeneous linear system, in which its state evolves according to a stochastic differential equation with deterministic coefficients, when the noise…
A dual control problem is presented for the optimal stochastic control of a system governed by partial differential equations. Relationships between the optimal values of the original and the dual problems are investigated and two duality…
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…
Time change is a powerful technique for generating noises and providing flexible models. In the framework of time changed Brownian and Poisson random measures we study the existence and uniqueness of a solution to a general mean-field…
In this paper, we study the maximum principle for stochastic optimal control problems of forward-backward stochastic difference systems (FBS{\Delta}Ss). Two types of FBS{\Delta}Ss are investigated. The first one is described by a partially…
We consider a stochastic impulse control problem that is motivated by applications such as the optimal exploitation of a natural resource. In particular, we consider a stochastic system whose uncontrolled state dynamics are modelled by a…
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…
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…
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 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…
This paper provides necessary conditions of optimality for optimal control problems with time delays in both state and control variables. Different versions of the necessary conditions cover fixed end-time problems and, under additional…
In this paper, we investigate the optimal control problem for systems driven by mixed fractional Brownian motion (including a fractional Brownian motion with Hurst parameter $H>1/2$ and the standard Brownian motion). By using Malliavin…
A coordinate-free proof of the Maximum Principle is provided in the specific case of an optimal control problem with fixed time. Our treatment heavily relies on a special notion of variation of curves that consist of a concatenation of…
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 work deals with the existence of optimal solution and the maximum principle for optimal control problem governed by Navier-Stokes equations with state constraint in 3-D. Strong results in 2-D also are given.
The objectives and contributions of this paper are mathematical and numerical analyses of a stochastic control problem of bounded population dynamics under ambiguity, an important but not well-studied problem, focusing on the optimality…
We prove a stochastic maximum principle ofPontryagin's type for the optimal control of a stochastic partial differential equationdriven by white noise in the case when the set of control actions is convex. Particular attention is paid to…
A general stochastic maximum principle is proved for optimal controls of semilinear stochastic evolution equations. Stochastic evolution operators, and the control with values in a general set enter into both drift and diffusion terms.