Related papers: Maximum principle for an optimal control problem a…
This paper is concerned with the derivation of necessary conditions for the optimal shape of a design problem governed by a non-smooth PDE. The main particularity thereof is the lack of differentiability of the nonlinearity in the state…
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 article we consider a stochastic optimal control problem where the dynamics of the state process, $X(t)$, is a controlled stochastic differential equation with jumps, delay and \emph{noisy memory}. The term noisy memory is, to the…
We prove a maximum principle of optimal control of stochastic delay equations on infinite horizon. We establish first and second sufficient stochastic maximum principles as well as necessary conditions for that problem. We illustrate our…
We consider a nonlinear control system with vector-valued measures as controls and with dynamics depending on time delayed states. First, we introduce a notion of discontinuous, bounded variation solution associated with this system and…
In this paper, infinite horizon stochastic difference equations and backward stochastic difference equations with fractional noises are studied. The main difficulty comes from fractional noises on infinite horizon. Motivated by…
In this paper, we study the optimal control problem of a controlled time-symmetric forward-backward doubly stochastic differential equation with initial-terminal sate constraints. Applying the terminal perturbation method and Ekeland's…
We consider optimal control of the scalar wave equation where the control enters as a coefficient in the principal part. Adding a total variation penalty allows showing existence of optimal controls, which requires continuity results for…
The aim of this paper is to investigate the existence of optimal controls for systems described by stochastic partial differential equations (SPDEs) with locally monotone coefficients controlled by different external forces which are…
We introduce a notion of bounded variation solution for a new class of nonlinear control systems with ordinary and impulsive controls, in which the drift function depends not only on the state, but also on its past history, through a finite…
We introduce a new optimal control problem where the controlled dynamical system depends on multi-order (incommensurate) fractional differential equations. The cost functional to be maximized is of Bolza type and depends on incommensurate…
In this paper, we consider optimal control of stochastic differential equations subject to an expected path constraint. The stochastic maximum principle is given for a general optimal stochastic control in terms of constrained FBSDEs. In…
In this paper, we investigate a worst-case-scenario control problem with a partially observed state. We consider a non-stochastic formulation, where noises and disturbances in our dynamics are uncertain variables which take values in finite…
In this paper, an open problem is solved, for the stochastic optimal control problem with delay where the control domain is nonconvex and the diffusion term contains both control and its delayed term. Inspired by previous results by \O…
We prove a stochastic maximum principle for a control problem where the state equation is delayed both in the state and in the control, and also the final cost functional may depend on the past trajectories. The adjoint equations turn out…
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,…
In this paper we focus on a general type of mean-field stochastic control problem with partial observation, in which the coefficients depend in a non-linear way not only on the state process $X_t$ and its control $u_t$ but also on the…
The paper concerns the study of the Pontryagin Maximum Principle for an infinite dimensional and infinite horizon boundary control problem for linear partial differential equations. The optimal control model has already been studied both in…
Control of continuous time dynamics with multiplicative noise is a classic topic in stochastic optimal control. This work addresses the problem of designing infinite horizon optimal controls with stability guarantees for \textit{a single…
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…