Related papers: Maximum principle for a stochastic delayed system …
This paper is concerned with a discounted optimal control problem of partially observed forward-backward stochastic systems with jumps on infinite horizon. The control domain is convex and a kind of infinite horizon observation equation is…
This paper firstly presents the necessary and sufficient conditions for a kind of discrete-time robust stochastic optimal control problem with convex control domains. As it is an "inf sup problem", the classical variational method is…
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…
For a class of path-dependent stochastic evolution equations driven by cylindrical $Q$-Wiener process, we study the Pontryagin's maximum principle for the stochastic recursive optimal control problem. In this infinite-dimensional control…
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.…
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…
A Pontryagin maximum principle for an optimal control problem in three dimensional linearized compressible viscous flows is established using the Ekeland variational principle. The controls are distributed over a bounded domain, while the…
This paper is concerned with the linear quadratic optimal control of discrete-time time-varying system with terminal state constraint. The main contribution is to propose a Q-learning algorithm for the optimal controller when the…
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…
We give answer to an open question by proving a sufficient optimality condition for state-linear optimal control problems with time delays in state and control variables. In the proof of our main result, we transform a delayed state-linear…
Here we derive a nonsmooth maximum principle for optimal control problems with both state and mixed constraints. Crucial to our development is a convexity assumption on the "velocity set". The approach consists of applying known…
In this paper, we obtain the maximum principle for optimal controls of stochastic systems with jumps by introducing a new method of variation. The control is allowed to enter both diffusion and jump term and the control domain need not to…
We consider an optimal stopping problem where a constraint is placed on the distribution of the stopping time. Reformulating the problem in terms of so-called measure-valued martingales allows us to transform the marginal constraint into an…
We study a stochastic optimal control problem for fully coupled forward-backward stochastic control systems with a nonempty control domain. For our problem, the first-order and second-order variational equations are fully coupled linear…
In this paper we study the stochastic control problem of partially observed (multi-dimensional) stochastic system driven by both Brownian motions and fractional Brownian motions. In the absence of the powerful tool of Girsanov…
This paper is concerned with necessary and sufficient conditions for near-optimal singular stochastic controls for systems driven by a nonlinear stochastic differential equations (SDEs in short). The proof of our result is based on…
In this paper we study stochastic control problems with delayed information, that is, the control at time $t$ can depend only on the information observed before time $t-H$ for some delay parameter $H$. Such delay occurs frequently in…
This paper investigates an optimal control problem where the system is described by a stochastic differential equation with extended mixed delays that contain point delay, extended distributed delay, and extended noisy memory. The model is…
In this paper we prove a necessary condition of the optimal control problem for a class of general mean-field forward-backward stochastic systems with jumps in the case where the diffusion coefficients depend on control, the control set…
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…