Related papers: Optimal control for the stochastic FitzHugh-Nagumo…
We consider the existence and first order conditions of optimality for a stochastic optimal control problem inspired by the celebrated FitzHugh-Nagumo model, with nonlinear diffusion term, perturbed by a linear multiplicative Brownian-type…
In this paper, we consider stochastic optimal control of systems driven by stochastic differential equations with irregular drift coefficient. We establish a necessary and sufficient stochastic maximum principle. To achieve this, we first…
We study a stochastic recursive optimal control problem in which the cost functional is described by the solution of a backward stochastic differential equation driven by G-Brownian motion. Some of the economic and financial optimization…
We study a stochastic control problem for nonlinear systems governed by stochastic differential equations with irregular drift. The drift coefficient is assumed to decompose as $b(t,x,a)=b_1(t,x)+b_2(x)b_3(t,a)$, where $b_1$ is bounded and…
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…
This paper is concerned with the maximum principle of stochastic optimal control problems, where the coefficients of the state equation and the cost functional are uncertain, and the system is generally under Markovian regime switching.…
We investigate smooth and sparse optimal control problems for convective FitzHugh-Nagumo equation with travelling wave solutions in moving excitable media. The cost function includes distributed space-time and terminal observations or…
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…
This paper is devoted to the stochastic optimal control problems for systems governed by forward-backward stochastic Volterra integral equations (FBSVIEs, for short) with state constraints. Using Ekeland's variational principle, we obtain…
Stochastic maximum principle of nonlinear controlled forward-backward systems, where the set of strict (classical) controls need not be convex and the diffusion coefficient depends explicitly on the variable control, is an open problem…
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…
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…
We study a stochastic optimal control problem for jump-diffusion systems whose drift coefficient is piecewise Lipschitz continuous and exhibits threshold-induced discontinuities. Such dynamics naturally arise in applications with…
We are interested in the optimal control problem associated with certain quadratic cost functionals depending on the solution $X=X^\alpha$ of the stochastic mean-field type evolution equation in $\mathbb R^d$ $dX_t=b(t,X_t,\mathcal…
We shall consider a stochastic maximum principle of optimal control for a control problem associated with a stochastic partial differential equations of the following type: d x(t) = (A(t) x(t) + a (t, u(t)) x(t) + b(t, u(t)) dt +…
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 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…
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…
A tracking type optimal control problem for a nonlinear and nonlocal kinetic Fokker-Planck equation which arises as the mean field limit of an interacting particle systems that is subject to distance dependent random fluctuations is…
This paper investigates the near optimal control for a kind of linear stochastic control systems governed by the forward backward stochastic differential equations, where both the drift and diffusion terms are allowed to depend on controls…