Related papers: Stochastic maximum principle for generalized mean-…
The aim of this paper is to derive a maximum principle for a control problem governed by a stochastic partial differential equation (SPDE) with locally monotone coefficients. In particular, necessary conditions for optimality for this…
This paper investigates first the existence and uniqueness of solutions for McKean-Vlasov forward-backward doubly stochastic differential equations (MV-FBDSDEs) in infinite-dimensional real separable Hilbert spaces. These equations combine…
We consider the stochastic optimal control problem for the dynamical system of the stochastic differential equation driven by a local martingale with a spatial parameter. Assuming the convexity of the control domain, we obtain the…
We develop a limit theory for controlled mean field stochastic partial differential equations in a variational framework. More precisely, we prove existence results for mean field limits and particle approximations, and we establish a…
We consider a data-driven formulation of the classical discrete-time stochastic control problem. Our approach exploits the natural structure of many such problems, in which significant portions of the system are uncontrolled. Employing the…
This paper is concerned with the distributed control and stabilization problems for linear discrete-time large scale systems with imposed constraints. The main contributions of this paper are: Firstly, by using the maximum principle…
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 class of mean-field type coupled forward-backward stochastic differential equations (MF-FBSDEs, for short), in which the coupling appears in integral terms, terminal terms, and initial terms. Inspired by…
A novel approach to design the feedback control based on past states is proposed for hybrid stochastic differential equations (HSDEs). This new theorem builds up the connection between the delay feedback control and the control function…
IIn this paper, we study a partially observed progressive optimal control problem of forward-backward stochastic differential equations with random jumps, where the control domain is not necessarily convex, and the control variable enter…
The purpose of this note is to provide an existence result for the solution of fully coupled Forward Backward Stochastic Differential Equations (FBSDEs) of the mean field type. These equations occur in the study of mean field games and the…
We derive a framework to compute optimal controls for problems with states in the space of probability measures. Since many optimal control problems constrained by a system of ordinary differential equations (ODE) modelling interacting…
This paper is concerned with a general maximum principle for the fully coupled forward-backward stochastic optimal control problem with jumps, where the control domain is not necessarily convex, within the progressively measurable…
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 introduce the rigorous limit process connecting finite dimensional sparse optimal control problems with ODE constraints, modeling parsimonious interventions on the dynamics of a moving population divided into leaders and followers, to an…
In this paper, we aim to solve the high dimensional stochastic optimal control problem from the view of the stochastic maximum principle via deep learning. By introducing the extended Hamiltonian system which is essentially an FBSDE with a…
In this article, by using several new crucial {\it a priori} estimates which are still absent in the literature, we provide a comprehensive resolution of the first order generic mean field type control problems and also establish the…
We consider the problem of optimal control of a mean-field stochastic differential equation under model uncertainty. The model uncertainty is represented by ambiguity about the law $\mathcal{L}(X(t))$ of the state $X(t)$ at time $t$. For…
We consider a control problem constrained by the unsteady stochastic Stokes equations with nonhomogeneous boundary conditions in connected and bounded domains. In this paper, controls are defined inside the domain as well as on the…
We study the well-posedness of a system of forward-backward stochastic differential equations (FBSDEs) corresponding to a degenerate mean field type control problem, when the diffusion coefficient depends on the state together with its…