Related papers: Second order BSDE under monotonicity condition and…
We show a concise extension of the monotone stability approach to backward stochastic differential equations (BSDEs) that are jointly driven by a Brownian motion and a random measure for jumps, which could be of infinite activity with a…
The aim of the present paper is to study the regularity properties of the solution of a backward stochastic differential equation with a monotone generator in infinite dimension. We show some applications to the nonlinear Kolmogorov…
We study local controllability and optimal control problems for invertible discrete-time control systems. We present second order necessary conditions for optimality and sufficient conditions for local controllability. The conditions are…
This paper is concerned with second-order optimality conditions for Tikhonov regularized optimal control problems governed by the obstacle problem. Using a simple observation that allows to characterize the structure of optimal controls on…
We characterize the optimal control for a class of singular stochastic control problems as the unique solution to a related Skorokhod reflection problem. The considered optimization problems concern the minimization of a discounted cost…
We study a robust utility maximization problem in the case of an incomplete market and logarithmic utility with general stochastic constraints, not necessarily convex. Our problem is equivalent to maximizing of nonlinear expected…
In this paper, we first prove existence and uniqueness of the solution of a backward doubly stochastic differential equation (BDSDE) and of the related stochastic partial differential equation (SPDE) under monotonicity assumption on the…
In this paper, we study the existence and uniqueness of solutions to a class of non-Lipschitz G-BSDEs and the corresponding stochastic recursive optimal control problem. More precisely, we suppose that the generator of G-BSDE is uniformly…
This note concerns a class of matrix Riccati equations associated with stochastic linear-quadratic optimal control problems with indefinite state and control weighting costs. A novel sufficient condition of solvability of such equations is…
In this paper, we propose second-order sufficient optimality conditions for a very general nonconvex constrained optimization problem, which covers many prominent mathematical programs.Unlike the existing results in the literature, our…
In this paper, we study a maximization and a minimization problem associated with a Poisson boundary value problem. Optimal solutions in a set of rearrangements of a given function define stationary and stable flows of an ideal fluid in two…
The main purpose of this paper is the study of second-order optimality conditions for the bilinear control of a strongly degenerate parabolic equation. The equation is degenerate at the boundary of the spatial domain. The well-posedness of…
We consider optimal control problems governed by systems describing the flow of an incompressible second grade fluid with Dirichlet boundary conditions. We prove the existence of an optimal solution, derive the corresponding necessary…
We solve two stochastic control problems in which a player tries to minimize or maximize the exit time from an interval of a Brownian particle, by controlling its drift. The player can change from one drift to another but is subject to a…
This paper aims to establish second order necessary conditions for optimal control in quantum stochastic systems. We employ a variational approach, analogous to methods in classical stochastic control, to analyze systems governed by quantum…
We consider nonlinear optimization problems with cardinality constraints. Based on a continuous reformulation we introduce second order necessary and sufficient optimality conditions. Under such a second order condition, we can guarantee…
We consider the following BVP $\ddot{x}\left( t\right) =f\left( t,\dot{x}\left( t\right) ,x\left( t\right) \right) -h\left( t\right) $, $% x\left( 0\right) =x\left( 1\right) =0$, where $f$ is continuous and satisfies some other conditions,…
This paper is devoted to study the existence of solutions and the monotone method of second-order periodic boundary value problems when the lower and upper solutions $\alpha$ and $\beta$ violate the boundary conditions $…
This paper deals with optimal control problems for systems affine in the control variable. We consider nonnegativity constraints on the control, and finitely many equality and inequality constraints on the final state. First, we obtain…
Initially introduced in the framework of quantum control, the so-called "monotonic algorithms" have demonstrated excellent numerical performance when dealing with bilinear optimal control problems. This paper presents a unified formulation…