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From economics point of view, we investigate a new optimal control problem driven by a stochastic differential equation with a multi-time states cost functional. By constructing a series of first-order adjoint equations, we establish the…

We study the problem of state transition on a finite time interval with minimal energy supply for linear port-Hamiltonian systems. While the cost functional of minimal energy supply is intrinsic to the port-Hamiltonian structure, the…

This work studies a class of singular Volterra integral equations that are (controlled) and can be applied to memory-related problems.For optimum controls, we prove a second-order Pontryagin type maximal principle.

We consider classical Merton problem of terminal wealth maximization in finite horizon. We assume that the drift of the stock is following Ornstein-Uhlenbeck process and the volatility of it is following GARCH(1) process. In particular,…

This short note shows how to solve optimal control problems using second order sensitivity analysis

The paper studies the First Order BSPDEs (Backward Stochastic Partial Differential Equations) suggested earlier for a case of multidimensional state domain with a boundary. These equations represent analogs of Hamilton-Jacobi-Bellman…

In this paper, we consider the optimal control problem in a 3D flow model for incompressible rigid-viscoplastic media of the Bingham kind with homogeneous Dirichlet boundary conditions and a given cost functional. On the basis of methods of…

The objectives and contributions of this paper are mathematical and numerical analyses of a stochastic control problem of bounded population dynamics under ambiguity, an important but not well-studied problem, focusing on the optimality…

In this paper, we investigate the multi-objective optimal control problem of ordinary differential equations on Riemannian manifolds. We first obtain the second-order necessary conditions for weak Pareto optimal solutions for…

We study an optimal dividend problem under a bankruptcy constraint. Firms face a trade-off between potential bankruptcy and extraction of profits. In contrast to previous works, general cash flow drifts, including Ornstein--Uhlenbeck and…

In this paper, we consider an optimal bilinear control problem for the nonlinear Schr\"{o}dinger equations with singular potentials. We show well-posedness of the problem and existence of an optimal control. In addition, the first order…

In this paper we study by probabilistic techniques the convergence of the value function for a two-scale, infinite-dimensional, stochastic controlled system as the ratio between the two evolution speeds diverges. The value function is…

We study a class of optimal control problems governed by nonlinear stochastic equations of monotone type under certain coercivity and linear growth conditions. We give first order necessary conditions of optimality. A stochastic Pontryagin…

This paper deals with some classes of Kirchhoff type problems on a double phase setting and with nonlinear boundary conditions. Under general assumptions, we provide multiplicity results for such problems in the case when the perturbations…

We consider chance-constrained binary knapsack problems, where the weights of items are independent random variables with the means and standard deviations known. The chance constraint can be reformulated as a second-order cone constraint…

We consider an optimal switching problem where the terminal reward depends on the entire control trajectory. We show existence of an optimal control by applying a probabilistic technique based on the concept of Snell envelopes. We then…

We consider a finite horizon optimal stopping problem related to trade-off strategies between expected profit and cost cash-flows of an investment under uncertainty. The optimal problem is first formulated in terms of a system of Snell…

In this paper we study optimal control problem for non local Cahn-Hilliard-Brinkman system which models phase separation of binary fluids in porous media. We consider the system in two dimensional bounded domain with regular potential. We…

We consider a class of backward stochastic differential equations (BSDEs) with singular terminal condition and develop a numerical scheme to approximate their solution. To this end, we extend an asymptotic development of the BSDE solution…

This paper is devoted to establishing an enhanced Fritz John type first-order necessary condition for a general constrained nonlinear infinite-dimensional optimization problem. Unlike traditional constraint qualifications in optimization…