Related papers: On a sufficient condition for infinite horizon opt…
The necessary conditions for an optimal control of a stochastic control problem with recursive utilities is investigated. The first order condition is the the well-known Pontryagin type maximum principle. When the optimal control satisfying…
We study a finite horizon optimal contracting problem of a risk-neutral principal and a risk-averse agent who receives a stochastic income stream when the agent is unable to make commitments. The problem involves an infinite number of…
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…
A Deterministic affine quadratic optimal control problem is considered. Due to the nature of the problem, optimal controls exist under some very mild conditions. Further, it is shown that under some assumptions, the value function is…
We provide a generalization of first-order necessary conditions of optimality for infinite-dimensional optimization problems with a finite number of inequality constraints and with a finite number of inequality and equality constraints. Our…
Optimal quantum control of continuous variable systems poses a formidable computational challenge because of the high-dimensional character of the system dynamics. The framework of quantum invariants can significantly reduce the complexity…
In this article we study optimal control problems for systems that are affine in one part of the control variable. Finitely many equality and inequality constraints on the initial and final values of the state are considered. We investigate…
Decision processes with incomplete state feedback have been traditionally modeled as Partially Observable Markov Decision Processes. In this paper, we present an alternative formulation based on probabilistic regular languages. The proposed…
In this paper we are concerned with a new type of backward equations with anticipation which we call neutral backward stochastic functional differential equations. We obtain the existence and uniqueness and prove a comparison theorem. As an…
This paper studies the utility maximization problem with changing time horizons in the incomplete Brownian setting. We first show that the primal value function and the optimal terminal wealth are continuous with respect to the time horizon…
This work is concerned with an optimal control problem on a Riemannian manifold, for which two typical cases are considered. The first case is when the endpoint is free. For this case, the control set is assumed to be a separable metric…
We consider a control problem where the state must reach asymptotically a target while paying an integral payoff with a non-negative Lagrangian. The dynamics is just continuous, and no assumptions are made on the zero level set of the…
We systematically introduce an approach to the analysis and (numerical) solution of a broad class of nonlinear unconstrained optimal control problems, involving ordinary and distributed systems. Our approach relies on exact representations…
We study nonlinear singular optimal control problems of port-Hamil-tonian (descriptor) systems. We employ general control-affine cost functionals that include as a special case the energy supplied to the system. We first derive optimality…
The verification theorem serving as an optimality condition for the optimal control problem, has been expected and studied for a long time. The purpose of this paper is to establish this theorem for control systems governed by stochastic…
We develop a necessary stochastic maximum principle for a finite-dimensional stochastic control problem in infinite horizon under a polynomial growth and joint monotonicity assumption on the coefficients. The second assumption generalizes…
The mathematical modeling of numerous real-world applications results in hierarchical optimization problems with two decision makers where at least one of them has to solve an optimal control problem of ordinary or partial differential…
A general problem in optimal control consists of finding a terminal reward that makes the value function independent of the horizon. Such a terminal reward can be interpreted as a max-plus eigenvector of the associated Lax-Oleinik…
Balder's well-known existence theorem (1983) for infinite-horizon optimal control problems is extended to the case when the integral functional is understood as an improper integral. Simultaneously, the condition of strong uniform…
In this article, we derive first-order necessary optimality conditions for a constrained optimal control problem formulated in the Wasserstein space of probability measures. To this end, we introduce a new notion of localised metric…