Related papers: Stochastic Recursive Optimal Control Problem with …
This paper investigates the relationship between Pontryagin's maximum principle and dynamic programming principle in the context of stochastic optimal control systems governed by stochastic evolution equations with random coefficients in…
In this paper we develop necessary conditions for optimality, in the form of the stochastic Pontryagin maximum principle, for controlled equations with pointwise delay in the state and with control dependent noise, in the general case of…
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.…
In this manuscript we consider a class optimal control problem for stochastic differential delay equations. First, we rewrite the problem in a suitable infinite-dimensional Hilbert space. Then, using the dynamic programming approach, we…
We study time-inconsistent recursive stochastic control problems, i.e., for which the Bellman principle of optimality does not hold. For this class of problems classical optimal controls may fail to exist, or to be relevant in practice, and…
This paper aims to explore the relationship between maximum principle and dynamic programming principle for stochastic recursive control problem with random coefficients. Under certain regular conditions for the coefficients, the…
In this study, we consider an optimal control problem driven by a stochastic differential equation with state constraints. Here, the state constraints mean the constraints about the path of state. In order to show the maximum principe for…
In this paper, we solve an open problem and obtain a general maximum principle for a stochastic optimal control problem where the control domain is an arbitrary non-empty set and all the coefficients (especially the diffusion term and the…
In this manuscript, we study optimal control problems for stochastic delay differential equations using the dynamic programming approach in Hilbert spaces via viscosity solutions of the associated Hamilton-Jacobi-Bellman equations. We show…
This paper mainly investigates reflected stochastic recursive control problems governed by jump-diffusion dynamics. The system's state evolution is described by a stochastic differential equation driven by both Brownian motion and Poisson…
This paper aims to study the relationship between the maximum principle and the dynamic programming principle for recursive optimal control problem of stochastic evolution equations, where the control domain is not necessarily convex and…
We consider a stochastic optimal control problem governed by a stochastic differential equation with delay in the control. Using a result of existence and uniqueness of a sufficiently regular mild solution of the associated…
This paper is concerned with stochastic impulse control problems in which the running cost changes depending on the impulse control. Because of such a dependence, it brings several difficulties when the usual dynamic programming principle…
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…
In this paper, we study a stochastic recursive optimal control problem in which the system is governed by a functional forward-backward stochastic differential equation. Under standard assumptions, we establish the dynamic programming…
In this paper we develop necessary conditions for optimality, in the form of the Pontryagin maximum principle, for the optimal control problem of a class of infinite dimensional evolution equations with delay in the state. In the cost…
In this paper, we consider a class of stochastic control problems for stochastic differential equations with random coefficients. The control domain need not to be convex but the control process is not allowed to enter in diffusion term.…
We study the existence and uniqueness of a solution for the multivalued stochastic differential equation with delay (the multivalued term is of subdifferential type): \[ \left\{\begin{array} [c]{r} dX(t)+\partial\varphi\left(X(t)\right)…
In this paper, we study the relationship between maximum principle (MP) and dynamic programming principle (DPP) for stochastic recursive optimal control problem driven by $G$-Brownian motion. Under the smooth assumption for the value…
In this manuscript we consider optimal control problems of stochastic differential equations with delays in the state and in the control. First, we prove an equivalent Markovian reformulation on Hilbert spaces of the state equation. Then,…