Related papers: Stochastic Maximum Principle with Default
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…
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…
This paper studies a class of continuous-time scalar-state stochastic Linear-Quadratic (LQ) optimal control problem with the linear control constraints. Applying the state separation theorem induced from its special structure, we develop…
This paper is concerned with the partial information optimal control problem of wa controlled forward-backward stochastic differential equation of jump diffusion with correlated noises between the system and the observation. For this type…
In this article we consider a stochastic optimal control problem where the dynamics of the state process, $X(t)$, is a controlled stochastic differential equation with jumps, delay and \emph{noisy memory}. The term noisy memory is, to the…
We study a class of stochastic evolution equations of jump type with random coefficients and its optimal control problem. There are three major ingredients. The first is to prove the existence and uniqueness of the solutions by continuous…
We prove a maximum principle for the problem of optimal control for a fractional diffusion with infinite horizon. Further, we show existence of fractional backward stochastic differential equations on infinite horizon. We illustrate our…
We consider nonsmooth optimal control problems subject to a linear elliptic partial differential equation with homogeneous Dirichlet boundary conditions. It is well-known that local solutions satisfy the celebrated Pontryagin maximum…
We prove a stochastic maximum principle ofPontryagin's type for the optimal control of a stochastic partial differential equationdriven by white noise in the case when the set of control actions is convex. Particular attention is paid to…
We study a general class of Principal-Agent problems in continuous time under hidden action. By formulating the model as a coupled stochastic optimal control problem we are able to find a set of necessary conditions characterizing optimal…
We study the Pontryagin maximum principle by deriving necessary and sufficient conditions for a class of optimal control problems arising in non exchangeable mean field systems, where agents interact through heterogeneous and asymmetric…
We prove a version of the maximum principle, in the sense of Pontryagin, for the optimal control of a stochastic partial differential equation driven by a finite dimensional Wiener process. The equation is formulated in a semi-abstract form…
In this paper we prove a weak necessary and sufficient maximum principle for Markovian regime switching stochastic optimal control problems. Instead of insisting on the maximum condition of the Hamiltonian, we show that 0 belongs to the sum…
We consider optimal control problems for systems governed by mean-field stochastic differential equations, where the control enters both the drift and the diffusion coefficient. We study the relaxed model, in which admissible controls are…
In this paper, we consider a general time-inconsistent optimal control problem for a non homogeneous linear system, in which its state evolves according to a stochastic differential equation with deterministic coefficients, when the noise…
The optimal control problem of stochastic systems is commonly solved via robust or scenario-based optimization methods, which are both challenging to scale to long optimization horizons. We cast the optimal control problem of a stochastic…
This paper deals with a stochastic optimal feedback control problem for the controlled stochastic partial differential equations. More precisely, we establish the existence of stochastic optimal feedback control for the controlled…
Here we derive a nonsmooth maximum principle for optimal control problems with both state and mixed constraints. Crucial to our development is a convexity assumption on the "velocity set". The approach consists of applying known…
This paper is devoted to an optimal control problem of fully coupled forward-backward stochastic differential equations driven by sub-diffusion, whose solutions are not Markov processes. The stochastic maximum principle is obtained, where…
In this paper we study optimal advertising problems that models the introduction of a new product into the market in the presence of carryover effects of the advertisement and with memory effects in the level of goodwill. In particular, we…