Related papers: Necessary conditions for optimal control problems …
The concept of a local infimum for an optimal control problem is introduced. This definition extends that of an optimal process. For a~local infimum we prove an existence theorem and derive necessary conditions that resemble some family of…
This paper addresses, for the first time in the literature, optimal control problems for dynamic systems governed by a novel class of sweeping processes with time delay. We establish well-posedness of such processes, in the sense of the…
A general stochastic maximum principle is proved for optimal controls of semilinear stochastic evolution equations. Stochastic evolution operators, and the control with values in a general set enter into both drift and diffusion terms.
In a classical optimal stopping problem the aim is to maximize the expected value of a functional of a diffusion evaluated at a stopping time. This note considers optimal stopping problems beyond this paradigm. We study problems in which…
This paper deals with optimal control problems of integral equations, with initial-final and running state constraints. The order of a running state constraint is defined in the setting of integral dynamics, and we work here with…
In this paper we prove a necessary condition of the optimal control problem for a class of general mean-field forward-backward stochastic systems with jumps in the case where the diffusion coefficients depend on control, the control set…
In optimal control problems, there exist different kinds of extremals, that is, curves candidates to be solution: abnormal, normal and strictly abnormal. The key point for this classification is how those extremals depend on the cost…
In this article we derive a strong version of the Pontryagin Maximum Principle for general nonlinear optimal control problems on time scales in finite dimension. The final time can be fixed or not, and in the case of general boundary…
In this paper, we obtain the maximum principle for optimal controls of stochastic systems with jumps by introducing a new method of variation. The control is allowed to enter both diffusion and jump term and the control domain need not to…
The maximality principle has been a valuable tool in identifying the free-boundary functions that are associated with the solutions to several optimal stopping problems involving one-dimensional time-homogeneous diffusions and their running…
We investigate a stochastic optimal control problem where the controlled system is depicted as a stochastic differential delayed equation; however, at the terminal time, the state is constrained in a convex set. We firstly introduce an…
In this paper we consider the maximum principle of optimal control for a stochastic control problem. This problem is governed by a system of fully coupled multi-dimensional forward-backward doubly stochastic differential equation with…
In this paper, we consider a stochastic recursive optimal control problem under model uncertainty. In this framework, the cost function is described by solutions of a family of backward stochastic differential equations. With the help of…
This paper firstly presents the necessary and sufficient conditions for a kind of discrete-time robust stochastic optimal control problem with convex control domains. As it is an "inf sup problem", the classical variational method is…
We consider distributed-order non-local fractional optimal control problems with controls taking values on a closed set and prove a strong necessary optimality condition of Pontryagin type. The possibility that admissible controls are…
In this article, we investigate a time-optimal state-constrained bilevel optimal control problem whose lower-level dynamics feature a sweeping control process involving a {\it truncated normal cone}. By bilevel, it is meant that the…
We prove a general existence result in stochastic optimal control in discrete time where controls take values in conditional metric spaces, and depend on the current state and the information of past decisions through the evolution of a…
This paper continues the investigations from [7] and is concerned with the derivation of first-order conditions for a control constrained optimization problem governed by a non-smooth elliptic PDE. The control enters the state equation not…
Control systems involving unknown parameters appear a natural framework for applications in which the model design has to take into account various uncertainties. In these circumstances the performance criterion can be given in terms of an…
The paper presents new sufficient conditions for the property of strong bi-metric regularity of the optimality map associated with an optimal control problem which is affine with respect to the control variable ({\em affine problem}). The…