Related papers: Stochastic maximum principle for weighted mean-fie…
This paper deals with partially-observed optimal control problems for the state governed by stochastic differential equation with delay. We develop a stochastic maximum principle for this kind of optimal control problems using a variational…
This paper is concerned with the maximum principle and dynamic programming principle for mean-variance portfolio selection of jump diffusions and their relationship. First, the optimal portfolio and efficient frontier of the problem are…
This paper study a type of fully coupled mean-field forward-backward stochastic differential equations with jumps under the monotonicity condition, including the existence and the uniqueness of the solution of our equation as well as the…
This paper is concerned with the relationship between maximum principle and dynamic programming principle for risk-sensitive stochastic optimal control problems. Under the smooth assumption of the value function, relations among the adjoint…
In this paper, we consider a multi-objective control problem for stochastic systems that seeks to minimize a cost of interest while ensuring safety. We introduce a novel measure of safety risk using the conditional value-at-risk and a set…
This paper is concerned with optimal control problems for systems governed by mean-field stochastic differential equation, in which the control enters both the drift and the diffusion coefficient. We prove that the relaxed state process,…
In this paper, we consider optimal control problems derived by stochastic systems with delay, where control domains are non-convex and the diffusion coefficients depend on control variables. By an estimate of the integral of…
The optimal control of epidemic-like stochastic processes is important both historically and for emerging applications today, where it can be especially important to include time-varying parameters that impact viral epidemic-like…
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…
We study singular stochastic control of a two dimensional stochastic differential equation, where the first component is linear with random and unbounded coefficients. We derive existence of an optimal relaxed control and necessary…
We study a stochastic optimal control problem for jump-diffusion systems whose drift coefficient is piecewise Lipschitz continuous and exhibits threshold-induced discontinuities. Such dynamics naturally arise in applications with…
We study high-dimensional stochastic optimal control problems in which many agents cooperate to minimize a convex cost functional. We consider both the full-information problem, in which each agent observes the states of all other agents,…
The purpose of this paper is to explore the necessary conditions for optimality of mean-field forward-backward delay control systems. A new estimate is proved, which is a powerfultool to deal with the optimal control problems of mean-field…
This paper is concerned with a constrained stochastic linear-quadratic optimal control problem, in which the terminal state is fixed and the initial state is constrained to lie in a stochastic linear manifold. The controllability of…
We study risk-sensitive optimal control of a stochastic differential equation (SDE) of mean-field type, where the coefficients are allowed to depend on some functional of the law as well as the state and control processes. Moreover the…
In this paper, we investigate the optimal control problems for stochastic differential equations (SDEs in short) of mean-field type with jump processes. The control variable is allowed to enter into both diffusion and jump terms. This…
Our paper is devoted to the study of Peng's stochastic maximum principle (SMP) for a stochastic control problem composed of a controlled forward stochastic differential equation (SDE) as dynamics and a controlled backward SDE which defines…
This paper considers the stochastic linear quadratic optimal control problem in which the control domain is nonconvex. By the functional analysis and convex perturbation methods, we establish a novel maximum principle. The application of…
We study the problem of optimal control for mean-field stochastic partial differential equations (stochastic evolution equations) driven by a Brownian motion and an independent Poisson random measure, in the case of \textit{partial…
In this paper, we study a stochastic optimal control problem under a type of consistent convex expectation dominated by G-expectation. By the separation theorem for convex sets, we get the representation theorems for this convex expectation…