Related papers: A general maximum principle for optimal control of…
In this paper, we consider the stochastic optimal control problem for the interacting particle system. We obtain the stochastic maximum principle of the optimal control system by introducing a generalized backward stochastic differential…
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…
In this study, we propose a varying terminal time structure for the optimal control problem under state constraints, in which the terminal time follows the varying of the control via the constrained condition. Focusing on this new optimal…
A general maximum principle (necessary and sufficient conditions) for an optimal control problem governed by a stochastic differential equation driven by an infinite dimensional martingale is established. The solution of this equation takes…
This article is concerned with stochastic control problems for backward doubly stochastic differential equations of mean-field type, where the coefficient functions depend on the joint distribution of the state process and the control…
The aim of this notes is to give a concise introduction to control theory for systems governed by stochastic partial differential equations. We shall mainly focus on controllability and optimal control problems for these systems. For the…
We introduce discontinuous solutions to nonlinear impulsive control systems with state time delays in the dynamics and derive necessary optimality conditions in the form of a Maximum Principle for associated optimal control problems. In the…
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…
In this paper, we introduce a novel approach to solve the (mean-covariance) steering problem for a fairly general class of linear continuous-time stochastic systems subject to input delays. Specifically, we aim at steering delayed linear…
Optimal control problems of forward-backward stochastic Volterra integral equations (FBSVIEs in short) are formulated and studied. A general duality principle is established for linear backward stochastic integral equation and linear…
We consider a stochastic control problem where the set of controls is not necessarily convex and the system is governed by a nonlinear backward stochastic differential equation. We establish necessary as well as sufficient conditions of…
In this paper, we derive sufficient and necessary maximum principles for a stochastic optimal control problem where the system state is given by a controlled stochastic differential equation with default. We prove existence of a unique…
In this paper, we generalise Pontryagin's stochastic maximum principle to controlled McKean-Vlasov equations with anticipating law. The associated new type of delayed backward equations with implicit terminal condition is studied.
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, the optimal control for discrete-time systems driven by fractional noises is studied. A stochastic maximum principle is obtained by introducing a backward stochastic difference equation contains both fractional noises and the…
In this paper, we consider optimal control problems of stochastic Volterra equations (SVEs) with singular kernels, where the control domain is not necessarily convex. We establish a global maximum principle by means of the spike variation…
The main purpose of this paper is to establish the first and second order necessary optimality conditions for stochastic optimal controls using the classical variational analysis approach. The control system is governed by a stochastic…
In this paper, we study the maximum principle for stochastic optimal control problems of forward-backward stochastic difference systems (FBS{\Delta}Ss) where the uncertainty is modeled by a discrete time, finite state process, rather than…
In this note, we give the stochastic maximum principle for optimal control of stochastic PDEs in the general case (when the control domain need not be convex and the diffusion coefficient can contain a control variable).
A general maximum principle is proved for optimal controls of abstract semilinear stochastic evolution equations. The control variable, as well as linear unbounded operators, acts in both drift and diffusion terms, and the control set need…