Related papers: A general maximum principle for optimal control of…
In this paper, we investigate a mean-field singular stochastic optimal control problem for systems governed by mean-field regime-switching singular stochastic differential equations. The state process is assumed to depend on both a regular…
The paper deals with an optimal control problem in a dynamical system described by a linear differential equation with the Caputo fractional derivative. The goal of control is to minimize a Bolza-type cost functional, which consists of two…
This article explores the discrete-time stochastic optimal LQR control with delay and quadratic constraints. The inclusion of delay, compared to delay-free optimal LQR control with quadratic constraints, significantly increases the…
In this paper we prove necessary conditions for optimality of a stochastic control problem for a class of stochastic partial differential equations that is controlled through the boundary. This kind of problems can be interpreted as a…
We consider the stochastic optimal control problem for the dynamical system of the stochastic differential equation driven by a local martingale with a spatial parameter. Assuming the convexity of the control domain, we obtain the…
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…
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 this paper we introduce a new procedure to solve nonlinear optimal control problems with delays which exploits indirect methods combined with numerical homotopy procedures. It is known that solving this kind of problems via indirect…
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,…
The maximum principle for optimal control problems of fully coupled forward-backward doubly stochastic differential equations (FBDSDEs in short) in the global form is obtained, under the assumptions that the diffusion coefficients do not…
We develop a necessary stochastic maximum principle for a finite-dimensional stochastic control problem in infinite horizon under a polynomial growth and joint monotonicity assumption on the coefficients. The second assumption generalizes…
This work establishes a general stochastic maximum principle for partially observed optimal control of semi-linear stochastic partial differential equations in a nonconvex control domain. The state evolves in a Hilbert space driven by a…
For a class of path-dependent stochastic evolution equations driven by cylindrical $Q$-Wiener process, we study the Pontryagin's maximum principle for the stochastic recursive optimal control problem. In this infinite-dimensional control…
In this paper, we develop a theoretical framework for nonlinear stochastic optimal control problems with optimal stopping by establishing a density-based deterministic representation of the underlying diffusion. For state-independent…
We obtain the variational equations for backward stochastic differential equations in recursive stochastic optimal control problems, and then get the maximum principle which is novel. The control domain need not be convex, and the generator…
The purpose of this paper is to introduce a semigroup approach to linear integro-differential systems with delays in state, control and observation parts. On the one hand, we use product spaces to reformulate state-delay…
This paper focuses on the optimal control of a class of stochastic Volterra integral equations. Here the coefficients are regular and not assumed to be of convolution type. We show that, under mild regularity assumptions, these equations…
This paper investigates the near optimal control for a kind of linear stochastic control systems governed by the forward backward stochastic differential equations, where both the drift and diffusion terms are allowed to depend on controls…
In this paper, we study the maximum principle for stochastic optimal control problems of forward-backward stochastic difference systems (FBS{\Delta}Ss). Two types of FBS{\Delta}Ss are investigated. The first one is described by a partially…
This article deals with variational optimal-control problems on time scales in the presence of delay in the state variables. The problem is considered on a time scale unifying the discrete, the continuous and the quantum cases. Two examples…