Related papers: Maximum principle for recursive optimal control pr…
This paper is concerned with the existence of optimal controls for backward stochastic partial differential equations with random coefficients, in which the control systems are represented in an abstract evolution form, i.e. backward…
We study a continuous time stochastic optimal control problem under partial observations that are available only at discrete time instants. This hybrid setting, with continuous dynamics and intermittent noisy measurements, arises in…
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…
We study methods for solving stochastic control problems of systems of forward-backward mean-field equations with delay, in finite or infinite horizon. Necessary and sufficient maximum principles under partial information are given. The…
In this paper, we establish a general stochastic maximum principle for optimal control for systems described by a continuous-time Markov regime-switching stochastic recursive utilities model. The control domain is postulated not to be…
This paper introduces a new recursive stochastic optimal control problem driven by a forward-backward stochastic differential equations (FBSDEs), where the ter?minal time varies according to the constraints of the state of the forward…
This paper outlines a novel extension of the classical Pontryagin minimum (maximum) principle to stochastic optimal control problems. Contrary to the well-known stochastic Pontryagin minimum principle involving forward-backward stochastic…
Stochastic maximum principle of nonlinear controlled forward-backward systems, where the set of strict (classical) controls need not be convex and the diffusion coefficient depends explicitly on the variable control, is an open problem…
This paper is mainly concerned with the solutions to both forward and backward mean-field stochastic partial differential equation and the corresponding optimal control problem for mean-field stochastic partial differential equation. We…
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…
Optimal control theory, also known as Pontryagin's Maximum Principle, is applied to the quantum parameter estimation in the presence of decoherence. An efficient procedure is devised to compute the gradient of quantum Fisher information…
We study Mean Field stochastic control problems where the cost function and the state dynamics depend upon the joint distribution of the controlled state and the control process. We prove suitable versions of the Pontryagin stochastic…
Consider a general nonlinear optimal control problem in finite dimension, with constant state and/or control delays. By the Pontryagin Maximum Principle, any optimal trajectory is the projection of a Pontryagin extremal. We establish that,…
We study a stochastic recursive optimal control problem in which the cost functional is described by the solution of a backward stochastic differential equation driven by G-Brownian motion. Some of the economic and financial optimization…
We prove a version of the stochastic maximum principle, in the sense of Pontryagin, for the finite horizon optimal control of a stochastic partial differential equation driven by an infinite dimensional additive noise. In particular we…
We establish a geometric Pontryagin maximum principle for discrete time optimal control problems on finite dimensional smooth manifolds under the following three types of constraints: a) constraints on the states pointwise in time, b)…
We obtain a maximum principle for stochastic control problem of general controlled stochastic differential systems driven by fractional Brownian motions (of Hurst parameter $H>1/2$). This maximum principle specifies a system of equations…
In this paper, we derive a version of the Pontryagin maximum principle for general finite-dimensional nonlinear optimal sampled-data control problems. Our framework is actually much more general, and we treat optimal control problems for…
We present a new geometric unfolding of a prototype problem of optimal control theory, the Mayer problem. This approach is crucially based on the Stokes Theorem and yields to a necessary and sufficient condition that characterizes the…
We present a Pontryagin maximum principle for discrete time optimal control problems with (a) pointwise constraints on the control actions and the states, (b) frequency constraints on the control and the state trajectories, and (c)…