Related papers: Stochastic Maximum Principle for a generalized Vol…

In this paper, we solve an open problem and obtain a general maximum principle for a stochastic optimal control problem where the control domain is an arbitrary non-empty set and all the coefficients (especially the diffusion term and the…

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…

In this paper, we study the stochastic optimal control problem for control system with time-varying delay. The corresponding stochastic differential equation is a kind of stochastic differential delay equation. We prove the existence and…

In this paper, we prove both necessary and sufficient maximum principles for infinite horizon discounted control problems of stochastic Volterra integral equations with finite delay and a convex control domain. The corresponding adjoint…

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…

We consider a stochastic control problem, where the control domain is convex and the system is governed by a nonlinear backward stochastic differential equation. With a L1 terminal data, we derive necessary optimality conditions in the form…

We study the problem of optimal control of a coupled system of forward-backward stochastic Volterra equations. We use Hida-Malliavin calculus to prove a sufficient and a necessary maximum principle for the optimal control of such systems.…

We study linear-quadratic optimal control problems for Voterra systems, and problems that are linear-quadratic in the control but generally nonlinear in the state. In the case of linear-quadratic Volterra control, we obtain sharp necessary…

In this paper, we study the optimal control problem with terminal and inequality state constraints for state equations described by Volterra integral equations having singular and nonsingular kernels. The singular kernel introduces abnormal…

This paper is devoted to the stochastic optimal control problems for systems governed by forward-backward stochastic Volterra integral equations (FBSVIEs, for short) with state constraints. Using Ekeland's variational principle, we obtain…

We consider a stochastic control problem where the set of strict (classical) controls is not necessarily convex and the the variable control has two components, the first being absolutely continuous and the second singular. The system is…

We analyze an optimal control problem for systems of integral equations of Volterra type with two independent variables. These systems generalize both, the hyperbolic control problems for systems of Goursat-Darboux type, and the optimal…

In this study, we consider an optimal control problem driven by a stochastic differential system with a stopping time terminal cost functional. We establish the stochastic maximum principle for this new kind of an optimal control problem by…

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…

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…

This paper is concerned with the maximum principle of stochastic optimal control problems, where the coefficients of the state equation and the cost functional are uncertain, and the system is generally under Markovian regime switching.…

In this study, we consider an optimal control problem driven by a stochastic differential equation with state constraints. Here, the state constraints mean the constraints about the path of state. In order to show the maximum principe for…

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…

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…

A general and new stochastic linear quadratic optimal control problem is studied, where the coefficients are allowed to be time-varying, and both state delay and control delay can appear simultaneously in the state equation and the cost…