Related papers: Stochastic Maximum Principle for a generalized Vol…
In this paper, we consider the optimal control problem for a class of evolution inclusions with Volterra type operators, which can be history-dependent. We establish the existence of a solution to the stated optimal control problem under…
In this paper, we study the optimal control of a discrete-time stochastic differential equation (SDE) of mean-field type, where the coefficients can depend on both a function of the law and the state of the process. We establish a new…
In this paper we prove a necessary condition of the optimal control problem for a class of general mean-field forward-backward stochastic systems with jumps in the case where the diffusion coefficients depend on control, the control set…
In this paper, we consider a varying terminal time structure for the stochastic optimal control problem under state constraints, in which the terminal time varies with the mean value of the state. In this new stochastic optimal control…
This paper investigates an optimal control problem where the system is described by a stochastic differential equation with extended mixed delays that contain point delay, extended distributed delay, and extended noisy memory. The model is…
In this article, we explore two distinct issues. Initially, we examine the utilization of the Pontriagin maximum principle in relation to fractional delay differential equations. Additionally, we discuss the optimal approach for solving the…
For a class of stochastic delay evolution equations driven by cylindrical $Q$-Wiener process, we study the Pontryagin's maximum principle for the stochastic recursive optimal control problem. The delays are given as moving averages with…
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…
In this paper, the optimal control problem of neutral stochastic functional differential equation (NSFDE) is discussed. A class of so-called neutral backward stochastic functional equations of Volterra type (VNBSFEs) are introduced as the…
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…
We consider the control problem of the stochastic Navier-Stokes equations in multidimensional domains introduced in \cite{ocpc} restricted to noise terms defined by Q-Wiener processes. Using a stochastic maximum principle, we derive a…
We consider a stochastic control problem which is composed of a controlled stochastic differential equation, and whose associated cost functional is defined through a controlled backward stochastic differential equation. Under appropriate…
IIn this paper, we study a partially observed progressive optimal control problem of forward-backward stochastic differential equations with random jumps, where the control domain is not necessarily convex, and the control variable enter…
We study the Pontryagin maximum principle by deriving necessary and sufficient conditions for a class of optimal control problems arising in non exchangeable mean field systems, where agents interact through heterogeneous and asymmetric…
This paper is concerned with a discounted optimal control problem of partially observed forward-backward stochastic systems with jumps on infinite horizon. The control domain is convex and a kind of infinite horizon observation equation is…
In this paper, we consider stochastic optimal control of systems driven by stochastic differential equations with irregular drift coefficient. We establish a necessary and sufficient stochastic maximum principle. To achieve this, we first…
This paper is concerned with a class of controlled singular Volterra integral equations, which could be used to describe problems involving memories. The well-known fractional order ordinary differential equations of the Riemann--Liouville…
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…
We consider optimal control problems for systems governed by mean-field stochastic differential equations, where the control enters both the drift and the diffusion coefficient. We study the relaxed model, in which admissible controls are…
We present and analyze a new method for solving optimal control problems for Volterra integral equations, based on approximating the controlled Volterra integral equations by a sequence of systems of controlled ordinary differential…