Related papers: Maximum principle for optimal control of interacti…
An optimal control problem driven by an ordinary differential equation under continuous state constraints is considered in this study. From an operational point of view, we introduce a discrete state constraints optimal control problem and…
In this paper, we study an optimal control problem of linear backward stochastic differential equation (BSDE) with quadratic cost functional under partial information. This problem is solved completely and explicitly by using a stochastic…
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 formulate and solve an optimal problem for Stochastic process with a regime absorbing state. The solution for this problem is obtained through a system of partial differential equations. The method is applied to obtain an…
This paper develops a comprehensive framework for optimal control of systems governed by fractional backward stochastic evolution equations (FBSEEs) in Hilbert spaces. We first establish a stochastic maximum principle (SMP) as a necessary…
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…
Controlling large particle systems in collective dynamics by a few agents is a subject of high practical importance, e.g., in evacuation dynamics. In this paper we study an instantaneous control approach to steer an interacting particle…
Living systems often function with regulatory interactions, but the question of how activity, stochasticity and regulations work together for achieving different goals still remains puzzling. We propose a stochastic model of an active…
A particle filter is introduced to numerically approximate a solution of the global optimization problem. The theoretical significance of this work comes from its variational aspects: (i) the proposed particle filter is a controlled…
We study a stochastic control problem for nonlinear systems governed by stochastic differential equations with irregular drift. The drift coefficient is assumed to decompose as $b(t,x,a)=b_1(t,x)+b_2(x)b_3(t,a)$, where $b_1$ is bounded 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…
A stochastic procedure is developed which allows one to express Pontryagin's maximum principle for dissipative quantum system solely in terms of stochastic wave functions. Time-optimal controls can be efficiently computed without computing…
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…
This paper consists of a detailed and novel stochastic optimal control analysis of a coupled non-linear dynamical system. The state equations are modeled as additional food provided prey-predator system with Holling Type-III functional…
This paper obtains the maximum principle for both stochastic (global) open-loop and stochastic (global) closed-loop Stackelberg differential games. For the closed-loop case, we use the theory of controlled forward-backward stochastic…
We review recent progress in optimal control in stochastic thermodynamics. Theoretical advances provide in-depth insight into minimum-dissipation control with either full or limited (parametric) control, and spanning the limits from slow to…
This paper investigates the optimal control problem for a class of nonlinear fully coupled forward-backward stochastic difference equations (FBS$\Delta$Es). Under the convexity assumption of the control domain, we establish a variational…
We study the optimal control problem for a weighted mean-field system. A new feature of the control problem is that the coefficients depend on the state process as well as its weighted measure and the control variable. By applying…
This paper presents three versions of maximum principle for a stochastic optimal control problem of Markov regime-switching forward-backward stochastic differential equations with jumps (FBSDEJs). A general sufficient maximum principle for…
We give the solution to the minimum-energy control problem for linear stochastic systems. The problem is as follows: given an exactly controllable system, find the control process with the minimum expected energy that transfers the system…