Related papers: Stochastic maximum principle for weighted mean-fie…
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…
We prove a sufficient stochastic maximum principle for the optimal control of a regime-switching diffusion model. We show the connection to dynamic programming and we apply the result to a quadratic loss minimization problem, which can be…
In this paper, we study optimal stochastic control problems for stochastic systems driven by non-Markov sub-diffusion $B_{L_t}$, which have the mixed features of deterministic and stochastic controls. Here $B_t$ is the standard Brownian…
In this paper, we study the maximum principle of mean field type control problems when the volatility function depends on the state and its measure and also the control, by using our recently developed method. Our method is to embed the…
The classical maximum principle for optimal stochastic control states that if a control $\hat{u}$ is optimal, then the corresponding Hamiltonian has a maximum at $u=\hat{u}$. The first proofs for this result assumed that the control did not…
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…
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…
In this paper, we study the generalized mean-field stochastic control problem when the usual stochastic maximum principle (SMP) is not applicable due to the singularity of the Hamiltonian function. In this case, we derive a second order…
In this paper, we examine a stochastic linear-quadratic control problem characterized by regime switching and Poisson jumps. All the coefficients in the problem are random processes adapted to the filtration generated by Brownian motion and…
This paper considers linear-quadratic (LQ) stochastic leader-follower Stackelberg differential games for jump-diffusion systems with random coefficients. We first solve the LQ problem of the follower using the stochastic maximum principle…
We consider a couple of integrodifferential PDEs arising from a stochastic Markovian control problem subjected to initial-terminal conditions. These equations correspond to the MFG system for a controlled jump-diffusion process. We prove…
This paper is concerned with a discounted stochastic optimal control problem for regime switching diffusion in an infinite horizon. First, as a preliminary with particular interests in its own right, the global well-posedness of infinite…
This paper considers the stochastic linear quadratic optimal control problem in which the control domain is nonconvex. By the functional analysis and convex perturbation methods, we establish a novel maximum principle. The application of…
We study stochastic particle systems on a complete graph and derive effective mean-field rate equations in the limit of diverging system size, which are also known from cluster aggregation models. We establish the propagation of chaos under…
This paper studies a stochastic mean-field linear-quadratic optimal control problem with random coefficients. The state equation is a general linear stochastic differential equation with mean-field terms $\EE X(t)$ and $\EE u(t)$ of the…
We extend Peng's maximum principle to the case of stochastic delay differential equations of mean-field type. More precisely, the coefficients of our control problem depend on the state, on the past trajectory and on its expected value.…
We study a regulation problem for stochastic systems subject to both continuous fluctuations and rare but significant shocks, modeled as a jump-diffusion with uncertainty in both the drift and the jump intensity. Such settings arise in…
We consider a stochastic process driven by a diffusion and jumps. We devise a technique, which is based on a discrete record of observations, for identifying the times when jumps larger than a suitably defined threshold occurred. The…
The mean-field control problem for a multi-dimensional diffusion-aggregation system with Coulomb interaction (the so called parabolic elliptic Keller-Segel system) is considered. The existence of optimal control is proved through the…
The purpose of this paper is to explore the necessary conditions for optimality of mean-field forward-backward delay control systems. A new estimate is proved, which is a powerfultool to deal with the optimal control problems of mean-field…