Related papers: Stochastic maximum principle for weighted mean-fie…
This paper establishes a stochastic maximum principle for optimal control problems governed by time-changed forward-backward stochastic differential equations with L\'evy noise. The system incorporates a random, non-decreasing operational…
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.…
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…
We develop an approach for two player constraint zero-sum and nonzero-sum stochastic differential games, which are modeled by Markov regime-switching jump-diffusion processes. We provide the relations between a usual stochastic optimal…
In this paper, we consider stochastic optimal control of Markov Jump Linear Systems with state feedback but without observation of the jumping parameter. The proposed control law is assumed to be linear with constant gains that can be…
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…
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 is devoted the the study of the mean field limit for many-particle systems undergoing jump, drift or diffusion processes, as well as combinations of them. The main results are quantitative estimates on the decay of fluctuations…
This paper develops a unified methodology for probabilistic analysis and optimal control design for jump diffusion processes defined by polynomials. For such systems, the evolution of the moments of the state can be described via a system…
For algorithms based on interacting particle systems that admit a mean-field description, convergence analysis is often more accessible at the mean-field level. In order to transfer convergence results obtained at the mean-field level to…
In this paper, an open problem is solved, for the stochastic optimal control problem with delay where the control domain is nonconvex and the diffusion term contains both control and its delayed term. Inspired by previous results by \O…
In this paper, we first give the existence and uniqueness theorems for generalized mean-filed delay stochastic differential equations (GMFDSDEs) and mean-field anticipated backward stochastic differential equations (MFABSDEs). Then we study…
We prove a version of the maximum principle, in the sense of Pontryagin, for the optimal control of a stochastic partial differential equation driven by a finite dimensional Wiener process. The equation is formulated in a semi-abstract form…
We derive Wasserstein distance bounds between the probability distributions of a stochastic integral (It\^o) process with jumps $(X_t)_{t\in [0,T]}$ and a jump-diffusion process $(X^\ast_t)_{t\in [0,T]}$. Our bounds are expressed using the…
This paper studies finite-horizon stochastic linear-quadratic optimal control problems with random coefficients and Poisson jumps, where the weighting matrices may be random and indefinite. Under a uniform convexity condition on the cost…
A mean-field selective optimal control problem of multipopulation dynamics via transient leadership is considered. The agents in the system are described by their spatial position and their probability of belonging to a certain population.…
We study optimal stochastic control problems of general coupled systems of forward-backward stochastic differential equations with jumps. By means of the It\^o-Ventzell formula the system is transformed to a controlled backward stochastic…
We show how a stochastic version of the Lagrange multiplier method can be combined with the stochastic maximum principle for jump diffusions to solve certain constrained stochastic optimal control problems. Two different terminal…
This work examines a class of switching jump diffusion processes. The main effort is devoted to proving the maximum principle and obtaining the Harnack inequalities. Compared with the diffusions and switching diffusions, the associated…
In this paper, we investigate an optimal control problem for McKean-Vlasov stochastic partial differential equations, in which the coefficients depend on the law of the state process. For systems with nonconvex control sets, we establish a…