Related papers: Stochastic maximum principle for optimal control p…
In this paper we consider the maximum principle of optimal control for a stochastic control problem. This problem is governed by a system of fully coupled multi-dimensional forward-backward doubly stochastic differential equation with…
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…
In this paper, we establish some second order necessary/sufficient optimality conditions for optimal control problems of stochastic evolution equations in infinite dimensions. The control acts on both the drift and diffusion terms and the…
The objective of this paper is to weaken the Lipschitz condition to a monotonicity condition and to study the corresponding Pontryagin stochastic maximum principle (SMP) for a mean-field optimal control problem under monotonicity…
We obtain the first probabilistic proof of continuous differentiability of time-dependent optimal boundaries in optimal stopping problems. The underlying stochastic dynamics is a one-dimensional, time-inhomogeneous diffusion. The gain…
We study high-dimensional stochastic optimal control problems in which many agents cooperate to minimize a convex cost functional. We consider both the full-information problem, in which each agent observes the states of all other agents,…
We study a stochastic recursive optimal control problem in which the cost functional is described by the solution of a backward stochastic differential equation driven by G-Brownian motion. Some of the economic and financial optimization…
In this paper we are interested in a new type of {\it mean-field}, non-Markovian stochastic control problems with partial observations. More precisely, we assume that the coefficients of the controlled dynamics depend not only on the paths…
Solving optimal control problems to determine a stabilizing controller involves a significant computational effort. Time-varying optimal control provides a remedy by designing a tracking system, given as an ordinary differential equation,…
We introduce a new optimal control problem where the controlled dynamical system depends on multi-order (incommensurate) fractional differential equations. The cost functional to be maximized is of Bolza type and depends on incommensurate…
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…
We consider stochastic optimal control of linear dynamical systems with additive non-Gaussian disturbance. We propose a novel, sampling-free approach, based on Fourier transformations and convex optimization, to cast the stochastic optimal…
In this paper, we study the optimal control problem for steering the state covariance of a discrete-time linear stochastic system over a finite time horizon. First, we establish the existence and uniqueness of the optimal control law for a…
This paper focuses on optimal control problem for a class of discrete-time nonlinear systems. In practical applications, computation time is a crucial consideration when solving nonlinear optimal control problems, especially under real-time…
Temporal point processes have been widely applied to model event sequence data generated by online users. In this paper, we consider the problem of how to design the optimal control policy for point processes, such that the stochastic…
We study a continuous time stochastic optimal control problem under partial observations that are available only at discrete time instants. This hybrid setting, with continuous dynamics and intermittent noisy measurements, arises in…
We prove a version of the stochastic maximum principle, in the sense of Pontryagin, for the finite horizon optimal control of a stochastic partial differential equation driven by an infinite dimensional additive noise. In particular we…
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 covariance control problems for nonlinear stochastic systems. Our objective is to find an optimal control strategy to steer the state from an initial distribution to a terminal one with specified mean and covariance. This…
This paper deals with a stochastic recursive optimal control problem, where the diffusion coefficient depends on the control variable and the control domain is not necessarily convex. We focus on the connection between the general maximum…