Related papers: Seierstad Sufficient Conditions for Stochastic Opt…
It has been recently established that a deterministic infinite horizon discounted optimal control problem in discrete time is closely related to a certain infinite dimensional linear programming problem and its dual. In the present paper,…
This paper investigates the necessary optimality conditions for uniformly overtaking optimal control on infinite horizon in the free end case. %with free right endpoint. In the papers of S.M.Aseev, A.V.Kryazhimskii, V.M.Veliov, K.O.Besov…
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 linear control system with quadratic cost functional over infinite time horizon is considered without assuming controllability/stabilizability condition and the global integrability condition for the nonhomogeneous term of the state…
We consider a continuous time stochastic optimal control problem under both equality and inequality constraints on the expectation of some functionals of the controlled process. Under a qualification condition, we show that the problem is…
New form of sufficient optimality condition is obtained in comparison with the Mangasarian sufficiency theorem. Both finite and infinite values of objective functional are allowed since concepts of overtaking and weakly overtaking…
We study a class of optimal control problems governed by nonlinear stochastic equations of monotone type under certain coercivity and linear growth conditions. We give first order necessary conditions of optimality. A stochastic Pontryagin…
In this paper we prove necessary conditions for optimality of a stochastic control problem for a class of stochastic partial differential equations that is controlled through the boundary. This kind of problems can be interpreted as a…
We consider an optimal control problem for infinite horizon systems governed by coupled forward-backward stochastic Volterra integral equations with delay. Using Hida-Malliavin calculus, we prove both sufficient and necessary maximum…
The aim of this paper is to derive a maximum principle for a control problem governed by a stochastic partial differential equation (SPDE) with locally monotone coefficients. In particular, necessary conditions for optimality for this…
This paper investigates optimal control problems for delayed systems governed by Infinitely Anticipated Backward Stochastic Differential Equations (IABSDEs). Unlike existing frameworks limited to bounded delays, we introduce a generalized…
This paper studies the optimal control problems of stochastic evolution equations with infinite delay of general functional type. By introducing a non-anticipative path derivative and its infinite-window dual operator, we derive the…
In this paper, we investigate dynamic optimization problems featuring both stochastic control and optimal stopping in a finite time horizon. The paper aims to develop new methodologies, which are significantly different from those of mixed…
This paper studies multiobjective optimal control problems in the continuous-time framework when the space of states and the space of controls are infinite-dimensional and with lighter smoothness assumptions than the usual ones. The paper…
We prove a general existence result in stochastic optimal control in discrete time where controls take values in conditional metric spaces, and depend on the current state and the information of past decisions through the evolution of a…
The purpose of this paper is to establish the first and second order necessary conditions for stochastic optimal controls in infinite dimensions. The control system is governed by a stochastic evolution equation, in which both drift and…
From economics point of view, we investigate a new optimal control problem driven by a stochastic differential equation with a multi-time states cost functional. By constructing a series of first-order adjoint equations, we establish the…
We consider a class of closed loop stochastic optimal control problems in finite time horizon, in which the cost is an expectation conditional on the event that the process has not exited a given bounded domain. An important difficulty is…
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…
In this paper, we study the optimal control problem of a controlled time-symmetric forward-backward doubly stochastic differential equation with initial-terminal sate constraints. Applying the terminal perturbation method and Ekeland's…