Related papers: Seierstad Sufficient Conditions for Stochastic Opt…
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…
This paper is concerned with a time-inconsistent recursive stochastic control problems where the forward state process is constrained through an additional recursive utility system. By adapting the Ekeland variational principle, necessary…
The necessary conditions for an optimal control of a stochastic control problem with recursive utilities is investigated. The first order condition is the the well-known Pontryagin type maximum principle. When the optimal control satisfying…
In this paper, we consider stochastic optimal control of systems driven by stochastic differential equations with irregular drift coefficient. We establish a necessary and sufficient stochastic maximum principle. To achieve this, we first…
In this paper, we consider how to construct the optimal solutions for a general discrete time infinite horizon optimal control problem. We establish necessary and sufficient conditions for optimality in the sense of a modified optimality…
This paper investigates the norm and time optimal control problems for stochastic heat equations. We begin by presenting a characterization of the norm optimal control, followed by a discussion of its properties. We then explore the…
This paper is concerned with the existence of optimal controls for backward stochastic partial differential equations with random coefficients, in which the control systems are represented in an abstract evolution form, i.e. backward…
In this paper we prove a version of the maximum principle, in the sense of Pontryagin, for the optimal control of a finite dimensional stochastic differential equation, driven by a multidimensional Wiener process. We drop the usual…
We study an optimal control problem on infinite horizon for a controlled stochastic differential equation driven by Brownian motion, with a discounted reward functional. The equation may have memory or delay effects in the coefficients,…
Hu et. al 2018 studied a stochastic optimal control problem for fully coupled forward-backward stochastic control systems with a nonempty control domain. By assuming a weakly coupled condition, they established an approach to obtain the…
We investigate necessary conditions of optimality for the Bolza-type infinite horizon problem with free right end. The optimality is understood in the sense of weakly uniformly overtaking optimal control. No previous knowledge in the…
We investigate a stochastic optimal control problem where the controlled system is depicted as a stochastic differential delayed equation; however, at the terminal time, the state is constrained in a convex set. We firstly introduce an…
We analyze the problem of stochastic optimal control of SDEs where the driver includes a self-exciting stochastic process. Due to the non-Markovian nature of the problem, we apply the stochastic maximum principle approach. We derive a…
In this article we derive a strong version of the Pontryagin Maximum Principle for general nonlinear optimal control problems on time scales in finite dimension. The final time can be fixed or not, and in the case of general boundary…
This paper is concerned with the stochastic recursive optimal control problem with mixed delay. The connection between Pontryagin's maximum principle and Bellman's dynamic programming principle is discussed. Without containing any…
The aim of the paper is to study an optimal control problem on infinite horizon for an infinite dimensional integro-differential equation with completely monotone kernelskernels, where we assume that the noise enters the system when we…
We propose a machine learning algorithm for solving finite-horizon stochastic control problems based on a deep neural network representation of the optimal policy functions. The algorithm has three features: (1) It can solve…
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…
In this work, we study the bilinear optimal stabilization of a non-homogeneous Fokker-Planck equation. We first study the problem of optimal control in a finite-time interval and then focus on the case of the infinite time horizon. We…
We consider a stochastic control problem where the set of strict (classical) controls is not necessarily convex, and the system is governed by a nonlinear backward stochastic differential equation. By introducing a new approach, we…