Related papers: A global stochastic maximum principle for delayed …
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…
A general maximum principle is proved for optimal controls of abstract semilinear stochastic evolution equations. The control variable, as well as linear unbounded operators, acts in both drift and diffusion terms, and the control set need…
We consider in this paper, mixed relaxed-singular stochastic control problems, where the control variable has two components, the first being measure-valued and the second singular. The control domain is not necessarily convex and the…
This work establishes two versions of the Pontryagin-type maximum principles for partially observed optimal control of coupled forward stochastic partial differential equations (FSPDEs) and backward stochastic differential equations (BSDEs)…
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…
In this paper, we consider the stochastic optimal control problem for the interacting particle system. We obtain the stochastic maximum principle of the optimal control system by introducing a generalized backward stochastic differential…
We consider the optimal control problem of stochastic evolution equations in a Hilbert space under a recursive utility, which is described as the solution of a backward stochastic differential equation (BSDE). A very general maximum…
We consider a control problem constrained by the unsteady stochastic Stokes equations with nonhomogeneous boundary conditions in connected and bounded domains. In this paper, controls are defined inside the domain as well as on the…
In this paper we study optimal advertising problems that models the introduction of a new product into the market in the presence of carryover effects of the advertisement and with memory effects in the level of goodwill. In particular, we…
We study the optimal control problem for a weighted mean-field system. A new feature of the control problem is that the coefficients depend on the state process as well as its weighted measure and the control variable. By applying…
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…
This work establishes a general stochastic maximum principle for partially observed optimal control of semi-linear stochastic partial differential equations in a nonconvex control domain. The state evolves in a Hilbert space driven by a…
This paper is concerned with the partial information optimal control problem of mean-field type under partial observation, where the system is given by a controlled mean-field forward-backward stochastic differential equation with…
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…
A necessary maximum principle is proved for optimal controls of stochastic systems driven by multidimensional Teugel's martingales. The multidimensional Teugel's martingales are constructed by orthogonalizing the multidimensional L\'{e}vy…
We shall consider a stochastic maximum principle of optimal control for a control problem associated with a stochastic partial differential equations of the following type: d x(t) = (A(t) x(t) + a (t, u(t)) x(t) + b(t, u(t)) dt +…
We develop a necessary stochastic maximum principle for a finite-dimensional stochastic control problem in infinite horizon under a polynomial growth and joint monotonicity assumption on the coefficients. The second assumption generalizes…
This paper is concerned with a constrained stochastic linear-quadratic optimal control problem, in which the terminal state is fixed and the initial state is constrained to lie in a stochastic linear manifold. The controllability of…
This paper investigates the near optimal control for a kind of linear stochastic control systems governed by the forward backward stochastic differential equations, where both the drift and diffusion terms are allowed to depend on controls…
This paper focuses on finding approximate solutions to stochastic optimal control problems with control domains being not necessarily convex, where the state trajectory is subject to controlled stochastic differential equations. The…