Related papers: A global stochastic maximum principle for delayed …
This paper provides necessary conditions of optimality for optimal control problems with time delays in both state and control variables. Different versions of the necessary conditions cover fixed end-time problems and, under additional…
In this paper we study strongly robust optimal control problems under volatility uncertainty. In the $G$-framework we adapt the stochastic maximum principle to find necessary and sufficient conditions for the existence of a strongly robust…
This paper is devoted to an optimal control problem of fully coupled forward-backward stochastic differential equations driven by sub-diffusion, whose solutions are not Markov processes. The stochastic maximum principle is obtained, where…
The purpose of this paper is to derive some pointwise second-order necessary conditions for stochastic optimal controls in the general case that the control variable enters into both the drift and the diffusion terms. When the control…
In the present paper we derive, via a backward induction technique, and ad hoc maximum principle for an optimal control problem with multiple random terminal times. Therefore we apply the aforementioned result to the case of a linear…
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 study, we propose a varying terminal time structure for the optimal control problem under state constraints, in which the terminal time follows the varying of the control via the constrained condition. Focusing on this new optimal…
In this paper, we prove the necessary and sufficient maximum principles (NSMPs in short) for the optimal control of systems described by a quasilinear stochastic heat equation within convex control domains, which all the coefficients…
The main purpose of this paper is to give a solution to a long-standing unsolved problem in stochastic control theory, i.e., to establish the Pontryagin-type maximum principle for optimal controls of general infinite dimensional nonlinear…
We study singular stochastic control of a two dimensional stochastic differential equation, where the first component is linear with random and unbounded coefficients. We derive existence of an optimal relaxed control and necessary…
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…
In this paper, we investigate the optimal control problems for stochastic differential equations (SDEs in short) of mean-field type with jump processes. The control variable is allowed to enter into both diffusion and jump terms. This…
This paper firstly presents the necessary and sufficient conditions for a kind of discrete-time robust stochastic optimal control problem with convex control domains. As it is an "inf sup problem", the classical variational method is…
This paper investigates an optimal control problem where the system is described by a stochastic differential equation with extended mixed delays that contain point delay, extended distributed delay, and extended noisy memory. The model is…
We consider policy gradient methods for stochastic optimal control problem in continuous time. In particular, we analyze the gradient flow for the control, viewed as a continuous time limit of the policy gradient method. We prove the global…
Here we derive a nonsmooth maximum principle for optimal control problems with both state and mixed constraints. Crucial to our development is a convexity assumption on the "velocity set". The approach consists of applying known…
In this paper, we investigate the controlled system described by forward-backward stochastic differential equations with the control contained in drift, diffusion and generator of BSDE. A new verification theorem is derived within the…
This paper is concerned with a partially observed hybrid optimal control problem, where continuous dynamics and discrete events coexist and in particular, the continuous dynamics can be observed while the discrete events, described by a…
We study a stochastic control problem for nonlinear systems governed by stochastic differential equations with irregular drift. The drift coefficient is assumed to decompose as $b(t,x,a)=b_1(t,x)+b_2(x)b_3(t,a)$, where $b_1$ is bounded and…
In this paper we study stochastic control problems with delayed information, that is, the control at time $t$ can depend only on the information observed before time $t-H$ for some delay parameter $H$. Such delay occurs frequently in…