Related papers: Second order necessary conditions for quantum stoc…
In this paper, we derive first-order Pontryagin optimality conditions for risk-averse stochastic optimal control problems subject to final time inequality constraints, and whose costs are general, possibly non-smooth finite coherent risk…
The paper puts forward sufficient conditions for local controllability of a control dynamical system. The results obtained are meaningful in the case when the linear approximation to this system is not completely controllable. As a…
This article is concerned with stochastic control problems for backward doubly stochastic differential equations of mean-field type, where the coefficient functions depend on the joint distribution of the state process and the control…
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…
The aim of this work is to study, from an intrinsic and geometric point of view, second-order constrained variational problems on Lie algebroids, that is, optimization problems defined by a cost functional which depends on higher-order…
In this paper, we establish a general stochastic maximum principle for optimal control for systems described by a continuous-time Markov regime-switching stochastic recursive utilities model. The control domain is postulated not to be…
Optimal quantum control of continuous variable systems poses a formidable computational challenge because of the high-dimensional character of the system dynamics. The framework of quantum invariants can significantly reduce the complexity…
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…
We obtain a maximum principle for stochastic control problem of general controlled stochastic differential systems driven by fractional Brownian motions (of Hurst parameter $H>1/2$). This maximum principle specifies a system of equations…
We study the problem of optimally managing an inventory with unknown demand trend. Our formulation leads to a stochastic control problem under partial observation, in which a Brownian motion with non-observable drift can be singularly…
In this article, we present a general methodology for control problems driven by the Brownian motion filtration including non-Markovian and non-semimartingale state processes controlled by mutually singular measures. The main result of this…
We study the singular stochastic optimal control problem with model uncertainty, where the necessary conditions determined by the corresponding maximum principle are trivial. Robust integral form and pointwise second order necessary…
In this research paper, we examine an optimal control problem involving a dynamical system governed by a nonlinear Caputo fractional time-delay state equation. The primary objective of this study is to obtain the necessary conditions for…
This paper deals with optimal control problems of integral equations, with initial-final and running state constraints. The order of a running state constraint is defined in the setting of integral dynamics, and we work here with…
In this paper we prove a necessary condition of the optimal control problem for a class of general mean-field forward-backward stochastic systems with jumps in the case where the diffusion coefficients depend on control, the control set…
We consider a class of optimal control problems, with finite or infinite horizon, for a continuous-time Markov chain with finite state space. In this case, the control process affects the transition rates. We suppose that the controlled…
This paper develops a comprehensive extension of the $\Lambda$-set framework for optimal control, introducing second-order $\Lambda$-sets and generalizing the theory to non-smooth, hybrid, and stochastic hybrid systems. We first establish…
Optimal control theory deals with finding protocols to steer a system between assigned initial and final states, such that a trajectory-dependent cost function is minimized. The application of optimal control to stochastic systems is an…
The goal of this paper is to solve a class of stochastic optimal control problems numerically, in which the state process is governed by an It\^o type stochastic differential equation with control process entering both in the drift and the…
We consider optimal control problems for systems governed by mean-field stochastic differential equations, where the control enters both the drift and the diffusion coefficient. We study the relaxed model, in which admissible controls are…