Related papers: Optimal Control of Volterra Equations with Impulse…
In this paper we consider some optimal control problems governed by elliptic partial differential equations. The solution is the state variable, while the control variable is, depending on the case, the coefficient of the PDE, the…
We consider control systems governed by nonlinear O.D.E.'s that are affine in the time-derivative du/dt of the control u. The latter is allowed to be an integrable, possibly of unbounded variation function, which gives the system an…
We study the minimum energy null-controllability problem for differential equations with point-wise delays. For the equations of both neutral and retarded type we reduce the problem of finding the optimal control to a Volterra integral…
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 +…
This paper deals with optimal combined singular and regular controls for stochastic Volterra integral equations, where the solution X^{u,\xi}(t)=X(t) is given by X(t) =\phi(t)+\int_{0}^{t}}b(t,s,X(s),u(s))…
In this article we study control problems with systems that are governed by ordinary differential equations whose vector fields depend linearly in the time derivatives of some components of the control. The remaining components are…
Motivated by a problem of optimal harvesting of natural resources, we study a control problem for Volterra type dynamics driven by time-changed L\'evy noises, which are in general not Markovian. To exploit the nature of the noise, we make…
We consider a stochastic control problem where the set of controls is not necessarily convex and the system is governed by a nonlinear backward stochastic differential equation. We establish necessary as well as sufficient conditions of…
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…
We discuss the problem of optimal impulse control representing the preventive maintenance of a simple reparable system. The system model is governed by coupled transport and integro-differential equations in a nonreflexive Banach space. The…
This paper establishes a verification theorem for impulse control problems involving conditional McKean-Vlasov jump diffusions. We obtain a Markovian system by combining the state equation of the problem with the stochastic Fokker-Planck…
We study optimality conditions for various types of control problems like the standard optimal control problem, optimal multiprocesses, problems with infinite horizon or the control of Volterra integral equations. To derive necessary…
We study a stochastic differential game between two players, controlling a forward stochastic Volterra integral equation (FSVIE). Each player has to optimize his own performance functional which includes a backward stochastic differential…
We consider impulse control problems in finite horizon for diffusions with decision lag and execution delay. The new feature is that our general framework deals with the important case when several consecutive orders may be decided before…
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…
We present a Pontryagin maximum principle for discrete time optimal control problems with (a) pointwise constraints on the control actions and the states, (b) frequency constraints on the control and the state trajectories, and (c)…
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…
The main purpose of this paper is to establish the first and second order necessary optimality conditions for stochastic optimal controls using the classical variational analysis approach. The control system is governed by a stochastic…
This paper addresses a new class of generalized Bolza problems governed by nonconvex integro-differential inclusions with endpoint constraints on trajectories, where the integral terms are given in the general (with time-dependent…
We provide sufficient conditions that guarantee the existence of relaxed optimal controls in the weak formulation of stochastic control problems for stochastic Volterra equations (SVEs). Our study can be applied to rough processes that…