Related papers: Maximum principle for SPDEs and its applications
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 a stochastic control problem, where the control domain is convex and the system is governed by a nonlinear backward stochastic differential equation. With a L1 terminal data, we derive necessary optimality conditions in the form…
This paper examines the stochastic maximum principle (SMP) for a forward-backward stochastic control system where the backward state equation is characterized by the backward stochastic differential equation (BSDE) with quadratic growth and…
We establish an explicit maximum principle for the Dirichlet problem associated with the $p$-Laplacian ($p>1$), where the constant depends on both $p$ and the geometry of the domain. From this result we derive two main applications. First,…
The convergence of stochastic interacting particle systems in the mean-field limit to solutions of conservative stochastic partial differential equations is established, with optimal rate of convergence. As a second main result, a…
We establish the large deviation principle for solutions of one-dimensional SDEs with discontinuous coefficients. The main statement is formulated in a form similar to the classical Wentzel--Freidlin theorem, but under the considerably…
A refined version of the strong maximum principle is proven for a class of second order ordinary differential equations with possibly discontinuous non-monotone nonlinearities. Then, exploiting this tool, some optimal regularity results…
We introduce a notion of subunit vector field for fully nonlinear degenerate elliptic equations. We prove that an interior maximum of a viscosity subsolution of such an equation propagates along the trajectories of subunit vector fields.…
We prove a version of the stochastic maximum principle, in the sense of Pontryagin, for the finite horizon optimal control of a stochastic partial differential equation driven by an infinite dimensional additive noise. In particular we…
In this paper, we study the maximum principle for stochastic optimal control problems of forward-backward stochastic difference systems (FBS{\Delta}Ss). Two types of FBS{\Delta}Ss are investigated. The first one is described by a partially…
We study the validity of the comparison and maximum principles, and their relation with principal eigenvalues, for a class of degenerate nonlinear operators that are extremal among operators with one dimensional fractional diffusion.
Berge's maximum theorem gives conditions ensuring the continuity of an optimised function as a parameter changes. In this paper we state and prove the maximum theorem in terms of the theory of monoidal topology and the theory of double…
A coordinate-free proof of the Maximum Principle is provided in the specific case of an optimal control problem with fixed time. Our treatment heavily relies on a special notion of variation of curves that consist of a concatenation of…
A general stochastic maximum principle is proved for optimal controls of semilinear stochastic evolution equations. Stochastic evolution operators, and the control with values in a general set enter into both drift and diffusion terms.
We apply the Principle of Maximum Entropy to the study of a general class of deterministic fractal sets. The scaling laws peculiar to these objects are accounted for by means of a constraint concerning the average content of information in…
The article is devoted to the problem of applying the maximum principle for finding optimal control parameters in simulation tasks of interest for a variety of engineering and industrial systems and processes. Especially important is the…
In this paper, a maximum principle for the one-dimensional sub-diffusion equation with Atangana-Baleanu fractional derivative is formulated and proved. The proof of the maximum principle is based on an extremum principle for the…
We use an iteration procedure propped up by a a classical form of the maximum principle to show the existence of solutions to a nonlinear Poisson equation with Dirichlet boundary conditions. These methods can be applied to the case of…
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…
We prove the validity of maximum principles for a class of fully nonlinear operators on unbounded subdomains $\Omega \subset \mathbb R^n$ of cylindrical type. The main structural assumption is the uniform ellipticity of the operator along…