相关论文: On Necessary and Sufficient Conditions for Near-Op…
In this paper, we consider stochastic optimal control of systems driven by stochastic differential equations with irregular drift coefficient. We establish a necessary and sufficient stochastic maximum principle. To achieve this, we first…
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…
We consider a stochastic control problem where the set of strict (classical) controls is not necessarily convex and the the variable control has two components, the first being absolutely continuous and the second singular. The system is…
A general maximum principle (necessary and sufficient conditions) for an optimal control problem governed by a stochastic differential equation driven by an infinite dimensional martingale is established. The solution of this equation takes…
The aim of this paper is to derive a maximum principle for a control problem governed by a stochastic partial differential equation (SPDE) with locally monotone coefficients. In particular, necessary conditions for optimality for this…
This paper first makes an attempt to investigate the partial information near optimal control of systems governed by forward-backward stochastic differential equations with observation noise under the assumption of a convex control domain.…
In this paper, we study two kinds of singular optimal controls (SOCs for short) problems where the systems governed by forward-backward stochastic differential equations (FBSDEs for short), in which the control has two components: the…
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…
In this paper, we study the optimal control problem of a controlled time-symmetric forward-backward doubly stochastic differential equation with initial-terminal sate constraints. Applying the terminal perturbation method and Ekeland's…
In this paper, we study the optimal control system driven by stochastic differential equations (SDEs) of mean-field type, in which the control variable has two components, the first being absolutely continuous and the second singular. On…
In this paper we prove necessary conditions for optimality of a stochastic control problem for a class of stochastic partial differential equations that is controlled through the boundary. This kind of problems can be interpreted as a…
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 analyze the problem of stochastic optimal control of SDEs where the driver includes a self-exciting stochastic process. Due to the non-Markovian nature of the problem, we apply the stochastic maximum principle approach. We derive a…
We investigate a stochastic optimal control problem where the controlled system is depicted as a stochastic differential delayed equation; however, at the terminal time, the state is constrained in a convex set. We firstly introduce an…
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…
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…
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…
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…
This paper is concerned with providing the maximum principle for a control problem governed by a stochastic evolution system on a separable Hilbert space. In particular, necessary conditions for optimality for this stochastic optimal…
In this note, we give the stochastic maximum principle for optimal control of stochastic PDEs in the general case (when the control domain need not be convex and the diffusion coefficient can contain a control variable).