相关论文: Sufficient conditions for optimality for stochasti…
This paper is devoted to the stochastic optimal control problems for systems governed by forward-backward stochastic Volterra integral equations (FBSVIEs, for short) with state constraints. Using Ekeland's variational principle, we obtain…
Optimality conditions in the form of a variational inequality are proved for a class of constrained optimal control problems of stochastic differential equations. The cost function and the inequality constraints are functions of the…
In this paper, we derive sufficient and necessary maximum principles for a stochastic optimal control problem where the system state is given by a controlled stochastic differential equation with default. We prove existence of a unique…
We study the exact null controllability of a class of non-autonomous conformable fractional semi-linear evolution systems with nonlocal initial conditions in Hilbert spaces. The analysis is carried out within the framework of conformable…
This paper introduces a new type of second order stochastic backward Hamilton-Jacobi-Bellman (HJB) equations for optimal stochastic control problems with a currently observable but non-predicable parameter process, in addition to the…
This paper deals with the positivity condition of an infinite-dimensional evolutionary equation, associated with a control problem for the optimal consumption over space. We consider a spatial growth model for capital, with production…
This paper analyzes a discretization of a stochastic parabolic optimal control problem, where the diffusion term contains the control variable. With rough data, the convergence of the discretization is derived. In addition, a Monte-Carlo…
In this article, we are discussing a more vital concept of controllability, termed total controllability. We have considered a nonlocal semilinear functional evolution equations with non-instantaneous impulses and finite delay in Hilbert…
A condition on the Hamiltonian of a time-dependent quantum mechanical system is derived which, if satisfied, implies optimal adiabaticity (defined below). The condition is expressed in terms of the Hamiltonian and in terms of the evolution…
In this paper, we study a stochastic recursive optimal control problem in which the system is governed by a functional forward-backward stochastic differential equation. Under standard assumptions, we establish the dynamic programming…
We consider the stochastic evolution equation $ du=Audt+G(u)d\omega,\quad u(0)=u_0 $ in a separable Hilbert--space $V$. Here $G$ is supposed to be three times Fr\'echet--differentiable and $\omega$ is a trace class fractional…
We propose a stochastic model for evolution through mutation and natural selection of a population that evolves on a $\bbT_d^+$ tree. We think of this model as a way of describing the evolution fitness landscape of a population. We obtain…
We study a bilinear OCP for an evolution equation governed by the fractional Laplacian of order $0 < s < 1$, incorporating a nonlocal time component modeled by an integral kernel. After establishing well-posedness of the problem, we analyze…
A new representation of the Einstein evolution equations is presented that is first order, linearly degenerate, and symmetric hyperbolic. This new system uses the generalized harmonic method to specify the coordinates, and exponentially…
We analyze a convex stochastic optimization problem where the state is assumed to belong to the Bochner space of essentially bounded random variables with images in a reflexive and separable Banach space. For this problem, we obtain…
Growth models with internal habit formation have been studied in various settings under the assumption of deterministic dynamics. The purpose of this paper is to explore a stochastic version of the model in Carroll et al. [1997, 2000], one…
We consider a class of infinite-dimensional singular stochastic control problems. These can be thought of as spatial monotone follower problems and find applications in spatial models of production and climate transition. Let…
We consider a stochastic optimal control problem where the controller can anticipate the evolution of the driving noise over some dynamically changing time window. The controlled state dynamics are understood as a rough differential…
This paper establishes a stochastic maximum principle for optimal control problems governed by time-changed forward-backward stochastic differential equations with L\'evy noise. The system incorporates a random, non-decreasing operational…
This paper is concerned with the deterministic optimal control of Ito stochastic systems with random coefficients. The necessary and sufficient conditions for the unique solvability of the optimal control problem with random coefficients…