相关论文: Pointwise second-order necessary conditions for st…

The purpose of this paper is to derive some pointwise second-order necessary conditions for stochastic optimal controls in the general case that the control variable enters into both the drift and the diffusion terms. When the control…

This paper is the second part of our series of work to establish pointwise second-order necessary conditions for stochastic optimal controls. In this part, we consider the general cases, i.e., the control region is allowed to be nonconvex,…

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…

The purpose of this paper is to establish the first and second order necessary conditions for stochastic optimal controls in infinite dimensions. The control system is governed by a stochastic evolution equation, in which both drift and…

In this paper, we establish some second order necessary/sufficient optimality conditions for optimal control problems of stochastic evolution equations in infinite dimensions. The control acts on both the drift and diffusion terms and the…

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…

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…

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…

The purpose of this paper is to establish first and second order necessary optimality conditions for optimal control problems of stochastic evolution equations with control and state constraints. The control acts both in the drift and…

In this manuscript, we consider a control system governed by a general ordinary differential equation on a Riemannian manifold, with its endpoints satisfying some inequalities and equalities, and its control constrained to a closed convex…

The necessary conditions for an optimal control of a stochastic control problem with recursive utilities is investigated. The first order condition is the the well-known Pontryagin type maximum principle. When the optimal control satisfying…

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 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 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…

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…

This paper aims to establish second order necessary conditions for optimal control in quantum stochastic systems. We employ a variational approach, analogous to methods in classical stochastic control, to analyze systems governed by quantum…

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…

An optimal control problem for a semilinear elliptic equation of divergence form is considered. Both the leading term and the semilinear term of the state equation contain the control. The well-known Pontryagin type maximum principle for…

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…

It has been shown recently that optimal control problems with the dynamical constraint given by a second order system admit a regular Lagrangian formulation. This implies that the optimality conditions can be obtained in a new form based on…