相关论文: The necessary and sufficient conditions for stocha…
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…
In this paper, we study a stochastic optimal control problem under a type of consistent convex expectation dominated by G-expectation. By the separation theorem for convex sets, we get the representation theorems for this convex expectation…
We characterize the optimal control for a class of singular stochastic control problems as the unique solution to a related Skorokhod reflection problem. The considered optimization problems concern the minimization of a discounted cost…
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 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…
Optimal control theory deals with finding protocols to steer a system between assigned initial and final states, such that a trajectory-dependent cost function is minimized. The application of optimal control to stochastic systems is an…
This paper studies an optimal control problem for continuous-time stochastic systems subject to reachability objectives specified in a subclass of metric interval temporal logic specifications, a temporal logic with real-time constraints.…
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…
This paper is the first part of our series work to establish pointwise second-order necessary conditions for stochastic optimal controls. In this part, both drift and diffusion terms may contain the control variable but the control region…
In this paper we study the stochastic control problem of partially observed (multi-dimensional) stochastic system driven by both Brownian motions and fractional Brownian motions. In the absence of the powerful tool of Girsanov…
In this work, we consider the two dimensional tidal dynamics equations in a bounded domain and address some optimal control problems like total energy minimization, minimization of dissipation of energy of the flow, etc. We also examine an…
This paper introduces a new recursive stochastic optimal control problem driven by a forward-backward stochastic differential equations (FBSDEs), where the ter?minal time varies according to the constraints of the state of the forward…
We consider an optimal control problem for the steady-state Kirchhoff equation, a prototype for nonlocal partial differential equations, different from fractional powers of closed operators. Existence and uniqueness of solutions of the…
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…
We give answer to an open question by proving a sufficient optimality condition for state-linear optimal control problems with time delays in state and control variables. In the proof of our main result, we transform a delayed state-linear…
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…
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…
The optimal control problem of stochastic systems is commonly solved via robust or scenario-based optimization methods, which are both challenging to scale to long optimization horizons. We cast the optimal control problem of a stochastic…
Necessary optimality conditions and numerical methods for solving an optimal control problem for a linear continuous-time dynanical system with controlled coefficients and quadratic goal functional are discussed.
We consider distributed-order non-local fractional optimal control problems with controls taking values on a closed set and prove a strong necessary optimality condition of Pontryagin type. The possibility that admissible controls are…