相关论文: Second order BSDE under monotonicity condition and…
In this paper we provide a complete theoretical analysis of a two-dimensional degenerate non convex singular stochastic control problem. The optimisation is motivated by a storage-consumption model in an electricity market, and features a…
We consider optimal control problems governed by systems describing the unsteady flows of an incompressible second grade fluid with Navier-slip boundary conditions. We prove the existence of an optimal solution and derive the corresponding…
We analyze optimal control problems for multiple Fredholm and Volterra integral equations. These are non Pontryaginian optimal control problems, i.e. an extremum principle of Pontryagin type does not hold. We obtain first order necessary…
Second-order optimality conditions for vector nonlinear programming problems with inequality constraints are studied in this paper. We introduce a new second-order constraint qualification, which includes Mangasarian-Fromovitz constraint…
This paper considers optimal control problems defined by a monotone dynamical system, a monotone cost, and monotone constraints. We identify families of such problems for which the optimal solution is bang-ride, i.e., always operates on the…
We address Newton-type problems of minimal resistance from an optimal control perspective. It is proven that for Newton-type problems the Pontryagin maximum principle is a necessary and sufficient condition. Solutions are then computed for…
In this paper we consider the minimization of a continuous function that is potentially not differentiable or not twice differentiable on the boundary of the feasible region. By exploiting an interior point technique, we present first- and…
We consider the control problem with \textit{exit time}. Unlike the Bolza and Mayer problems, in this problem the terminal time of the trajectories is not fixed, but it is the first time at which they reach a given closed subset -…
We consider multidimensional quadratic BSDEs with bounded and unbounded terminal conditions. We provide sufficient conditions which guarantee existence and uniqueness of solutions. In particular, these conditions are satisfied if the…
This paper is concerned with a kind of linear-quadratic (LQ) optimal control problem of backward stochastic differential equation (BSDE) with partial information. The cost functional includes cross terms between the state and control, and…
The key element of the approach to the theory of necessary conditions in optimal control discussed in the paper is reduction of the original constrained problem to unconstrained minimization with subsequent application of a suitable…
We study the optimal investment stopping problem in both continuous and discrete case, where the investor needs to choose the optimal trading strategy and optimal stopping time concurrently to maximize the expected utility of terminal…
We study a constrained stochastic control problem with jumps; the jump times of the controlled process are given by a Poisson process. The cost functional comprises quadratic components for an absolutely continuous control and the…
The primary focus of this paper is on designing an inexact first-order algorithm for solving constrained nonlinear optimization problems. By controlling the inexactness of the subproblem solution, we can significantly reduce the…
We consider an optimal control problem subject to a semilinear elliptic PDE together with its variational discretization. We provide a condition which allows to decide whether a solution of the necessary first order conditions is a global…
We consider an optimal liquidation problem with instantaneous price impact and stochastic resilience for small instantaneous impact factors. Within our modelling framework, the optimal portfolio process converges to the solution of an…
A monotone iterative method is proposed to solve nonlinear discrete boundary value problems with the support of upper and lower solutions. We establish some new existence results. Under some sufficient conditions, we establish maximum…
In a series of papers on optimal control problems for the monodomain as well as for the bidomain equations of cardiac electrophysiology, the authors studied existence of minimizers and derived first-order necessary optimality conditions.…
This work is concerned with an optimal control problem on a Riemannian manifold, for which two typical cases are considered. The first case is when the endpoint is free. For this case, the control set is assumed to be a separable metric…
The paper concerns the necessary maximum principle for robust optimal control problems of quadratic BSDEs. The coefficient of the systems depends on the parameter $\theta$, and the generator of BSDEs is of quadratic growth in $z$. Since the…