相关论文: Singular optimal control of stochastic Volterra in…
This paper investigates an optimal control problem where the system is described by a stochastic differential equation with extended mixed delays that contain point delay, extended distributed delay, and extended noisy memory. The model is…
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…
In this paper, we study the optimal control problem with terminal and inequality state constraints for state equations described by Volterra integral equations having singular and nonsingular kernels. The singular kernel introduces abnormal…
We study the problem of optimal inside control of a stochastic Volterra equation driven by a Brownian motion and a Poisson random measure. We prove a sufficient and a necessary maximum principle for the optimal control when the trader has…
Optimal control problems of forward stochastic Volterra integral equations (SVIEs) are formulated and studied. When control region is arbitrary subset of Euclidean space and control enters into the diffusion, necessary conditions of…
In this paper, we prove both necessary and sufficient maximum principles for infinite horizon discounted control problems of stochastic Volterra integral equations with finite delay and a convex control domain. The corresponding adjoint…
We analyze an optimal control problem for systems of integral equations of Volterra type with two independent variables. These systems generalize both, the hyperbolic control problems for systems of Goursat-Darboux type, and the optimal…
We present and analyze a new method for solving optimal control problems for Volterra integral equations, based on approximating the controlled Volterra integral equations by a sequence of systems of controlled ordinary differential…
In this paper, the notion of singular backward stochastic Volterra integral equations (singular BSVIEs for short) in infinite dimensional space is introduced, and the corresponding well-posedness is carefully established. A class of…
In this paper we are concerned with a class of stochastic Volterra integro-differential problems with completely monotone kernels, where we assume that the noise enters the system when we introduce a control. We start by reformulating the…
In this paper, we solve an open problem and obtain a general maximum principle for a stochastic optimal control problem where the control domain is an arbitrary non-empty set and all the coefficients (especially the diffusion term and the…
Backward doubly stochastic Volterra integral equations (BDSVIEs, for short) are introduced and studied systematically. Well-posedness of BDSVIEs in the sense of introduced M-solutions is established. A comparison theorem for BDSVIEs is…
This paper is concerned with a linear quadratic optimal control for a class of singular Volterra integral equations. Under proper convexity conditions, optimal control uniquely exists, and it could be characterized via Frechet derivative of…
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 formulate and analyze a new method for solving optimal control problems for systems governed by Volterra integral equations. Our method utilizes discretization of the original Volterra controlled system and a novel type of dynamic…
We study linear-quadratic optimal control problems for Voterra systems, and problems that are linear-quadratic in the control but generally nonlinear in the state. In the case of linear-quadratic Volterra control, we obtain sharp necessary…
This paper formulates and studies a stochastic maximum principle for forward-backward stochastic Volterra integral equations (FBSVIEs in short), while the control area is assumed to be convex. Then a linear quadratic (LQ in short) problem…
This paper examines a class of singular stochastic control problems with convex objective functions. In Section 2, we use tools from convex analysis to derive necessary and sufficient first order conditions for this class of optimisation…
We study a class of infinite-dimensional singular stochastic control problems with applications in economic theory and finance. The control process linearly affects an abstract evolution equation on a suitable partially-ordered…
Optimal control of interacting particles governed by stochastic evolution equations in Hilbert spaces is an open area of research. Such systems naturally arise in formulations where each particle is modeled by stochastic partial…