相关论文: Infinite horizon backward stochastic Volterra inte…
This paper provide a comprehensive analysis of the finite and long time behavior of continuous-time non-Markovian dynamical systems, with a focus on the forward Stochastic Volterra Integral Equations(SVIEs).We investigate the properties of…
We address a general optimal switching problem over finite horizon for a stochastic system described by a differential equation driven by Brownian motion. The main novelty is the fact that we allow for infinitely many modes (or regimes,…
In this paper we deal with infinite horizon optimal control problems. Basing on weak variations in an extremal problem in weighted function spaces we prove necessary conditions in form of the adjoint equation and a variational inequality.…
We study a stochastic differential game between two players, controlling a forward stochastic Volterra integral equation (FSVIE). Each player has to optimize his own performance functional which includes a backward stochastic differential…
Stochastic Volterra integral equations with jumps (SVIEs) have become very common and widely used in numerous branches of science, due to their connections with mathematical finance, biology, engineering and so on. In this paper, we apply…
We study a stochastic control problem for a Volterra-type controlled forward equation with past dependence obtained via convolution with a deterministic kernel. To be able to apply dynamic programming to solve the problem, we lift it to…
We prove a general theorem that the $L_{\rho}^2({\mathbb{R}^{d}};{\mathbb{R}^{1}})\otimes L_{\rho}^2({\mathbb{R}^{d}};{\mathbb{R}^{d}})$ valued solution of an infinite horizon backward doubly stochastic differential equation, if exists,…
We study optimality conditions for various types of control problems like the standard optimal control problem, optimal multiprocesses, problems with infinite horizon or the control of Volterra integral equations. To derive necessary…
In this paper, we study an infinite horizon non-autonomous stochastic recursive differential game. To this end, we first establish well-posedness and stability results for BSDEs with a time-dependent discount factor and a possibly unbounded…
We consider the optimal control problem of stochastic evolution equations in a Hilbert space under a recursive utility, which is described as the solution of a backward stochastic differential equation (BSDE). A very general maximum…
This paper is dedicated to the analysis of infinite horizon optimal control problems subject to semilinear parabolic equations with constraints on the controls and discounted cost functionals. The discount factors on the cost and the state…
We study a novel general class of multidimensional type-I backward stochastic Volterra integral equations. Toward this goal, we introduce an infinite dimensional system of standard backward SDEs and establish its well-posedness, and we show…
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 develop a necessary stochastic maximum principle for a finite-dimensional stochastic control problem in infinite horizon under a polynomial growth and joint monotonicity assumption on the coefficients. The second assumption generalizes…
We consider a backward stochastic differential equation with a generator that can be subjected to delay, in the sense that its current value depends on the weighted past values of the solutions, for instance a distorted recent average.…
This paper investigates a new class of homogeneous stochastic control problems with cone control constraints, extending the classical homogeneous stochastic linear-quadratic (LQ) framework to encompass nonlinear system dynamics and…
We consider the problem of minimum energy steering of a linear stochastic system to a final prescribed distribution over a finite horizon and to maintain a stationary distribution over an infinite horizon. We present sufficient conditions…
This paper investigates the optimal control problem for a class of nonlinear fully coupled forward-backward stochastic difference equations (FBS$\Delta$Es). Under the convexity assumption of the control domain, we establish a variational…
We provide sufficient conditions that guarantee the existence of relaxed optimal controls in the weak formulation of stochastic control problems for stochastic Volterra equations (SVEs). Our study can be applied to rough processes that…
A general maximum principle (necessary and sufficient conditions) for an optimal control problem governed by a stochastic differential equation driven by an infinite dimensional martingale is established. The solution of this equation takes…