相关论文: On the maximum principle for optimal control probl…

In this paper, we obtain the maximum principle for optimal controls of stochastic systems with jumps by introducing a new method of variation. The control is allowed to enter both diffusion and jump term and the control domain need not to…

The general maximum principle is proved for an infinite dimensional controlled stochastic evolution system. The control is allowed to take values in a nonconvex set and enter into both drift and diffusion terms. The operator-valued backward…

This paper addresses the optimal control problem of finite-horizon discrete-time nonlinear systems under state and control constraints. A novel numerical algorithm based on optimal control theory is proposed to achieve superior…

In this paper, we consider a stochastic recursive optimal control problem under model uncertainty. In this framework, the cost function is described by solutions of a family of backward stochastic differential equations. With the help of…

In this paper we investigate the optimal control problem for a class of stochastic Cauchy evolution problem with non standard boundary dynamic and control. The model is composed by an infinite dimensional dynamical system coupled with a…

This paper is concerned with the linear quadratic optimal control problem for networked system simultaneously with input delay and Markovian dropout. Different from the results in the literature, we consider the hold-input strategy, which…

We examine the minimization of a quadratic cost functional composed of the output and the final state of abstract infinite-dimensional evolution equations in view of existence of solutions and optimality conditions. While the initial value…

In this research paper, we examine an optimal control problem involving a dynamical system governed by a nonlinear Caputo fractional time-delay state equation. The primary objective of this study is to obtain the necessary conditions for…

In this paper, the optimal strong error estimates for stochastic parabolic optimal control problem with additive noise and integral state constraint are derived based on time-implicit and finite element discretization. The continuous and…

This paper studies an infinite horizon optimal control problem for discrete-time linear system and quadratic criteria, both with random parameters which are independent and identically distributed with respect to time. In this general…

This paper develops a comprehensive framework for optimal control of systems governed by fractional backward stochastic evolution equations (FBSEEs) in Hilbert spaces. We first establish a stochastic maximum principle (SMP) as a necessary…

The maximum principle for optimal control problems of fully coupled forward-backward doubly stochastic differential equations (FBDSDEs in short) in the global form is obtained, under the assumptions that the diffusion coefficients do not…

In this paper, we first give the existence and uniqueness theorems for generalized mean-filed delay stochastic differential equations (GMFDSDEs) and mean-field anticipated backward stochastic differential equations (MFABSDEs). Then we study…

We consider stochastic control with discretionary stopping for the drift of a diffusion process over an infinite time horizon. The objective is to choose a control process and a stopping time to minimize the expectation of a convex terminal…

Motivated by a problem of optimal harvesting of natural resources, we study a control problem for Volterra type dynamics driven by time-changed L\'evy noises, which are in general not Markovian. To exploit the nature of the noise, we make…

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…

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…

We introduce a notion of bounded variation solution for a new class of nonlinear control systems with ordinary and impulsive controls, in which the drift function depends not only on the state, but also on its past history, through a finite…

In this manuscript we consider optimal control problems of stochastic differential equations with delays in the state and in the control. First, we prove an equivalent Markovian reformulation on Hilbert spaces of the state equation. Then,…

From economics point of view, we investigate a new optimal control problem driven by a stochastic differential equation with a multi-time states cost functional. By constructing a series of first-order adjoint equations, we establish the…