相关论文: The relaxed maximum principle for G-stochastic con…

Our paper is devoted to the study of Peng's stochastic maximum principle (SMP) for a stochastic control problem composed of a controlled forward stochastic differential equation (SDE) as dynamics and a controlled backward SDE which defines…

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 +…

The paper addresses an optimal control problem for a perturbed sweeping process of the rate-independent hysteresis type described by a controlled "play and stop" operator with separately controlled perturbations. This problem can be reduced…

In this paper, we study the optimal control problem of a controlled time-symmetric forward-backward doubly stochastic differential equation with initial-terminal sate constraints. Applying the terminal perturbation method and Ekeland's…

In this paper, we aim to solve the high dimensional stochastic optimal control problem from the view of the stochastic maximum principle via deep learning. By introducing the extended Hamiltonian system which is essentially an FBSDE with a…

In this paper, we consider the stochastic optimal control problem for the interacting particle system. We obtain the stochastic maximum principle of the optimal control system by introducing a generalized backward stochastic differential…

We study a stochastic recursive optimal control problem in which the cost functional is described by the solution of a backward stochastic differential equation driven by G-Brownian motion. Some of the economic and financial optimization…

In this paper, we study a linear-quadratic optimal control problem for mean-field stochastic differential equations driven by a Poisson random martingale measure and a multidimensional Brownian motion. Firstly, the existence and uniqueness…

In this paper, we study the maximum principle for stochastic optimal control problems of forward-backward stochastic difference systems (FBS{\Delta}Ss). Two types of FBS{\Delta}Ss are investigated. The first one is described by a partially…

In this paper we study backward stochastic differential equations (BSDEs) driven by the compensated random measure associated to a given pure jump Markov process X on a general state space K. We apply these results to prove well-posedness…

In this study, we consider an optimal control problem driven by a stochastic differential equation with state constraints. Here, the state constraints mean the constraints about the path of state. In order to show the maximum principe for…

We present a version of the stochastic maximum principle (SMP) for ergodic control problems. In particular we give necessary (and sufficient) conditions for optimality for controlled dissipative systems in finite dimensions. The strategy we…

In this paper, we present an optimal control problem for stochastic differential games under Markov regime-switching forward-backward stochastic differential equations with jumps and partial information. First, we prove a sufficient maximum…

In this paper, we derive sufficient and necessary maximum principles for a stochastic optimal control problem where the system state is given by a controlled stochastic differential equation with default. We prove existence of a unique…

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…

In this paper, the optimal control for discrete-time systems driven by fractional noises is studied. A stochastic maximum principle is obtained by introducing a backward stochastic difference equation contains both fractional noises and the…

In this paper, we consider the stochastic optimal control problem for a generalized Volterra control system. The corresponding state process is a kind of a generalized stochastic Volterra integral differential equations. We prove the…

In this paper, we propose a class of discrete-time approximation schemes for stochastic optimal control problems under the $G$-expectation framework. The proposed schemes are constructed recursively based on piecewise constant policy. We…

In this paper, we consider the stochastic optimal control problems under model risk caused by uncertain volatilities. To have a mathematical consistent framework we use the notion of G-expectation and its corresponding G-Brwonian motion…

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…