相关论文: Mean field stochastic control under sublinear expe…

In this study, we consider an optimal control problem driven by a stochastic differential system with a stopping time terminal cost functional. We establish the stochastic maximum principle for this new kind of an optimal control problem by…

This paper establishes an indirect approximation theorem for the most probable transition pathway of a stochastic interacting particle system in the mean-field framework. This paper studied the problem of indirect approximation of the most…

We study a coupled system of controlled stochastic differential equations (SDEs) driven by a Brownian motion and a compensated Poisson random measure, consisting of a forward SDE in the unknown process $X(t)$ and a \emph{predictive…

We present a Pontryagin maximum principle for discrete time optimal control problems with (a) pointwise constraints on the control actions and the states, (b) frequency constraints on the control and the state trajectories, and (c)…

This work establishes two versions of the Pontryagin-type maximum principles for partially observed optimal control of coupled forward stochastic partial differential equations (FSPDEs) and backward stochastic differential equations (BSDEs)…

In this paper, we consider optimal control problems derived by stochastic systems with delay, where control domains are non-convex and the diffusion coefficients depend on control variables. By an estimate of the integral of…

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 optimal control for mean-field forward backward stochastic differential equations with payoff functionals of mean-field type. Sufficient and necessary optimality conditions in terms of a stochastic maximum principle are derived. As…

This paper is concerned with the stochastic recursive optimal control problem with mixed delay. The connection between Pontryagin's maximum principle and Bellman's dynamic programming principle is discussed. Without containing any…

This paper is a survey on some recent aspects and developments in stochastic control. We discuss the two main historical approaches, Bellman's optimality principle and Pontryagin's maximum principle, and their modern exposition with…

Stochastic maximum principle of nonlinear controlled forward-backward systems, where the set of strict (classical) controls need not be convex and the diffusion coefficient depends explicitly on the variable control, is an open problem…

We consider distributed-order non-local fractional optimal control problems with controls taking values on a closed set and prove a strong necessary optimality condition of Pontryagin type. The possibility that admissible controls are…

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 +…

In this paper we consider the maximum principle of optimal control for a stochastic control problem. This problem is governed by a system of fully coupled multi-dimensional forward-backward doubly stochastic differential equation with…

The main purpose of this paper is to give a solution to a long-standing unsolved problem in stochastic control theory, i.e., to establish the Pontryagin-type maximum principle for optimal controls of general infinite dimensional nonlinear…

This study investigates a stochastic production planning problem with a running cost composed of quadratic production costs and inventory-dependent costs. The objective is to minimize the expected cost until production stops when inventory…

We study a class of optimal control problems governed by nonlinear stochastic equations of monotone type under certain coercivity and linear growth conditions. We give first order necessary conditions of optimality. A stochastic Pontryagin…

In this paper, we prove a Pontryagin Maximum Principle for constrained optimal control problems in the Wasserstein space of probability measures. The dynamics, is described by a transport equation with non-local velocities and is subject to…

We construct a time-consistent sublinear expectation in the setting of volatility uncertainty. This mapping extends Peng's G-expectation by allowing the range of the volatility uncertainty to be stochastic. Our construction is purely…

This paper investigates a conditional mean-field type linear quadratic (LQ) optimal control problem with partial observation and regime switching, where the conditional expectations of the state and control given the history of Markov chain…