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A minimum principle for stochastic control of hepatitis C epidemic model
In this paper, we discussed a stochastic optimal control of hepatitis C that minimizes the side effect and reduces the viral load. The control...
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On the maximum principle for relaxed control problems of nonlinear stochastic systems
We consider optimal control problems for a system governed by a stochastic differential equation driven by a d-dimensional Brownian motion where both...
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The minimum principle of hybrid optimal control theory
The hybrid minimum principle (HMP) is established for the optimal control of deterministic hybrid systems with both autonomous and controlled...
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Solving Stochastic Optimal Control Problem via Stochastic Maximum Principle with Deep Learning Method
In this paper, we aim to solve the high dimensional stochastic optimal control problem from the view of the stochastic maximum principle via deep...
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A Stochastic Maximum Principle for Partially Observed Optimal Control Problem of Mckean–Vlasov FBSDEs with Random Jumps
In this paper, we study the stochastic maximum principle for partially observed optimal control problem of forward–backward stochastic differential...
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A branching particle system approximation for solving partially observed stochastic optimal control problems via stochastic maximum principle
This paper develops an efficient numerical algorithm for solving a class of partially observed stochastic optimal control problems with correlated...
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A Stochastic Maximum Principle for Control Problems Constrained by the Stochastic Navier–Stokes Equations
We analyze the control problem of the stochastic Navier–Stokes equations in multi-dimensional domains considered in Benner and Trautwein (Math Nachr...
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Sufficient Maximum Principle for Stochastic Optimal Control Problems with General Delays
This paper is to establish a sufficient maximum principle for one kind of stochastic optimal control problem with three types of delays: a discrete...
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THE PATHWISE-DETERMINED MAXIMUM PRINCIPLE AND SYMMETRIC INTEGRALS
For stochastic differential equations with the Stratonovich integral and with a controlled drift, a connection is found between the stochastic...
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Stochastic differential games with controlled regime-switching
In this article, we consider a two-player zero-sum stochastic differential game with regime-switching. Different from the results in existing...
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On the Lagrange Duality of Stochastic and Deterministic Minimax Control and Filtering Problems
AbstractAs shown below, the linear operator norms in the deterministic and stochastic cases are optimal values of the Lagrange-dual problems. For...
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Infinite Horizon Stochastic Maximum Principle for Stochastic Delay Evolution Equations in Hilbert Spaces
In the present work, we investigate infinite horizon optimal control problems driven by a class of stochastic delay evolution equations in Hilbert...
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Partially Observed Risk-Sensitive Stochastic Control Problems with Non-Convexity Restriction
The paper considers partially observed optimal control problems for risk-sensitive stochastic systems, where the control domain is non-convex and the...
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Defined Contribution Pension Planning with the Return of Premiums Clauses and HARA Preference in Stochastic Environments
This paper studies a defined contribution (DC) pension fund investment problem with return of premiums clauses in a stochastic interest rate and...
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Duality Method for Multidimensional Nonsmooth Constrained Linear Convex Stochastic Control
In this paper, we discuss a general multidimensional linear convex stochastic control problem with nondifferentiable objective function, control...
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Stochastic Optimization Methods
This chapter introduces some methods aimed at solving difficult optimization problems arising in many engineering fields. By difficult optimization...
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Evaluation of participating endowment life insurance policies in a stochastic environment
Participating life insurance contracts are policies that provide dividends (participation bonuses) based on the insurer’s financial performance....
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Pontryagin-Type Stochastic Maximum Principle and Beyond
The main purpose of this chapter is to derive first order necessary conditions, i.e., Pontryagin-type maximum principle for optimal controls of...
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Large and Moderate Deviations for Empirical Density Fields of Stochastic Seir Epidemics with Vertex-Dependent Transition Rates
In this paper, we are concerned with stochastic susceptible-exposed-infected-removed epidemics on complete graphs with vertex-dependent transition...
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Optimal Controls of Stochastic Differential Equations with Jumps and Random Coefficients: Stochastic Hamilton–Jacobi–Bellman Equations with Jumps
We study the stochastic Hamilton–Jacobi–Bellman (HJB) equation with jump, which arises from a non-Markovian optimal control problem with a recursive...