scholarly journals A class of stochastic optimal control problems in Hilbert spaces: BSDEs and optimal control laws, state constraints, conditioned processes

2003 ◽  
Vol 108 (2) ◽  
pp. 263-298 ◽  
Author(s):  
Marco Fuhrman
Keyword(s):  
Optimal Control ◽  
Hilbert Spaces ◽  
Stochastic Optimal Control ◽  
State Constraints ◽  
Optimal Control Problems ◽  
Control Problems ◽  
Control Laws

scholarly journals An Optimal Control Problem of Forward-Backward Stochastic Volterra Integral Equations with State Constraints

2014 ◽  
Vol 2014 ◽  
pp. 1-16
Author(s):  
Qingmeng Wei ◽  
Xinling Xiao
Keyword(s):  
Optimal Control ◽  
Variational Principle ◽  
Integral Equations ◽  
Stochastic Optimal Control ◽  
State Constraints ◽  
Optimal Control Problems ◽  
Necessary Conditions ◽  
Volterra Integral Equations ◽  
Control Problems ◽  
Optimal Controls

This paper is devoted to the stochastic optimal control problems for systems governed by forward-backward stochastic Volterra integral equations (FBSVIEs, for short) with state constraints. Using Ekeland's variational principle, we obtain one kind of variational inequalities. Then, by dual method, we derive a stochastic maximum principle which gives the necessary conditions for the optimal controls.

scholarly journals Nonlinearly constrained optimal control problems

1992 ◽  
Vol 33 (4) ◽  
pp. 517-530 ◽  
Author(s):  
K. L. Teo ◽  
K. H. Wong
Keyword(s):  
Optimal Control ◽  
General Class ◽  
State Constraints ◽  
Computational Algorithm ◽  
Optimal Control Problems ◽  
Control Problems ◽  
Constrained Optimal Control ◽  
Continuous State ◽  
Constraint Transcription ◽  
Inequality Type

AbstractIn a paper by Teo and Jennings, a constraint transcription is used together with the concept of control parametrisation to devise a computational algorithm for solving a class of optimal control problems involving terminal and continuous state constraints of inequality type. The aim of this paper is to extend the results to a more general class of constrained optimal control problems, where the problem is also subject to terminal equality state constraints. For illustration, a numerical example is included.

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