Optimal control problem: A mathematical framework for determining control functions that minimise (or maximise) a cost functional subject to constraints imposed by differential equations.

We study optimal control problems for (time-)delayed stochastic differential equations with jumps. We establish sufficient and necessary stochastic maximum principles for an optimal control of such ...

Abstract Linear-quadratic optimal control problems are considered for mean-field stochastic differential equations with deterministic coefficients. Time-inconsistency feature of the problems is ...