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math.OC2019
Optimal control of the FitzHugh-Nagumo stochastic model with nonlinear diffusion
Francesco Cordoni, Luca Di Persio
We consider the existence and first order conditions of optimality for a stochastic optimal control problem inspired by the celebrated FitzHugh-Nagumo model, with nonlinear diffusi…
math.OC2018
A maximum principle for a stochastic control problem with multiple random terminal times
Francesco Cordoni, Luca Di Persio
In the present paper we derive, via a backward induction technique, and ad hoc maximum principle for an optimal control problem with multiple random terminal times. Therefore we ap…