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We study quadratic optimal stochastic control problems with control dependent noise state equation perturbed by an affine term and with stochastic coefficients. Both infinite horizon case and ergodic case are treated. To this purpose we…
In this paper, we construct a periodic dichotomy transformation using solutions of periodic Riccati and Lyapunov equations. As an application of this transformation, we provide an explicit representation of the optimal extremal for periodic…
In this paper, we are concerned with a stochastic optimal control problem of mean-field type under partial observation, where the state equation is governed by the controlled nonlinear mean-field stochastic differential equation, moreover…
We study in this paper the linear quadratic optimal control (linear quadratic regulation, LQR for short) for discrete-time complex-valued linear systems, which have shown to have several potential applications in control theory. Firstly, an…
This paper addresses the problem of robust and optimal control for the class of nonlinear quadratic systems subject to norm-bounded parametric uncertainties and disturbances, and in presence of some amplitude constraints on the control…
In this paper, we investigate the mean-square stabilization for discrete-time stochastic systems that endure both multiple input delays and multiplicative control-dependent noises. For such multi-delay stochastic systems, we for the first…
The present work addresses a finite-horizon linear-quadratic optimal control problem for uncertain systems driven by piecewise constant controls. The precise values of the system parameters are unknown, but assumed to belong to a finite set…
We address a class of backward stochastic differential equations on a bounded interval, where the driving noise is a marked, or multivariate, point process. Assuming that the jump times are totally inaccessible and a technical condition…
As industrial models and designs grow increasingly complex, the demand for optimal control of large-scale dynamical systems has significantly increased. However, traditional methods for optimal control incur significant overhead as problem…
In this paper we study a continuous-time stochastic linear quadratic control problem arising from mathematical finance. We model the asset dynamics with random market coefficients and portfolio strategies with convex constraints. Following…
This paper investigates the near optimal control for a kind of linear stochastic control systems governed by the forward backward stochastic differential equations, where both the drift and diffusion terms are allowed to depend on controls…
We propose a mechanism which produces periodic variations of the degree of predictability in dynamical systems. It is shown that even in the absence of noise when the control parameter changes periodically in time, below and above the…
This paper studies an infinite horizon optimal control problem for discrete-time linear system and quadratic criteria, both with random parameters which are independent and identically distributed with respect to time. In this general…
We consider the problem of finite-horizon optimal control of a discrete linear time-varying system subject to a stochastic disturbance and fully observable state. The initial state of the system is drawn from a known Gaussian distribution,…
We study the optimal control of discrete time mean filed dynamical systems under partial observations. We express the global law of the filtered process as a controlled system with its own dynamics. Following a dynamic programming approach,…
An optimal control problem for the linear wave equation with control cost chosen as the BV semi-norm in time is analyzed. This formulation enhances piecewise constant optimal controls and penalizes the number of jumps. Existence of optimal…
This paper is concerned with a linear quadratic (LQ, for short) optimal control problem for mean-field backward stochastic differential equations (MF-BSDE, for short) driven by a Poisson random martingale measure and a Brownian motion.…
This paper is concerned with an optimal control problem for a nonhomogeneous linear stochastic differential equation having regime switching with a quadratic functional in the large time horizon. This is a continuation of the paper…
We study a McKean-Vlasov optimal control problem with common noise, in order to establish the corresponding limit theory, as well as the equivalence between different formulations, including the strong, weak and relaxed formulation. In…
We propose a new monotonically convergent algorithm which can enforce spectral constraints on the control field (and extends to arbitrary filters). The procedure differs from standard algorithms in that at each iteration the control field…