Related papers: A Mixed Linear Quadratic Optimal Control Problem w…
This article explores the discrete-time stochastic optimal LQR control with delay and quadratic constraints. The inclusion of delay, compared to delay-free optimal LQR control with quadratic constraints, significantly increases the…
We study a finite-dimensional continuous-time optimal control problem on finite horizon for a controlled diffusion driven by Brownian motion, in the linear-quadratic case. We admit stochastic coefficients, possibly depending on an…
This paper is concerned with a discrete-time mean-field stochastic linear-quadratic optimal control problem arose from financial application. Through matrix dynamical optimization method, a group of linear feedback controls is investigated.…
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 is concerned with the open-loop time-consistent solution of time-inconsistent mean-field stochastic linear-quadratic optimal control. Different from standard stochastic linear-quadratic problems, both the system matrices and the…
An optimal control problem is studied for a linear mean-field stochastic differential equation with a quadratic cost functional. The coefficients and the weighting matrices in the cost functional are all assumed to be deterministic.…
This paper is concerned with a linear quadratic optimal control problem of delayed backward stochastic differential equations. An explicit representation is derived for the optimal control, which is a linear feedback of the entire past…
In this paper, we propose a novel equilibrium solution notion for the time-inconsistent stochastic linear-quadratic optimal control problem. This notion is called the mixed equilibrium solution, which consists of two parts: a…
This paper is concerned with a stochastic linear quadratic (LQ, for short) control problem with a recursive cost functional in an infinite horizon. A main difficult is well-posedness of the BSDE in $L^1$ and in infinite horizon. A notion of…
This paper is concerned with a stochastic linear-quadratic optimal control problem in a finite time horizon, where the coefficients of the control system are allowed to be random, and the weighting matrices in the cost functional are…
This paper investigates a conditional mean-field type linear quadratic (LQ) optimal control problem with partial observation and regime switching, where the conditional expectations of the state and control given the history of Markov chain…
In this paper, the solvability of discrete-time stochastic linear-quadratic (LQ) optimal control problem in finite horizon is considered. Firstly, it shows that the closed-loop solvability for the LQ control problem is optimal if and only…
This paper focuses on indefinite stochastic mean-field linear-quadratic (MF-LQ, for short) optimal control problems, which allow the weighting matrices for state and control in the cost functional to be indefinite. The solvability of…
This paper is concerned with a stochastic linear quadratic (LQ, for short) control problem with a recursive cost functional. It involves BSDEs in $L^1$ whose well-posedness is a subtle issue. A suitable framework has been adopted so that…
A general backward stochastic linear-quadratic optimal control problem is studied, in which both the state equation and the cost functional contain the nonhomogeneous terms. The main feature of the problem is that the weighting matrices in…
This paper is concerned with a constrained stochastic linear-quadratic optimal control problem, in which the terminal state is fixed and the initial state is constrained to lie in a stochastic linear manifold. The controllability of…
We study a linear quadratic optimal control problem with stochastic coefficients and a terminal state constraint, which may be in force merely on a set with positive, but not necessarily full probability. Under such a partial terminal…
This paper addresses a risk-constrained decentralized stochastic linear-quadratic optimal control problem with one remote controller and one local controller, where the risk constraint is posed on the cumulative state weighted variance in…
As it is popular known, Riccati equation is the key basic tool for optimal control in the modern control theory. The solvability conditions of optimal control, stabilization conditions and controller design are all based on the Riccati…
We investigate the asymptotic properties of a finite-time horizon linear-quadratic optimal control problem driven by a multiscale stochastic process with multiplicative Brownian noise. We approach the problem by considering the associated…