Related papers: Optimal control of forward-backward mean-field sto…
- In this paper we introduce a new method to solve fixed-delay optimal control problems which exploits numerical homotopy procedures. It is known that solving this kind of problems via indirect methods is complex and computationally…
We propose a simple and original approach for solving linear-quadratic mean-field stochastic control problems. We study both finite-horizon and infinite-horizon pro\-blems, and allow notably some coefficients to be stochastic. Extension to…
We consider a stochastic control problem where the set of strict (classical) controls is not necessarily convex, and the system is governed by a nonlinear backward stochastic differential equation. By introducing a new approach, we…
We give the solution to the minimum-energy control problem for linear stochastic systems. The problem is as follows: given an exactly controllable system, find the control process with the minimum expected energy that transfers the system…
We develop the linear programming approach to mean-field games in a general setting. This relaxed control approach allows to prove existence results under weak assumptions, and lends itself well to numerical implementation. We consider…
In this paper we are interested in a new type of {\it mean-field}, non-Markovian stochastic control problems with partial observations. More precisely, we assume that the coefficients of the controlled dynamics depend not only on the paths…
In this paper, we consider a discrete-time stochastic control problem with uncertain initial and target states. We first discuss the connection between optimal transport and stochastic control problems of this form. Next, we formulate a…
In this paper, we investigate a mean-field singular stochastic optimal control problem for systems governed by mean-field regime-switching singular stochastic differential equations. The state process is assumed to depend on both a regular…
This paper is concerned with optimal control problems for systems governed by mean-field stochastic differential equation, in which the control enters both the drift and the diffusion coefficient. We prove that the relaxed state process,…
Necessary optimality conditions and numerical methods for solving an optimal control problem for a linear continuous-time dynanical system with controlled coefficients and quadratic goal functional are discussed.
This work presents the solution to a class of decentralized linear quadratic state-feedback control problems, in which the plant and controller must satisfy the same combination of delay and sparsity constraints. Using a novel decomposition…
Problem of time-optimal control of linear systems with fractional dynamics is treated in the paper from the convex-analytic standpoint. A linear system of fractional differential equations involving Riemann--Liouville derivatives is…
This paper investigates a mean-field linear-quadratic optimal control problem where the state dynamics and cost functional incorporate both expectation and conditional expectation terms. We explicitly derive the pre-committed, na\"{\i}ve,…
In this paper we study the stochastic control problem of partially observed (multi-dimensional) stochastic system driven by both Brownian motions and fractional Brownian motions. In the absence of the powerful tool of Girsanov…
The classical stochastic control problem under partial information can be formulated as a control problem for Zakai equation, whose solution is the unnormalized conditional probability distribution of the state of the system. Zakai equation…
We study stochastic delay differential equations (SDDE) where the coefficients depend on the moving averages of the state process. As a first contribution, we provide sufficient conditions under which a linear path functional of the…
In this paper, we study the maximum principle for stochastic optimal control problems of forward-backward stochastic difference systems (FBS{\Delta}Ss). Two types of FBS{\Delta}Ss are investigated. The first one is described by a partially…
We consider a mean-field control problem in which admissible controls are required to be adapted to the common noise filtration. The main objective is to show how the mean-field control problem can be approximates by time consistent…
We consider an Ito stochastic differential equation with delay, driven by brownian motion, whose solution, by an appropriate reformulation, defines a Markov process $X$ with values in a space of continuous functions $\mathbf C$, with…
We consider a finite-time stochastic drift control problem with the assumption that the control is bounded and the system is controlled until the state process leaves the half-line. Assuming general conditions, it is proved that the…