Related papers: Solvability of Matrix Riccati Inequalities
Optimal control of heterogeneous mean-field stochastic differential equations with common noise has not been addressed in the literature. In this work, we initiate the study of such models. We formulate the problem within a linear-quadratic…
This paper is concerned with the closed-loop solvability of one kind of linear-quadratic Stackelberg stochastic differential game, where the coefficients are deterministic. The notion of the closed-loop solvability is introduced, which…
We observe a connection between Cauchy-Schwarz' and Richard's inequalities in inner product spaces and a Ulam-type stability problem for multiplicative Sincov's functional equation. We prove that this equation is super-stable for unbounded…
We study a variant of the Riemann-Hilbert problem on the complements of hyperplane arrangements. This problem asks whether a given local system on the complement can be realized as the solution sheaf of a logarithmic Pfaffian system with…
For linear time-invariant systems having a state matrix with uncertain sign, we formulate a minimax adaptive control problem as a zero sum dynamic game. Explicit expressions for the optimal value function and the optimal control law are…
The Hamilton-Jacobi equation on metric spaces has been studied by several authors; following the approach of Gangbo and Swiech, we show that the final value problem for the Hamilton-Jacobi equation has a unique solution even if we add a…
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 provides an overview of the necessary and sufficient conditions for guaranteeing the unique solvability of absolute value equations. In addition to discussing the basic form of these equations, we also address several…
In this paper we present some new results regarding the solvability of nonlinear Hammerstein integral equations in a special cone of continuous functions. The proofs are based on a certain fixed point theorem of Leggett and Williams type.…
We give a complete solution of the scattering problem for Jacobi matrices from a class which was recently introduced by E. Ryckman. We characterize the scattering data for this class and illustrate the inverse scattering on some simple…
This paper deals with some reachability issues for piecewise linear switched systems with time-dependent coefficients and multiplicative noise. Namely, it aims at characterizing data that are almost reachable at some fixed time T > 0…
In this paper, for the Hamilton-Jacobi-Bellman equation with an infinite horizon and state constraints, we construct a suitably regular representation. This allows us to reduce the problem of existence and uniqueness of solutions to the…
A supersymmetric one-dimensional matrix procedure similar to relationships of the same type between Dirac and Schrodinger equations in particle physics is described at the general level. By this means we are able to introduce a nonhermitic…
The solvability of equilibrium Riccati equations (EREs) plays a central role in the study of time-inconsistent stochastic linear-quadratic optimal control problems, because it paves the way to constructing a closed-loop equilibrium…
The Riccati equation method is used to establish some oscillatory criteria for the second order linear functional - differential equations of multiple terms with locally integrable coefficients. An interval oscillation criterion for the…
In the setting of exponential investors and uncertainty governed by Brownian motions we first prove the existence of an incomplete equilibrium for a general class of models. We then introduce a tractable class of exponential-quadratic…
Some global existence criteria for quaternionic Riccati equations are established. Two of them are used to prove a completely non conjugation theorem for solutions of linear systems of ordinary differential equations.
This paper studies optimal control and stabilization problems for continuous-time mean-field systems with input delay, which are the fundamental development of control and stabilization problems for mean-field systems. There are two main…
In this paper, we provide the following simple equivalent condition for a nonsymmetric Algebraic Riccati Equation to admit a stabilizing cone-preserving solution: an associated coefficient matrix must be stable. The result holds under the…
We consider finite element approximations of unique continuation problems subject to elliptic equations in the case where the normal derivative of the exact solution is known to reside in some finite dimensional space. To give quantitative…