Related papers: An optimal control problem for mean-field forward-…
We study high-dimensional stochastic optimal control problems in which many agents cooperate to minimize a convex cost functional. We consider both the full-information problem, in which each agent observes the states of all other agents,…
A finite horizon linear quadratic(LQ) optimal control problem is studied for a class of discrete-time linear fractional systems (LFSs) affected by multiplicative, independent random perturbations. Based on the dynamic programming technique,…
This paper is concerned with the maximum principle of stochastic optimal control problems, where the coefficients of the state equation and the cost functional are uncertain, and the system is generally under Markovian regime switching.…
The objective of this paper is to weaken the Lipschitz condition to a monotonicity condition and to study the corresponding Pontryagin stochastic maximum principle (SMP) for a mean-field optimal control problem under monotonicity…
In this paper we study the finite-horizon optimal covariance steering problem for a continuous-time linear stochastic system subject to both additive and multiplicative noise. The noise can be continuous or it may contain jumps. Additive…
We consider a problem of optimal control of an infinite horizon system governed by forward-backward stochastic differential equations with delay. Sufficient and necessary maximum principles for optimal control under partial information in…
This paper investigates the $H_{2}/H_{\infty}$ control problem for linear stochastic differential systems under partial observation. Unlike existing studies that assume full state accessibility, we consider the scenario where the controller…
We consider the stochastic optimal control problem of McKean-Vlasov stochastic differential equation where the coefficients may depend upon the joint law of the state and control. By using feedback controls, we reformulate the problem into…
The purpose of this paper is to study optimal control of conditional McKean-Vlasov (mean-field) stochastic differential equations with jumps (conditional McKean-Vlasov jump diffusions, for short). To this end, we first prove a stochastic…
This paper investigates a class of unified stochastic linear quadratic Gaussian (LQG) social optima problems involving a large number of weakly-coupled interactive agents under a {generalized} setting. For each individual agent, the control…
We discuss and compare two methods of investigations for the asymptotic regime of stochastic differential games with a finite number of players as the number of players tends to the infinity. These two methods differ in the order in which…
The purpose of this paper is to review and highlight some connections between the problem of nonlinear smoothing and optimal control of the Liouville equation. The latter has been an active area of recent research interest owing to work in…
In this paper, we solve an open problem and obtain a general maximum principle for a stochastic optimal control problem where the control domain is an arbitrary non-empty set and all the coefficients (especially the diffusion term and the…
In this paper, we study the problem of how to optimally steer the state covariance of a general continuous-time linear stochastic system over a finite time interval subject to additive noise. Optimality here means reaching a target state…
We consider a unifying framework for stochastic control problem including the following features: partial observation, path-dependence (both with respect to the state and the control), and without any non-degeneracy condition on the…
This paper studies the optimal control problems of stochastic evolution equations with infinite delay of general functional type. By introducing a non-anticipative path derivative and its infinite-window dual operator, we derive the…
In this paper, we consider a linear-quadratic optimal control problem of mean-field stochastic differential equation with jump diffusion, which is also called as an MF-LQJ problem. Here, cost functional is allowed to be indefinite. We use…
Different from most of the previous works, this paper provides a thorough solution to the fundamental problems of linear-quadratic (LQ) control and stabilization for discrete-time mean-field systems under basic assumptions. Firstly, the…
A parametric constrained convex optimal control problem, where the initial state is perturbed and the linear state equation contains a noise, is considered in this paper. Formulas for computing the subdifferential and the singular…
This paper addresses the problem of steering the distribution of the state of a discrete-time linear system to a given target distribution while minimizing an entropy-regularized cost functional. This problem is called a maximum entropy…