Related papers: Mean-Field Stochastic Linear Quadratic Optimal Con…
This paper studies uniform stabilization and social optimality for linear quadratic (LQ) mean field control problems with multiplicative noise, where agents are coupled via dynamics and individual costs. The state and control weights in…
A linear control system with quadratic cost functional over infinite time horizon is considered without assuming controllability/stabilizability condition and the global integrability condition for the nonhomogeneous term of the state…
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…
The Markowitz problem consists of finding in a financial market a self-financing trading strategy whose final wealth has maximal mean and minimal variance. We study this in continuous time in a general semimartingale model and under cone…
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 family of optimal control problems in which one aims at minimizing a cost that mixes a quadratic control penalization and the variance of the system, both for finitely many agents and for the mean-field dynamics as their number…
This paper mainly investigates the optimal control and stabilization problems for linear discrete-time Markov jump systems. The general case for the finite-horizon optimal controller is considered, where the input weighting matrix in the…
In this paper, we solve an optimal control problem governed by a system of mean-field stochastic differential equations with multiple defaults (MMFSDEs). We transform the global optimal control problem into several optimal control…
In this technical note, we consider the linear-quadratic time-inconsistent mean-field type leader-follower Stackelberg differential game with an adapted open-loop information structure. The objective functionals of the leader and the…
The paper provides a new approach to the determination of a single state value for stochastic output feedback problems using paradigms from Model Predictive Control, particularly the distinction between open-loop and closed-loop control and…
A two-player finite horizon linear-quadratic Stackelberg differential game is considered. The feature of this game is that the control cost of a follower in the cost functionals of both players is small, which means that the game under…
This paper investigates a linear quadratic mean field leader-follower team problem, where the model involves one leader and a large number of weakly-coupled interactive followers. The leader and the followers cooperate to optimize the…
This paper is concerned with a general non-homogeneous stochastic linear quadratic (LQ) control problem with regime switching and random coefficients. We obtain the explicit optimal state feedback control and optimal value for this problem…
This is a companion paper of [Mixed equilibrium solution of time-inconsistent stochastic LQ problem, arXiv:1802.03032], where general theory has been established to characterize the open-loop equilibrium control, feedback equilibrium…
Anew method for finding closed-loop optimal controllers of fractional tracking quadratic optimal control problems is introduced. The optimality conditions for the fractional optimal control problem are obtained. Illustrative examples are…
A linear-quadratic optimal control problem for a forward stochastic Volterra integral equation (FSVIE, for short) is considered. Under the usual convexity conditions, open-loop optimal control exists, which can be characterized by the…
This paper considers a risk-sensitive optimal control problem for a field-mediated interconnection of a quantum plant with a coherent (measurement-free) quantum controller. The plant and the controller are multimode open quantum harmonic…
In this paper, we consider the adaptive linear quadratic Gaussian control problem, where both the linear transformation matrix of the state $A$ and the control gain matrix $B$ are unknown. The proposed adaptive optimal control only assumes…
We study the optimal control problem for a weighted mean-field system. A new feature of the control problem is that the coefficients depend on the state process as well as its weighted measure and the control variable. By applying…
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.