Related papers: Characterization of Optimal Feedback for Stochasti…
In this paper, we formulate a general time-inconsistent stochastic linear--quadratic (LQ) control problem. The time-inconsistency arises from the presence of a quadratic term of the expected state as well as a state-dependent term in the…
This paper is concerned with a stochastic linear-quadratic (LQ) optimal control problem on infinite time horizon, with regime switching, random coefficients, and cone control constraint. To tackle the problem, two new extended stochastic…
This paper studies the stochastic optimal control problem for systems with unknown dynamics. First, an open-loop deterministic trajectory optimization problem is solved without knowing the explicit form of the dynamical system. Next, a…
In this paper, we study a linear-quadratic optimal control problem for mean-field stochastic differential equations driven by a Poisson random martingale measure and a multidimensional Brownian motion. Firstly, the existence and uniqueness…
In this study, we provide an interpretation of the dual differential Riccati equation of Linear-Quadratic (LQ) optimal control problems. Adopting a novel viewpoint, we show that LQ optimal control can be seen as a regression problem over…
This paper considers the stochastic linear quadratic optimal control problem in which the control domain is nonconvex. By the functional analysis and convex perturbation methods, we establish a novel maximum principle. The application of…
This paper is concerned with a Stackelberg game of backward stochastic differential equations (BSDEs), where the coefficients of the backward system and the cost functionals are deterministic, and the control domain is convex. Necessary and…
We address an optimal control problem for linear stochastic systems with unknown noise distributions and joint chance constraints using conformal prediction. Our approach involves designing a feedback controller to maintain an error system…
We discuss the feedback control problem for a two-dimensional two-phase Stefan problem. In our approach, we use a sharp interface representation in combination with mesh-movement to track the interface position. To attain a feedback…
An optimal control problem is considered for linear stochastic differential equations with quadratic cost functional. The coefficients of the state equation and the weights in the cost functional are bounded operators on the spaces of…
In this paper, a leader-follower stochastic differential game is studied for a linear stochastic differential equation with a quadratic cost functional. The coefficients in the state equation and the weighting matrices in the cost…
This paper investigates a linear quadratic stochastic optimal control (LQSOC) problem with partial information. Firstly, by introducing two Riccati equations and a backward stochastic differential equation (BSDE), we solve this LQSOC…
In this paper, we study an optimal control problem of linear backward stochastic differential equation (BSDE) with quadratic cost functional under partial information. This problem is solved completely and explicitly by using a stochastic…
We study in this paper a class of constrained linear-quadratic (LQ) optimal control problem formulations for the scalar-state stochastic system with multiplicative noise, which has various applications, especially in the financial risk…
This paper investigates the asymptotic behavior of the solution to a linear-quadratic stochastic optimal control problems. The so-called probability cell problem is introduced the first time. It serves as the probability interpretation of…
This paper studies an infinite horizon optimal control problem for discrete-time linear systems and quadratic criteria, both with random parameters which are independent and identically distributed with respect to time. A classical approach…
Stochastic reaction networks is a powerful class of models for the representation a wide variety of population models including biochemistry. The control of such networks has been recently considered due to their important implications for…
In this paper, we consider the stochastic optimal control problem for the interacting particle system. We obtain the stochastic maximum principle of the optimal control system by introducing a generalized backward stochastic differential…
In this paper, we consider the stochastic optimal control problem for a generalized Volterra control system. The corresponding state process is a kind of a generalized stochastic Volterra integral differential equations. We prove the…
Optimal control deals with optimization problems in which variables steer a dynamical system, and its outcome contributes to the objective function. Two classical approaches to solving these problems are Dynamic Programming and the…