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This paper addresses a risk-constrained decentralized stochastic linear-quadratic optimal control problem with one remote controller and one local controller, where the risk constraint is posed on the cumulative state weighted variance in…
This paper investigates a cone-constrained two-player zero-sum stochastic linear-quadratic (SLQ) differential game for stochastic differential equations (SDEs) with regime switching and random coefficients driven by a jump-diffusion…
We study an optimal control problem on infinite time horizon with semimartingale strategies, random coefficients and regime switching. The value function and the optimal strategy can be characterized in terms of three systems of backward…
We study linear-quadratic stochastic optimal control problems with bilinear state dependence for which the underlying stochastic differential equation (SDE) consists of slow and fast degrees of freedom. We show that, in the same way in…
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…
IIn this paper, we study a partially observed progressive optimal control problem of forward-backward stochastic differential equations with random jumps, where the control domain is not necessarily convex, and the control variable enter…
We study a stochastic control problem with regime switching arising in an optimal liquidation problem with dark pools and multiple regimes. The new feature of this model is that it introduces a system of BSDEs with jumps and with singular…
A mixed linear quadratic (MLQ, for short) optimal control problem is considered. The controlled stochastic system consists of two diffusion processes which are in different time horizons. There are two control actions: a standard control…
A linear-quadratic (LQ, for short) optimal control problem is considered for mean-field stochastic differential equations with constant coefficients in an infinite horizon. The stabilizability of the control system is studied followed by…
This paper is concerned with optimal control of stochastic fully coupled forward-backward linear quadratic (FBLQ) problems with indefinite control weight costs. In order to obtain the state feedback representation of the optimal control, we…
This paper is concerned with a linear quadratic (LQ, for short) optimal control problem with fixed terminal states and integral quadratic constraints. A Riccati equation with infinite terminal value is introduced, which is uniquely solvable…
This paper is concerned with a discounted optimal control problem of partially observed forward-backward stochastic systems with jumps on infinite horizon. The control domain is convex and a kind of infinite horizon observation equation is…
In this paper we consider the maximum principle of optimal control for a stochastic control problem. This problem is governed by a system of fully coupled multi-dimensional forward-backward doubly stochastic differential equation with…
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…
This paper is concerned with a general linear quadratic (LQ) control problem of mean-field backward stochastic differential equation (BSDE). Here, the weighting matrices in the cost functional are allowed to be indefinite. Necessary and…
This paper study a type of fully coupled mean-field forward-backward stochastic differential equations with jumps under the monotonicity condition, including the existence and the uniqueness of the solution of our equation as well as the…
We study a signature-driven numerical scheme to solve multi-dimensional linear-quadratic (LQ) stochastic control problems. Using that linear signature functionals are dense in the natural class of admissible controls, we show that our…
This paper investigates the finite horizon risk-sensitive portfolio optimization in a regime-switching credit market with physical and information-induced default contagion. It is assumed that the underlying regime-switching process has…
We consider an optimal control problem for piecewise deterministic Markov processes (PDMPs) on a bounded state space. The control problem under study is very general: a pair of controls acts continuously on the deterministic flow and on the…
In the present paper we derive, via a backward induction technique, and ad hoc maximum principle for an optimal control problem with multiple random terminal times. Therefore we apply the aforementioned result to the case of a linear…