Related papers: Discrete-time Mean-field Stochastic $H_2/H_\infty$…
This paper is concerned with linear stochastic control systems in state space. The integral of the squared norm of the system output over a bounded time interval is interpreted as energy. The cumulants of the output energy in the…
In this paper, we study the maximum principle of mean field type control problems when the volatility function depends on the state and its measure and also the control, by using our recently developed method. Our method is to embed the…
This paper considers a linear-quadratic (LQ) mean field control problem involving a major player and a large number of minor players, where the dynamics and costs depend on random parameters. The objective is to optimize a social cost as a…
We investigate the existence and uniqueness of non-Markovian second-order backward stochastic differential equations with an uncertain terminal horizon and establish comparison principles under the assumption that the driver is Lipschitz…
This paper considers a class of mean field linear-quadratic-Gaussian (LQG) games with model uncertainty. The drift term in the dynamics of the agents contains a common unknown function. We take a robust optimization approach where a…
Mean-field control problems have received continuous interest over the last decade. Despite being more intricate than in classical optimal control, the linear-quadratic setting can still be tackled through Riccati equations. Remarkably, we…
The goal of this work is to obtain optimal rates for the convergence problem in mean field control. Our analysis covers cases where the solutions to the limiting problem may not be unique nor stable. Equivalently the value function of the…
We study the turnpike phenomenon for optimal control problems with mean field dynamics that are obtained as the limit $N\rightarrow \infty$ of systems governed by a large number $N$ of ordinary differential equations. We show that the…
This paper studies a class of partial information linear-quadratic mean-field game problems. A general stochastic large-population system is considered, where the diffusion term of the dynamic of each agent can depend on the state and…
We study risk-sensitive control of continuous time Markov chains taking values in discrete state space. We study both finite and infinite horizon problems. In the finite horizon problem we characterise the value function via HJB equation…
We propose a general control framework for two-phase flows with variable densities in the diffuse interface formulation, where the distribution of the fluid components is described by a phase field. The flow is governed by the diffuse…
This paper is concerned with linear stochastic Hamiltonian (LSH) systems subject to random external forces. Their dynamics are modelled by linear stochastic differential equations, parameterised by stiffness, mass, damping and coupling…
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 investigates the exact controllability problem for multi-dimensional stochastic first-order symmetric hyperbolic systems with control inputs acting in two distinct ways: an internal control applied to the diffusion term and a…
We study a finite-dimensional continuous-time optimal control problem on finite horizon for a controlled diffusion driven by Brownian motion, in the linear-quadratic case. We admit stochastic coefficients, possibly depending on an…
In this article, we provide an original systematic global-in-time analysis of mean field type control problems on $\mathbb{R}^n$ with generic cost functionals by the modified approach but not the same, firstly proposed in [7], as the…
We study a high-dimensional stochastic optimization problem which features both control and stopping. In particular, a central planner steers a large population of particles, and can also remove particles at any time by paying a penalty. In…
This paper is concerned with H2 control of discrete-time linear systems with dynamics determined by an independent and identically distributed (i.i.d.) process. A definition of H2 norm is first discussed for the class of systems. Then, a…
We consider mean-field control problems in discrete time with discounted reward, infinite time horizon and compact state and action space. The existence of optimal policies is shown and the limiting mean-field problem is derived when the…
This paper is concerned with the problem of Model Predictive Control and Rolling Horizon Control of discrete-time systems subject to possibly unbounded random noise inputs, while satisfying hard bounds on the control inputs. We use a…