Related papers: Infinite horizon jump-diffusion forward-backward s…
This paper proposes a finite-horizon approximation scheme and introduces episodic equilibrium as a solution concept for stochastic games (SGs), where agents strategize based on the current state and episode stage. The paper also establishes…
In this paper, we study graphon mean field games using a system of forward-backward stochastic differential equations. We establish the existence and uniqueness of solutions under two different assumptions and prove the stability with…
This paper investigates the robustness of stochastic optimal control for controlled regime switching diffusions. We consider systems driven by both continuous fluctuations and discrete regime changes, allowing for model misspecification in…
The inverse linear-quadratic optimal control problem is a system identification problem whose aim is to recover the quadratic cost function and hence the closed-loop system matrices based on observations of optimal trajectories. In this…
In the description of transport phenomena an important aspect represents the diffusion. In certain cases the diffusion may appear together with convection. In this paper we study the diffusion equation with the self similar Ansatz. With an…
We study the time-inconsistent linear quadratic optimal control problem for forward-backward stochastic differential equations with potentially indefinite cost weighting matrices for both the state and the control variables. Our research…
We consider a velocity tracking problem for stochastic Navier-Stokes equations in a 2D-bounded domain. The control acts on the boundary through an injection-suction device with uncertainty, which acts in accordance with the non-homogeneous…
This paper studies open-loop equilibriums for a general class of time-inconsistent stochastic control problems under jump-diffusion SDEs with deterministic coefficients. Inspired by the idea of Four-Step-Scheme for forward-backward…
The closed-loop stability and infinite-horizon performance of receding-horizon approximations are studied for non-stationary linear-quadratic regulator (LQR) problems. The approach is based on a lifted reformulation of the optimal control…
Stochastic diffusion equations are crucial for modeling a range of physical phenomena influenced by uncertainties. We introduce the generalized finite difference method for solving these equations. Then, we examine its consistency,…
Infinite horizon optimization problems accompany two perplexities. First, the infinite series of utility sequences may diverge. Second, boundary conditions at the infinite terminal time may not be rigorously expressed. In this paper, we…
In this paper we investigate the optimal control problem for a class of stochastic Cauchy evolution problem with non standard boundary dynamic and control. The model is composed by an infinite dimensional dynamical system coupled with a…
This paper analyses the interplay between dissipativity and stability properties in continuous-time infinite-horizon Optimal Control Problems (OCPs). We establish several relations between these properties, which culminate in a set of…
In this work we show that one can solve a finite horizon non-Markovian impulse control problem with control dependant dynamics. This dynamic satisfies certain functional Lipschitz conditions and is path dependent in such a way that the…
We characterise the value function of the optimal dividend problem with a finite time horizon as the unique classical solution of a suitable Hamilton-Jacobi-Bellman equation. The optimal dividend strategy is realised by a Skorokhod…
We consider a reaction-diffusion equation on a network subjected to dynamic boundary conditions, with time delayed behaviour, also allowing for multiplicative Gaussian noise perturbations. Exploiting semigroup theory, we rewrite the…
This paper studies finite-horizon stochastic linear-quadratic optimal control problems with random coefficients and Poisson jumps, where the weighting matrices may be random and indefinite. Under a uniform convexity condition on the cost…
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…
We study deterministic nonstationary discrete-time optimal control problems in both finite and infinite horizon. With the aid of Gateaux differentials, we prove a discrete-time maximum principle in analogy with the well-known…
This paper deals with the long time behavior of the optimal solution of stochastic backward linear-quadratic optimal control problem over the finite time horizon. Both weak and strong turnpike properties are established under appropriate…