Related papers: Infinite horizon jump-diffusion forward-backward s…
In this work we mainly prove the existence and pathwise uniqueness of solutions to general backward doubly stochastic differential equations with jumps appearing in both forward and backward integral parts. Several comparison theorems under…
We consider constrained linear-quadratic dynamic games arising in autonomous vehicle platooning, intersection crossing and other cooperative driving scenarios. Infinite-horizon Nash equilibria are reformulated as receding-horizon affine…
In this paper, we present an optimal control problem for stochastic differential games under Markov regime-switching forward-backward stochastic differential equations with jumps and partial information. First, we prove a sufficient maximum…
This paper studies indefinite stochastic linear-quadratic (LQ) optimal control for jump-diffusion systems with random coefficients. We construct an algebraic inverse flow from the zero-control base system, extract the semimartingale kernel…
We investigate the linear quadratic stochastic optimal control problems in infinite dimension without Markovian restriction for coefficients. The necessary and sufficient conditions for open-loop optimal controls are presented. We prove the…
We present novel techniques for neuro-symbolic concurrent stochastic games, a recently proposed modelling formalism to represent a set of probabilistic agents operating in a continuous-space environment using a combination of neural network…
The aim of the paper is to study an optimal control problem on infinite horizon for an infinite dimensional integro-differential equation with completely monotone kernelskernels, where we assume that the noise enters the system when we…
We consider dynamic games with linear dynamics and quadratic objective functions. We observe that the unconstrained open-loop Nash equilibrium coincides with a linear quadratic regulator in an augmented space, thus deriving an explicit…
The paper addresses an existence problem for infinite horizon optimal control when the system under control is exponentially stabilizable or stable. Classes of nonlinear control systems for which infinite horizon optimal controls exist are…
This paper is mainly concerned with the solutions to both forward and backward mean-field stochastic partial differential equation and the corresponding optimal control problem for mean-field stochastic partial differential equation. We…
In this paper, we introduce a new method for study on backward stochastic differential equations with stopping time as time horizon. And using this, we show that some results on backward stochastic differential equations with constant time…
This article is concerned with an optimal control problem derived by mean-field forward-backward stochastic differential equation with noisy observation, where the drift coefficients of the state equation and the observation equation are…
We address a class of backward stochastic differential equations on a bounded interval, where the driving noise is a marked, or multivariate, point process. Assuming that the jump times are totally inaccessible and a technical condition…
Under quasi-monotone assumptions for coefficients, we show one kind of comparison theorem for multi-dimensional\textbf{\}backward doubly stochastic differential equations on infinite horizon. An example is given as well.
The aim of this paper is to establish the existence and uniqueness of the solution to a system of nonlinear fully coupled forward-backward doubly stochastic differential equations with Poisson jumps. Our system is Markovian in the sense…
We study a regulation problem for stochastic systems subject to both continuous fluctuations and rare but significant shocks, modeled as a jump-diffusion with uncertainty in both the drift and the jump intensity. Such settings arise in…
This paper is concerned with a linear quadratic (LQ, for short) optimal control problem for mean-field backward stochastic differential equations (MF-BSDE, for short) driven by a Poisson random martingale measure and a Brownian motion.…
Motivated by the design of fast reinforcement learning algorithms, we study the diffusive limit of a class of pure jump ergodic stochastic control problems. We show that, whenever the intensity of jumps is large enough, the approximation…
In this paper, we consider a linear-quadratic optimal control problem of mean-field stochastic differential equation with jump diffusion, which is also called as an MF-LQJ problem. Here, cost functional is allowed to be indefinite. We use…
This paper is related to nonzero-sum stochastic differential games in the Markovian framework. We show existence of a Nash equilibrium point for the game when the drift is no longer bounded and only satisfies a linear growth condition. The…