Related papers: Infinite horizon jump-diffusion forward-backward s…
We consider a class of diffusions controlled through the drift and jump size, and driven by a jump L\'evy process and a nondegenerate Wiener process, and we study infinite horizon (ergodic) risk-sensitive control problem for this model. We…
In this paper, we continue our study on a general time-inconsistent stochastic linear--quadratic (LQ) control problem originally formulated in [6]. We derive a necessary and sufficient condition for equilibrium controls via a flow of…
This paper focuses on infinite-horizon optimal control problems for dissipative systems and the relations to their finite-horizon formulations. We show that, for a large class of problems, dissipativity of the state equation, when a…
We study stochastic Nash equilibrium problems with expected valued cost functions whose pseudogradient satisfies restricted monotonicity properties which hold only with respect to the solution. We propose a forward-backward algorithm and…
We study the stability of receding horizon control for continuous-time non-linear stochastic differential equations. We illustrate the results with a simulation example in which we employ receding horizon control to design an investment…
Throughout this paper, we focused our aim on the problem of optimal control under a risk-sensitive performance functional, where the system is given by a fully coupled forward-backward stochastic differential equation with jump. The risk…
In this paper we are concerned with a new type of backward equations with anticipation which we call neutral backward stochastic functional differential equations. We obtain the existence and uniqueness and prove a comparison theorem. As an…
Optimal control of heterogeneous mean-field stochastic differential equations with common noise has not been addressed in the literature. In this work, we initiate the study of such models. We formulate the problem within a linear-quadratic…
We study an infinite horizon optimal stopping problem which arises naturally in the optimal timing of a firm/project sale or in the valuation of natural resources: the functional to be maximised is a sum of a discounted running reward and a…
In this paper we study jump-diffusion stochastic differential equations (SDEs) with a discontinuous drift coefficient and a possibly degenerate diffusion coefficient. Such SDEs appear in applications such as optimal control problems in…
In this paper we consider an infinite horizon zero-sum differential game where the dynamics of each player and the running cost are also depending on the evolution of some discrete (switching) variables. In particular, such switching…
In this paper, we study a stochastic linear-quadratic control problem with random coefficients and regime switching on a horizon $[0,T\wedge\tau]$, where $\tau$ is a given random jump time for the underlying state process and $T$ is a…
In this article, we consider a receding horizon control of discrete-time state-dependent jump linear systems, particular kind of stochastic switching systems, subject to possibly unbounded random disturbances and probabilistic state…
In most real cases transition probabilities between operational modes of Markov jump linear systems cannot be computed exactly and are time-varying. We take into account this aspect by considering Markov jump linear systems where the…
We consider an optimal control problem for infinite horizon systems governed by coupled forward-backward stochastic Volterra integral equations with delay. Using Hida-Malliavin calculus, we prove both sufficient and necessary maximum…
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…
In this paper, we consider the infinite horizon optimal control problem for nonlinear systems. Under the conditions of controllability of the linearized system around the origin, and nonlinear controllability of the system to a terminal set…
We consider the infinite horizon risk-sensitive problem for nondegenerate diffusions with a compact action space, and controlled through the drift. We only impose a structural assumption on the running cost function, namely…
The aim is to prove the well-posedness of infinite horizon backward stochastic differential equations driven by $G$-Brownian motion ($G$-BSDEs) with quadratic generators. To this end, we provide a full construction of explicit solutions to…
In this paper, we establish a result for existence and uniqueness of stochastic differential equations on Riemannian manifolds, for regular inhomogeneous tensor coefficients with stochastic drift, under geometrical hypothesis on the…