Related papers: Infinite horizon jump-diffusion forward-backward s…
This paper deals with a stochastic optimal feedback control problem for the controlled stochastic partial differential equations. More precisely, we establish the existence of stochastic optimal feedback control for the controlled…
The maximum principle for optimal control problems of fully coupled forward-backward doubly stochastic differential equations (FBDSDEs in short) in the global form is obtained, under the assumptions that the diffusion coefficients do not…
This paper develops a hierarchical games-in-games control architecture for hybrid stochastic systems governed by regime-switching jump-diffusions. We model the interplay between continuous state dynamics and discrete mode transitions as a…
We develop the dynamic programming approach for a family of infinite horizon boundary control problems with linear state equation and convex cost. We prove that the value function of the problem is the unique regular solution of the…
This paper is concerned with stochastic linear quadratic (LQ, for short) optimal control problems in an infinite horizon with conditional mean-field term in a switching regime environment. The orthogonal decomposition introduced in [21] has…
The minimization of energy-like cost functionals is addressed in the context of optimal control problems. For a general class of dynamical systems, with possibly unstable and nonlinear free dynamics, it is shown that a sequence of solutions…
In this paper, we adapt stochastic Perron's method to analyze a stochastic target problem with unbounded controls in a jump diffusion set-up. With this method, we construct a viscosity sub-solution and super-solution to the associated…
This paper is dedicated to the analysis of infinite horizon optimal control problems subject to semilinear parabolic equations with constraints on the controls and discounted cost functionals. The discount factors on the cost and the state…
This paper analyzes the limiting behavior of stochastic linear-quadratic optimal control problems in finite time horizon $[0,T]$ as $T\rightarrow\infty$. The so-called turnpike properties are established for such problems, under…
This paper studies an infinite horizon optimal control problem for discrete-time linear systems and quadratic criteria, both with random parameters which are independent and identically distributed with respect to time. A classical approach…
We provide verification theorems (at different levels of generality) for infinite horizon stochastic control problems in continuous time for semimartingales. The control framework is given as an abstract "martingale formulation", which…
We consider a singular stochastic control problem, which is called the Monotone Follower Stochastic Control Problem and give sufficient conditions for the existence and uniqueness of a local-time type optimal control. To establish this…
In this paper, we introduce a new type of backward stochastic differential equations (BSDEs) with infinite anticipation, where the generator depends on the entire future values of the solution in infinite horizon. We show that the new BSDEs…
We study continuous stochastic games with heterogeneous mean field interactions and jumps on large networks and explore their limit counterparts. We introduce the graphon game model based on a controlled graphon mean field stochastic…
This paper focuses on a kind of linear quadratic non-zero sum differential game driven by backward stochastic differential equation with asymmetric information, which is a natural continuation of Wang and Yu [IEEE TAC (2010) 55: 1742-1747,…
Consider a set of discounted optimal stopping problems for a one-parameter family of objective functions and a fixed diffusion process, started at a fixed point. A standard problem in stochastic control/optimal stopping is to solve for the…
In this paper, we study a class of stochastic time-inconsistent linear-quadratic (LQ) control problems with control input constraints. These problems are investigated within the more general framework associated with random coefficients.…
The Inverse Optimal Control (IOC) problem is a structured system identification problem that aims to identify the underlying objective function based on observed optimal trajectories. This provides a data-driven way to model experts'…
In this note we consider a problem of stochastic optimal control with the infinite-time horizon. We present analogues of the Seierstad sufficient conditions of overtaking optimality based on the dual variables stochastic described by BSDEs…
We introduce a numerically stable reformulation of controllability scoring based on a scaled controllability Gramian, which remains reliably computable even for unstable systems. The resulting optimization problems define dynamics-aware…