Related papers: A Maximum Principle for Mean-Field SDEs with time …
We investigate the effect of stochastic control errors in the time-dependent Hamiltonian on isolated quantum dynamics. The control errors are formulated as time-dependent stochastic noise in the Schrodinger equation. For a class of…
In this paper, we consider a system of forward-backward stochastic differential equations (FBSDEs) with monotone functionals. We show the existence and uniqueness of such a system by the method of continuation similarly to Peng and Wu…
The study of density-dependent stochastic population processes is important from a historical perspective as well as from the perspective of a number of existing and emerging applications today. In more recent applications of these…
Our purpose of this paper is to study stochastic control problem for systems driven by mean-field stochastic differential equations with elephant memory, in the sense that the system (like the elephants) never forgets its history. We study…
This work addresses stochastic optimal control problems where the unknown state evolves in continuous time while partial, noisy, and possibly controllable measurements are only available in discrete time. We develop a framework for…
We study a class of deterministic mean field games on finite and infinite time horizons arising in models of optimal exploitation of exhaustible resources. The main characteristic of our game is an absorption constraint on the players'…
In this paper, we consider the stochastic optimal control problem for the interacting particle system. We obtain the stochastic maximum principle of the optimal control system by introducing a generalized backward stochastic differential…
In this study, we propose a varying terminal time structure for the optimal control problem under state constraints, in which the terminal time follows the varying of the control via the constrained condition. Focusing on this new optimal…
In this paper, an open problem is solved, for the stochastic optimal control problem with delay where the control domain is nonconvex and the diffusion term contains both control and its delayed term. Inspired by previous results by \O…
In this paper, we study the linear-quadratic control problem for mean-field backward stochastic differential equations (MF-BSDE) with random coefficients. We first derive a preliminary stochastic maximum principle to analyze the unique…
In this paper, a class of time inconsistent linear quadratic optimal control problems of mean-field stochastic differential equations (SDEs) is considered under Markovian framework. Open-loop equilibrium controls and their particular…
We develop the linear programming approach to mean-field games in a general setting. This relaxed control approach allows to prove existence results under weak assumptions, and lends itself well to numerical implementation. We consider…
In this paper, we study a class of linear-quadratic (LQ) mean field games of controls with common noises and their corresponding $N$-player games. The theory of mean field game of controls considers a class of mean field games where the…
In this paper we develop necessary conditions for optimality, in the form of the stochastic Pontryagin maximum principle, for controlled equations with pointwise delay in the state and with control dependent noise, in the general case of…
We consider a class of optimal control problems, with finite or infinite horizon, for a continuous-time Markov chain with finite state space. In this case, the control process affects the transition rates. We suppose that the controlled…
In this paper, we consider optimal control problems derived by stochastic systems with delay, where control domains are non-convex and the diffusion coefficients depend on control variables. By an estimate of the integral of…
We investigate the convergence of symmetric stochastic differential games with interactions via control, where the volatility terms of both idiosyncratic and common noises are controlled. We apply the stochastic maximum principle, following…
The rate of strong convergence is investigated for an approximation scheme for a class of stochastic differential equations driven by a time-changed Brownian motion, where the random time changes $(E_t)_{t\ge 0}$ considered include the…
We consider a stochastic control problem where the set of strict (classical) controls is not necessarily convex and the the variable control has two components, the first being absolutely continuous and the second singular. The system is…
The classical stochastic control problem under partial information can be formulated as a control problem for Zakai equation, whose solution is the unnormalized conditional probability distribution of the state of the system. Zakai equation…