Related papers: Linear-quadratic optimal control under non-Markovi…
We consider a stochastic control problem with the assumption that the system is controlled until the state process breaks the fixed barrier. Assuming some general conditions, it is proved that the resulting Hamilton Jacobi Bellman equations…
In this work, we study a class of mean-field linear quadratic Gaussian (LQG) problems. Under suitable conditions, explicit solutions of the distribution-dependent optimal control problems are obtained. Riccati systems are derived by…
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 considers linear-quadratic control of a non-linear dynamical system subject to arbitrary cost. I show that for this class of stochastic control problems the non-linear Hamilton-Jacobi-Bellman equation can be transformed into a…
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 work, we study the control constrained distributed optimal control of a stationary doubly diffusive flow model. For the control problem, we use a well-posedness analysis based on minimal assumptions on data and domain. We show the…
This paper is concerned with the open-loop time-consistent solution of time-inconsistent mean-field stochastic linear-quadratic optimal control. Different from standard stochastic linear-quadratic problems, both the system matrices and the…
A study of the linear quadratic (LQ) control problem on a finite time interval for a model equation in Hilbert spaces which comprehends the memory of the inputs was performed recently by the authors. The outcome included a closed-loop…
This paper investigates a zero-sum stochastic linear-quadratic (SLQ, for short) Stackelberg differential game problem, where the coefficients of the state equation and the weighting matrices in the performance functional are regulated by a…
In this paper, we consider a general time-inconsistent optimal control problem for a non homogeneous linear system, in which its state evolves according to a stochastic differential equation with deterministic coefficients, when the noise…
This paper investigates a multidimensional non-homogeneous stochastic linear-quadratic optimal control problem featuring random coefficients and a terminal mean-field term in the cost functional, enabling its direct application to…
This paper is concerned with the stochastic linear-quadratic optimal control problem with Poisson jumps. The coefficients in the state equation and the weighting matrices in the cost functional are all deterministic but are allowed…
In this paper we study the quadratic regulator problem for a process governed by a Volterra integral equation in ${\mathbb R}^n$. Our main goal is the proof that it is possible to associate a Riccati differential equation to this quadratic…
We study the Linear-Quadratic optimal control problem for a general class of infinite-dimensional passive systems, allowing for unbounded input and output operators. We show that under mild assumptions, the finite cost condition is always…
This paper is concerned with a stochastic linear quadratic (LQ, for short) control problem with a recursive cost functional. It involves BSDEs in $L^1$ whose well-posedness is a subtle issue. A suitable framework has been adopted so that…
We analyze a class of multidimensional linear-quadratic stochastic control problems with random coefficients, motivated by multi-asset optimal trade execution. The problems feature non-diffusive controlled state dynamics and a terminal…
In this paper, we study linear-quadratic control problems for stochastic Volterra integral equations with singular and non-convolution-type coefficients. The weighting matrices in the cost functional are not assumed to be non-negative…
This paper studies uniform stabilization and social optimality for linear quadratic (LQ) mean field control problems with multiplicative noise, where agents are coupled via dynamics and individual costs. The state and control weights in…
In this paper, we consider a discrete-time stochastic control problem with uncertain initial and target states. We first discuss the connection between optimal transport and stochastic control problems of this form. Next, we formulate a…
In this note, we study a class of indefinite stochastic McKean-Vlasov linear-quadratic (LQ in short) control problem under the control taking nonnegative values. In contrast to the conventional issue, both the classical dynamic programming…