Related papers: Linear-Quadratic Optimal Control Problems for Mean…
In this paper we study a class of stochastic control problems in which the control of the jump size is essential. Such a model is a generalized version for various applied problems ranging from optimal reinsurance selections for general…
This paper is concerned with a mean-field linear quadratic (LQ, for short) optimal control problem with deterministic coefficients. It is shown that convexity of the cost functional is necessary for the finiteness of the mean-field LQ…
This paper studies the linear-quadratic (LQ) optimal control problem of a class of systems governed by the first-order hyperbolic partial differential equations (PDEs) with final state constraints. The main contribution is to present the…
We study methods for solving stochastic control problems of systems of forward-backward mean-field equations with delay, in finite or infinite horizon. Necessary and sufficient maximum principles under partial information are given. The…
In this article, we consider a weighted mean-field control problem with jump-diffusion as its state process. The main difficulty is from the non-Lipschitz property of the coefficients. We overcome this difficulty by an $L_{p,q}$-estimate of…
In this paper, we solve the long-standing fundamental problem of irregular linear--quadratic (LQ) optimal control, which has received significant attention since the 1960s. We derive the optimal controllers via the key technique of finding…
In this paper we study backward stochastic differential equations (BSDEs) driven by the compensated random measure associated to a given pure jump Markov process X on a general state space K. We apply these results to prove well-posedness…
In the present work we employ, for the first time, backward stochastic differential equations (BSDEs) to study the optimal control of semi-Markov processes on finite horizon, with general state and action spaces. More precisely, we prove…
In this manuscript, we study a class of linear-quadratic (LQ) mean field control problems with a common noise and their corresponding $N$-particle systems. The mean field control problems considered are not standard LQ mean field control…
We solve a linear quadratic optimal control problem for sampled-data systems with stochastic delays. The delays are stochastically determined by the last few delays. The proposed optimal controller can be efficiently computed by iteratively…
This paper focuses on linear-quadratic (LQ for short) mean-field games described by forward-backward stochastic differential equations (FBSDEs for short), in which the individual control region is postulated to be convex. The decentralized…
In this paper, we mainly focus on solving high-dimensional stochastic Hamiltonian systems with boundary condition, which is essentially a Forward Backward Stochastic Differential Equation (FBSDE in short), and propose a novel method from…
In this paper, we investigate the optimal control problems for stochastic differential equations (SDEs in short) of mean-field type with jump processes. The control variable is allowed to enter into both diffusion and jump terms. This…
In this paper, we concern with the ergodic linear-quadratic closed-loop optimal control problems, in which the state equation is the mean-field stochastic differential equation with periodic coefficients. We first study the asymptotic…
This paper studies social optima and Nash games for mean field linear quadratic control systems, where subsystems are coupled via dynamics and individual costs. For the social control problem, we first obtain a set of forward-backward…
In this paper, we study a class of linear-quadratic (LQ) mean-field games in which the individual control process is constrained in a closed convex subset $\Gamma$ of full space $\mathbb{R}^m$. The decentralized strategies and consistency…
This paper studies the optimal control problems of stochastic evolution equations with infinite delay of general functional type. By introducing a non-anticipative path derivative and its infinite-window dual operator, we derive the…
This paper is concerned with a linear-quadratic (LQ) Stackelberg mean field games of backward-forward stochastic systems, involving a backward leader and a substantial number of forward followers. The leader initiates by providing its…
This paper addresses the optimal control problem of finite-horizon discrete-time nonlinear systems under state and control constraints. A novel numerical algorithm based on optimal control theory is proposed to achieve superior…
We study the linear-quadratic control problem for a class of non-exchangeable mean-field systems, which model large populations of heterogeneous interacting agents. We explicitly characterize the optimal control in terms of a new…