Related papers: Linear quadratic stochastic control problems with …
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…
We consider a general linear control system and a general quadratic cost, where the state evolves continuously in time and the control is sampled, i.e., is piecewise constant over a subdivision of the time interval. This is the framework of…
Stochastic optimal control problems with constraints on the probability distribution of the final output are considered. Necessary conditions for optimality in the form of a coupled system of partial differential equations involving a…
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…
This paper is concerned with a general non-homogeneous stochastic linear quadratic (LQ) control problem with regime switching and random coefficients. We obtain the explicit optimal state feedback control and optimal value for this problem…
We consider the problem of minimum energy steering of a linear stochastic system to a final prescribed distribution over a finite horizon and to maintain a stationary distribution over an infinite horizon. We present sufficient conditions…
In this paper, we study an optimal control problem of linear backward stochastic differential equation (BSDE) with quadratic cost functional under partial information. This problem is solved completely and explicitly by using a stochastic…
This paper mainly establishes the finite-horizon stochastic bounded real lemma, and then solves the $H_{\infty}$ control problem for discrete-time stochastic linear systems defined on the separable Hilbert spaces, thereby unifying the…
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) optimal control problem on infinite time horizon, with regime switching, random coefficients, and cone control constraint. To tackle the problem, two new extended stochastic…
A finite horizon linear quadratic(LQ) optimal control problem is studied for a class of discrete-time linear fractional systems (LFSs) affected by multiplicative, independent random perturbations. Based on the dynamic programming technique,…
In this paper, a leader-follower stochastic differential game is studied for a linear stochastic differential equation with a quadratic cost functional. The coefficients in the state equation and the weighting matrices in the cost…
In this paper, we first prove that the mean-field stochastic linear quadratic (MFSLQ for short) control problem with random coefficients has a unique optimal control and derive a preliminary stochastic maximum principle to characterize this…
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…
This paper investigates the stochastic linear quadratic (LQ, for short) optimal control problem of Markov regime switching system. The representation of the cost functional for the stochastic LQ optimal control problem of Markov regime…
In this paper, we formulate a general time-inconsistent stochastic linear--quadratic (LQ) control problem. The time-inconsistency arises from the presence of a quadratic term of the expected state as well as a state-dependent term in the…
This paper is concerned with a linear-quadratic (LQ) leader-follower differential game with mixed deterministic and stochastic controls. In the game, the follower is a random controller which means that the follower can choose adapted…
A time-inconsistent optimal control problem is formulated and studied for a controlled linear ordinary differential equation with quadratic cost functional. A notion of equilibrium control is introduced, which can be regarded as a…
We consider a stochastic control problem, where the control domain is convex and the system is governed by a nonlinear backward stochastic differential equation. With a L1 terminal data, we derive necessary optimality conditions in the form…
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…