Related papers: Time Inconsistent Stochastic Control in Continuous…

This paper provides necessary conditions of optimality for optimal control problems with time delays in both state and control variables. Different versions of the necessary conditions cover fixed end-time problems and, under additional…

This paper presents a stochastic model predictive control approach for nonlinear systems subject to time-invariant probabilistic uncertainties in model parameters and initial conditions. The stochastic optimal control problem entails a cost…

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…

Motivated by the recent interest in risk-aware control, we study a continuous-time control synthesis problem to bound the risk that a stochastic linear system violates a given specification. We use risk signal temporal logic as a…

This paper studies discrete-time two-person nonzero-sum linear quadratic stochastic games with random coefficients. Using convex variational analysis, we derive necessary and sufficient conditions for the existence of open-loop Nash…

We present existence and discrete-time approximation results on optimal control policies for continuous-time stochastic control problems under a variety of information structures. These include fully observed models, partially observed…

In this paper, a stochastic control problem under model uncertainty with general penalty term is studied. Two types of penalties are considered. The first one is of type f-divergence penalty treated in the general framework of a continuous…

This paper studies a class of strongly monotone games involving non-cooperative agents that optimize their own time-varying cost functions. We assume that the agents can observe other agents' historical actions and choose actions that best…

This paper is devoted to the distributed continuous-time optimization problem with time-varying objective functions and time-varying nonlinear inequality constraints. Different from most studied distributed optimization problems with…

A Dynkin game is considered for stochastic differential equations with random coefficients. We first apply Qiu and Tang's maximum principle for backward stochastic partial differential equations to generalize Krylov estimate for the…

In this paper, we study a class of finite-time control problems for discrete-time positive linear systems with time-varying state parameters. Although several interesting control problems appearing in population biology, economics, and…

We propose a machine learning algorithm for solving finite-horizon stochastic control problems based on a deep neural network representation of the optimal policy functions. The algorithm has three features: (1) It can solve…

In this paper we study the nonzero-sum Dynkin game in continuous time which is a two player non-cooperative game on stopping times. We show that it has a Nash equilibrium point for general stochastic processes. As an application, we…

Infinite-time nonlinear optimal regulation control is widely utilized in aerospace engineering as a systematic method for synthesizing stable controllers. However, conventional methods often rely on linearization hypothesis, while recent…

In this paper we propose a new methodology for solving an uncertain stochastic Markovian control problem in discrete time. We call the proposed methodology the adaptive robust control. We demonstrate that the uncertain control problem under…

Merton portfolio management problem is studied in this paper within a stochastic volatility, non constant time discount rate, and power utility framework. This problem is time inconsistent and the way out of this predicament is to consider…

This paper investigates a time-inconsistent portfolio selection problem in the incomplete mar ket model, integrating expected utility maximization with risk control. The objective functional balances the expected utility and variance on log…

In this paper, we consider the inverse optimal control problem for the discrete-time linear quadratic regulator, over finite-time horizons. Given observations of the optimal trajectories, and optimal control inputs, to a linear…

In this paper, we propose a class of discrete-time approximation schemes for stochastic optimal control problems under the $G$-expectation framework. The proposed schemes are constructed recursively based on piecewise constant policy. We…

In this paper we propose a new methodology for solving a discrete time stochastic Markovian control problem under model uncertainty. By utilizing the Dirichlet process, we model the unknown distribution of the underlying stochastic process…