Related papers: Brownian control problems for a multiclass M/M/1 q…
We develop an approach for two player constraint zero-sum and nonzero-sum stochastic differential games, which are modeled by Markov regime-switching jump-diffusion processes. We provide the relations between a usual stochastic optimal…
In this paper we study a Pontryagin type stochastic maximum principle for the optimal control of a system, where the state dynamics satisfy a stochastic partial differential equation (SPDE) driven by a two-parameter (time-space) Brownian…
We establish existence of nearly-optimal controls, conditions for existence of an optimal control and a saddle-point for respectively a control problem and zero-sum differential game associated with payoff functionals of mean-field type,…
In ergodic singular stochastic control problems, a decision-maker can instantaneously adjust the evolution of a state variable using a control of bounded variation, with the goal of minimizing a long-term average cost functional. The cost…
Consider the first exit time of one-dimensional Brownian motion $\{B_s\}_{s\geq 0}$ from a random passageway. We discuss a Brownian motion with two time-dependent random boundaries in quenched sense. Let $\{W_s\}_{s\geq 0}$ be an other…
We consider the interaction among agents engaging in a driving task and we model it as general-sum game. This class of games exhibits a plurality of different equilibria posing the issue of equilibrium selection. While selecting the most…
This paper addresses the problem of navigation control of a general class of 2nd order uncertain nonlinear multi-agent systems in a bounded workspace, which is a subset of $R^3$ , with static obstacles. In particular, we propose a…
In this article, we revisit a communication-control co-design problem for a class of two-player stochastic differential games on an infinite horizon. Each 'player' represents two active decision makers, namely a scheduler and a remote…
In this paper, we present a family of a control-stopping games which arise naturally in equilibrium-based models of market microstructure, as well as in other models with strategic buyers and sellers. A distinctive feature of this family of…
Coalitional control is concerned with the management of multi-agent systems where cooperation cannot be taken for granted (due to, e.g., market competition, logistics). This paper proposes a model predictive control (MPC) framework aimed at…
This paper considers a differential game approach to the predecessor-following vehicle platoon control problem without and with collision avoidance. In this approach, each vehicle tries to minimize the performance index (PI) of its control…
This paper studies {a} mixed singular/switching stochastic control problem for a multidimensional diffusion with multiples regimes on a bounded domain. Using probabilistic, partial differential equation (PDE) and penalization techniques, we…
The aim of this work is to control the longitudinal position of an autonomous vehicle with an internal combustion engine. The powertrain has an inherent dead-time characteristic and constraints on physical states apply since the vehicle is…
In this paper, we study a time-inconsistent stochastic optimal control problem with a recursive cost functional by a multi-person hierarchical differential game approach. An equilibrium strategy of this problem is constructed and a…
Many natural systems exhibit phase transition where external environmental conditions spark a shift to a new and sometimes quite different state. Therefore, detecting the behavior of a stochastic dynamic system such as the most probable…
Market participants regularly send bid and ask quotes to exchange-operated limit order books. This creates an optimization challenge where their potential profit is determined by their quoted price and how often their orders are…
This paper considers competitive mobility-on-demand systems where a group of vehicle sharing companies, on one hand, want to collectively regulate the traffic of the user queueing network, and on the other hand, maximize their own profits…
We consider an arbitrary network of $M/M/\infty$ queues with controlled transitions between queues. We consider optimal control problems where the costs are linear functions of the state and inputs over a finite or infinite horizon. We…
This paper considers the problem of partially observed optimal control for forward stochastic systems which are driven by Brownian motions and an independent Poisson random measure with a feature that the cost functional is of mean-field…
We establish the existence and uniqueness of distributed equilibria to possibly nonsymmetric $N$ player differential games with interactions through controls under displacement semimonotonicity assumptions. Surprisingly, the nonseparable…