Related papers: Covariance Steering for Discrete-Time Linear-Quadr…
The study of linear-quadratic stochastic differential games on directed networks was initiated in Feng, Fouque \& Ichiba \cite{fengFouqueIchiba2020linearquadratic}. In that work, the game on a directed chain with finite or infinite players…
We consider a finite-time stochastic drift control problem with the assumption that the control is bounded and the system is controlled until the state process leaves the half-line. Assuming general conditions, it is proved that the…
We study the time-inconsistent linear quadratic optimal control problem for forward-backward stochastic differential equations with potentially indefinite cost weighting matrices for both the state and the control variables. Our research…
We consider the problem of steering a linear stochastic system between two end-point degenerate Gaussian distributions in finite time. This accounts for those situations in which some but not all of the state entries are uncertain at the…
We extend the construction of equilibria for linear-quadratic and mean-variance portfolio problems available in the literature to a large class of mean-field time-inconsistent stochastic control problems in continuous time. Our approach…
Recently, there has been a growing interest in distributionally robust optimization (DRO) as a principled approach to data-driven decision making. In this paper, we consider a distributionally robust two-stage stochastic optimization…
The coordinated and efficient distribution of limited resources by individual decisions is a fundamental, unsolved problem. When individuals compete for road capacities, time, space, money, goods, etc., they normally make decisions based on…
This paper is concerned with a Stackelberg game of backward stochastic differential equations (BSDEs), where the coefficients of the backward system and the cost functionals are deterministic, and the control domain is convex. Necessary and…
This paper is concerned with a linear-quadratic non-zero sum differential game with asymmetric delayed information. To be specific, two players exist time delays simultaneously which are different, leading the dynamical system being an…
We study the existence of mixed-strategy equilibria in concurrent games played on graphs. While existence is guaranteed with safety objectives for each player, Nash equilibria need not exist when players are given arbitrary terminal-reward…
We consider a variant of the classical linear quadratic Gaussian regulator (LQG) in which penalties on the endpoint state are replaced by the specification of the terminal state distribution. The resulting theory considerably differs from…
In this paper, we study the covariance steering (CS) problem for discrete-time linear systems subject to multiplicative and additive noise. Specifically, we consider two variants of the so-called CS problem. The goal of the first problem,…
We investigate different turnpike phenomena of generalized discrete-time stochastic linear-quadratic optimal control problems. Our analysis is based on a novel strict dissipativity notion for such problems, in which a stationary stochastic…
This work considers the optimal covariance steering problem for systems subject to both additive noise and uncertain parameters which may enter multiplicatively with the state and the control. The unknown parameters are modeled as a…
This paper considers linear-quadratic (LQ) stochastic leader-follower Stackelberg differential games for jump-diffusion systems with random coefficients. We first solve the LQ problem of the follower using the stochastic maximum principle…
We consider stochastic control with discretionary stopping for the drift of a diffusion process over an infinite time horizon. The objective is to choose a control process and a stopping time to minimize the expectation of a convex terminal…
This paper considers the problem of steering an arbitrary initial probability density function to an arbitrary terminal one, where the system dynamics is governed by a first-order linear stochastic difference equation. It is a…
We investigate a linear quadratic stochastic zero-sum game where two players lobby a political representative to invest in a wind turbine farm. Players are time-inconsistent because they discount performance with a non-constant rate. Our…
This paper is concerned with the controller-and-stopper stochastic differential game under a regime switching model in an infinite horizon. The state of the system consists of a number of diffusions \emph{coupled} by a continuous-time…
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…