Related papers: Optimal Ergodic Control of Linear Stochastic Diffe…
This paper presents a method to approximately solve stochastic optimal control problems in which the cost function and the system dynamics are polynomial. For stochastic systems with polynomial dynamics, the moments of the state can be…
We study an optimal control problem on infinite time horizon with semimartingale strategies, random coefficients and regime switching. The value function and the optimal strategy can be characterized in terms of three systems of backward…
Linear-quadratic optimal control problem for systems governed by forward-backward stochastic differential equations has been extensively studied over the past three decades. Recent research has revealed that for forward-backward control…
This paper focuses on indefinite stochastic mean-field linear-quadratic (MF-LQ, for short) optimal control problems, which allow the weighting matrices for state and control in the cost functional to be indefinite. The solvability of…
Optimality conditions in the form of a variational inequality are proved for a class of constrained optimal control problems of stochastic differential equations. The cost function and the inequality constraints are functions of the…
This paper is concerned with a stochastic linear quadratic (LQ, for short) control problem with a recursive cost functional. It involves BSDEs in $L^1$ whose well-posedness is a subtle issue. A suitable framework has been adopted so that…
We study a new class of ergodic backward stochastic differential equations (EBSDEs for short) which is linked with semi-linear Neumann type boundary value problems related to ergodic phenomenas. The particularity of these problems is that…
This paper investigates a stochastic linear-quadratic (SLQ, for short) control problem regulated by a time-invariant Markov chain in infinite horizon. Under the $L^2$-stability framework, we study a class of linear backward stochastic…
We consider the optimal control problem for a linear conditional McKean-Vlasov equation with quadratic cost functional. The coefficients of the system and the weigh-ting matrices in the cost functional are allowed to be adapted processes…
In this paper, we consider linear quadratic optimal control with mean-field type for discrete-time stochastic systems with state and control dependent noise. An optimal control problem is studied for a linear mean-field stochastic…
Consider a stochastic nonlinear system controlled over a possibly noisy communication channel. An important problem is to characterize the largest class of channels for which there exist coding and control policies so that the closed-loop…
In this paper, we consider the mixed optimal control of a linear stochastic system with a quadratic cost functional, with two controllers-one can choose only deterministic time functions, called the deterministic controller, while the other…
This paper studies a class of continuous-time scalar-state stochastic Linear-Quadratic (LQ) optimal control problem with the linear control constraints. Applying the state separation theorem induced from its special structure, we develop…
In this paper we introduce a new kind of Backward Stochastic Differential Equations, called ergodic BSDEs, which arise naturally in the study of optimal ergodic control. We study the existence, uniqueness and regularity of solution to…
This paper is concerned with a general linear quadratic (LQ) control problem of mean-field backward stochastic differential equation (BSDE). Here, the weighting matrices in the cost functional are allowed to be indefinite. Necessary and…
This paper is concerned with the stochastic linear-quadratic optimal control problem with Poisson jumps. The coefficients in the state equation and the weighting matrices in the cost functional are all deterministic but are allowed…
We investigate the linear quadratic stochastic optimal control problems in infinite dimension without Markovian restriction for coefficients. The necessary and sufficient conditions for open-loop optimal controls are presented. We prove the…
The optimal control of problems that are constrained by partial differential equations with uncertainties and with uncertain controls is addressed. The Lagrangian that defines the problem is postulated in terms of stochastic functions, with…
This paper is concerned with optimal control of stochastic fully coupled forward-backward linear quadratic (FBLQ) problems with indefinite control weight costs. In order to obtain the state feedback representation of the optimal control, we…
In this paper, the problem of finite horizon inverse optimal control (IOC) is investigated, where the quadratic cost function of a dynamic process is required to be recovered based on the observation of optimal control sequences. We propose…