Related papers: Linear-Quadratic Stochastic Stackelberg Differenti…
In this paper, we investigate a class of nonzero-sum dynamic stochastic games, where players have linear dynamics and quadratic cost functions. The players are coupled in both dynamics and cost through a linear regression (weighted average)…
This paper considers a risk-sensitive optimal control problem for a field-mediated interconnection of a quantum plant with a coherent (measurement-free) quantum controller. The plant and the controller are multimode open quantum harmonic…
This paper studies uniform stabilization and social optimality for linear quadratic (LQ) mean field control problems with multiplicative noise, where agents are coupled via dynamics and individual costs. The state and control weights in…
The risk-neutral LQR controller is optimal for stochastic linear dynamical systems. However, the classical optimal controller performs inefficiently in the presence of low-probability yet statistically significant (risky) events. The…
This paper studies the optimal control problems of stochastic evolution equations with infinite delay of general functional type. By introducing a non-anticipative path derivative and its infinite-window dual operator, we derive the…
This paper investigates a linear quadratic stochastic optimal control (LQSOC) problem with partial information. Firstly, by introducing two Riccati equations and a backward stochastic differential equation (BSDE), we solve this LQSOC…
In this paper, we investigate infinite horizon jump-diffusion forward-backward stochastic differential equations under some monotonicity conditions. We establish an existence and uniqueness theorem, two stability results and a comparison…
We study the Pontryagin maximum principle by deriving necessary and sufficient conditions for a class of optimal control problems arising in non exchangeable mean field systems, where agents interact through heterogeneous and asymmetric…
A study of the linear quadratic (LQ) control problem on a finite time interval for a model equation in Hilbert spaces which comprehends the memory of the inputs was performed recently by the authors. The outcome included a closed-loop…
We study a two-player dynamic Stackelberg game where the follower's intention is unknown to the leader. Classical formulations of the Stackelberg equilibrium (SE) assume that the follower's best response (BR) function is known to the…
This paper is concerned with a stochastic linear-quadratic optimal control problem with regime switching, random coefficients, and cone control constraint. The randomness of the coefficients comes from two aspects: the Brownian motion and…
This paper is concerned with a stochastic linear quadratic (LQ, for short) optimal control problem. The notions of open-loop and closed-loop solvabilities are introduced. A simple example shows that these two solvabilities are different.…
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,…
Leader-follower general-sum stochastic games (LF-GSSGs) model sequential decision-making under asymmetric commitment, where a leader commits to a policy and a follower best responds, yielding a strong Stackelberg equilibrium (SSE) with…
This paper is concerned with the open-loop time-consistent solution of time-inconsistent mean-field stochastic linear-quadratic optimal control. Different from standard stochastic linear-quadratic problems, both the system matrices and the…
This paper applies a reinforcement learning (RL) method to solve infinite horizon continuous-time stochastic linear quadratic problems, where drift and diffusion terms in the dynamics may depend on both the state and control. Based on…
In this paper, a decentralized stochastic control system consisting of one leader and many homogeneous followers is studied. The leader and followers are coupled in both dynamics and cost, where the dynamics are linear and the cost function…
We study four systems and their interactions. First, we formulate a unified system of coupled forward-backward stochastic partial differential equations (FB-SPDEs) with Levy jumps, whose drift, diffusion, and jump coefficients may involve…
This paper studies the stochastic optimal control problem for systems with unknown dynamics. First, an open-loop deterministic trajectory optimization problem is solved without knowing the explicit form of the dynamical system. Next, a…
Stochastic maximum principle of nonlinear controlled forward-backward systems, where the set of strict (classical) controls need not be convex and the diffusion coefficient depends explicitly on the variable control, is an open problem…