Related papers: A Linear Quadratic Stochastic Stackelberg Differen…
An optimal control problem is studied for a linear mean-field stochastic differential equation with a quadratic cost functional. The coefficients and the weighting matrices in the cost functional are all assumed to be deterministic.…
We study stochastic delay differential equations (SDDE) where the coefficients depend on the moving averages of the state process. As a first contribution, we provide sufficient conditions under which a linear path functional of the…
This paper studies the effects of a time-delayed feedback control on the appearance and development of spatiotemporal patterns in a reaction-diffusion system. Different types of control schemes are investigated, including single-species,…
Cyber deception is an emerging proactive defense strategy to counter increasingly sophisticated attacks such as Advanced Persistent Threats (APTs) by misleading and distracting attackers from critical assets. However, since deception…
This paper discusses the discrete-time mean-field stochastic linear quadratic optimal control problems, whose weighting matrices in the cost functional are not assumed to be definite. The open-loop solvability is characterized by the…
This paper focuses on linear-quadratic (LQ for short) mean-field games described by forward-backward stochastic differential equations (FBSDEs for short), in which the individual control region is postulated to be convex. The decentralized…
We study general stochastic birth and death processes including delay. We develop several approaches for the analytical treatment of these non-Markovian systems, valid, not only for constant delays, but also for stochastic delays with…
This paper is concerned with a non-zero sum differential game problem of an anticipated forward-backward stochastic differential delayed equation under partial information. We establish a necessary maximum principle and sufficient…
This paper investigates a two-person non-homogeneous linear-quadratic stochastic differential game (LQ-SDG, for short) in an infinite horizon for a system regulated by a time-invariant Markov chain. Both non-zero-sum and zero-sum LQ-SDG…
We propose a new algorithm for a broad class of periodic time-varying Stochastic Game-Theoretic Riccati Differential Equations arising in Zero-Sum Linear-Quadratic Stochastic Differential Games. The algorithm is constructed via dual-layer…
We develop a martingale approach for studying continuous-time stochastic differential games of control and stopping, in a non-Markovian framework and with the control affecting only the drift term of the state-process. Under appropriate…
This paper is concerned with a three-level stochastic linear-quadratic Stackelberg differential game with asymmetric information, in which three players participate credited as Player 1, Player 2 and Player 3. Player 3 acts as the leader of…
In this work, we propose a feedback control based temporal discretization for linear quadratic optimal control problems (LQ problems) governed by controlled mean-field stochastic differential equations. We firstly decompose the original…
A linear quadratic (LQ) stochastic optimization system involving large population, which is driven by forward-backward stochastic differential equation (FBSDE), is investigated in this paper. Agents cooperate with each other to minimize the…
This paper focuses on time-varying delayed stochastic differential systems with stochastically switching parameters formulated by a unified switching behavior combining a discrete adapted process and a Cox process. Unlike prior studies…
Linear-quadratic Gaussian games provide a framework for modeling strategic interactions in multi-agent systems, where agents must estimate system states from noisy observations while also making decisions to optimize a quadratic cost.…
In this paper, a class of time inconsistent linear quadratic optimal control problems of mean-field stochastic differential equations (SDEs) is considered under Markovian framework. Open-loop equilibrium controls and their particular…
We formulate a new class of two-person zero-sum differential games, in a stochastic setting, where a specification on a target terminal state distribution is imposed on the players. We address such added specification by introducing…
In this paper, we study the optimal control problem for steering the state covariance of a discrete-time linear stochastic system over a finite time horizon. First, we establish the existence and uniqueness of the optimal control law for a…
We study in this paper the linear quadratic optimal control (linear quadratic regulation, LQR for short) for discrete-time complex-valued linear systems, which have shown to have several potential applications in control theory. Firstly, an…