Related papers: Linear-quadratic stochastic delayed control and de…
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…
This paper studies the adaptive optimal control problem for a class of linear time-delay systems described by delay differential equations (DDEs). A crucial strategy is to take advantage of recent developments in reinforcement learning and…
This paper studies a continuous-time stochastic linear-quadratic (SLQ) optimal control problem on infinite-horizon. A data-driven policy iteration algorithm is proposed to solve the SLQ problem. Without knowing three system coefficient…
This paper investigates the existence of a G-relaxed optimal control of a controlled stochastic differential delay equation driven by G-Brownian motion (G-SDDE in short). First, we show that optimal control of G-SDDE exists for the finite…
This article is concerned with an optimal control problem derived by mean-field forward-backward stochastic differential equation with noisy observation, where the drift coefficients of the state equation and the observation equation are…
We consider a mixed stochastic control problem that arises in Mathematical Finance literature with the study of interactions between dividend policy and investment. This problem combines features of both optimal switching and singular…
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…
This paper mainly establishes the finite-horizon stochastic bounded real lemma, and then solves the $H_{\infty}$ control problem for discrete-time stochastic linear systems defined on the separable Hilbert spaces, thereby unifying the…
The purpose of this paper is to close the remaining gaps in the understanding of the role that the constrained generalized continuous algebraic Riccati equation plays in singular linear-quadratic (LQ) optimal control. Indeed, in spite of…
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…
In this paper we first consider a linear time invariant systems with almost periodic forcing term. We propose a new deterministic quadratic control problem, motivated by Da-Prato. With the help of associated degenerate Riccati equation we…
Most existing literature on supply chain and inventory management consider stochastic demand processes with zero or constant lead times. While it is true that in certain niche scenarios, uncertainty in lead times can be ignored, most…
This paper is concerned with a stochastic linear-quadratic optimal control problem in a finite time horizon, where the coefficients of the control system are allowed to be random, and the weighting matrices in the cost functional are…
Motivated by linear-quadratic optimal control problems (LQ problems, for short) for mean-field stochastic differential equations (SDEs, for short) with the coefficients containing regime switching governed by a Markov chain, we consider an…
In this paper, we study the linear-quadratic control problem for mean-field backward stochastic differential equations (MF-BSDE) with random coefficients. We first derive a preliminary stochastic maximum principle to analyze the unique…
This paper addresses a risk-constrained decentralized stochastic linear-quadratic optimal control problem with one remote controller and one local controller, where the risk constraint is posed on the cumulative state weighted variance in…
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…
This paper investigates optimal control problems for delayed systems governed by Infinitely Anticipated Backward Stochastic Differential Equations (IABSDEs). Unlike existing frameworks limited to bounded delays, we introduce a generalized…
This paper examines stochastic optimal control problems in which the state is perfectly known, but the controller's measure of time is a stochastic process derived from a strictly increasing L\'evy process. We provide dynamic programming…
We consider the linear quadratic Gaussian control problem with a discounted cost functional for descriptor systems on the infinite time horizon. Based on recent results from the deterministic framework, we characterize the feasibility of…