Related papers: Linear-quadratic stochastic delayed control and de…
In this paper, our goal is to study fundamental foundations of linear quadratic Gaussian (LQG) control problems for stochastic linear time-invariant systems via Lagrangian duality of semidefinite programming (SDP) problems. In particular,…
This note introduces a new analytic approach to the solution of a very general class of finite-horizon optimal control problems formulated for discrete-time systems. This approach provides a parametric expression for the optimal control…
We obtain a probabilistic solution to linear-quadratic optimal control problems with state constraints. Given a closed set $\mathcal{D}\subseteq [0,T]\times\mathbb{R}^d$, a diffusion $X$ in $\mathbb{R}^d$ must be linearly controlled in…
In this paper, a leader-follower stochastic differential game is studied for a linear stochastic differential equation with a quadratic cost functional. The coefficients in the state equation and the weighting matrices in the cost…
In this paper, our primary focus lies in the thorough investigation of a specific category of nonlinear fully coupled forward-backward stochastic differential equations involving time delays and advancements with the incorporation of…
We consider a stochastic optimal control problem governed by a stochastic differential equation with delay in the control. Using a result of existence and uniqueness of a sufficiently regular mild solution of the associated…
In this work, we study a class of mean-field linear quadratic Gaussian (LQG) problems. Under suitable conditions, explicit solutions of the distribution-dependent optimal control problems are obtained. Riccati systems are derived by…
This article is concerned with stochastic control problems for backward doubly stochastic differential equations of mean-field type, where the coefficient functions depend on the joint distribution of the state process and the control…
This paper addresses the problem of steering the distribution of the state of a discrete-time linear system to a given target distribution while minimizing an entropy-regularized cost functional. This problem is called a maximum entropy…
This paper considers a class of stochastic control problems with implicitly defined objective functions, which are the sources of time-inconsistency. We study the closed-loop equilibrium solutions in a general controlled diffusion…
We deal with backward stochastic differential equations with time delayed generators. In this new type of equations, a generator at time t can depend on the values of a solution in the past, weighted with a time delay function for instance…
We consider impulse control problems in finite horizon for diffusions with decision lag and execution delay. The new feature is that our general framework deals with the important case when several consecutive orders may be decided before…
We study a discrete time queueing system where deterministic arrivals have i.i.d. exponential delays $\xi_{i}$. The standard deviation $\sigma$ of the delay is finite, but its value is much larger than the deterministic unit service time.…
This paper investigates the properties of the solutions of the generalised discrete algebraic Riccati equation arising from the solution of the classic infinite-horizon linear quadratic control problem. In particular, a geometric analysis…
The finite horizon $H_2/H_\infty$ control problem of mean-field type for discrete-time systems is considered in this paper. Firstly, we derive a mean-field stochastic bounded real lemma (SBRL). Secondly, a sufficient condition for the…
This note concerns a class of matrix Riccati equations associated with stochastic linear-quadratic optimal control problems with indefinite state and control weighting costs. A novel sufficient condition of solvability of such equations is…
We provide a thorough study of a general class of linear-quadratic extended mean field games and control problems in any dimensions where the mean field terms are allowed to be unbounded and there are also presence of cross terms in the…
We consider a control problem where the system is driven by a decoupled as well as a coupled forward-backward stochastic differential equation. We prove the existence of an optimal control in the class of relaxed controls, which are…
In this note, we study a class of indefinite stochastic McKean-Vlasov linear-quadratic (LQ in short) control problem under the control taking nonnegative values. In contrast to the conventional issue, both the classical dynamic programming…
A Deterministic affine quadratic optimal control problem is considered. Due to the nature of the problem, optimal controls exist under some very mild conditions. Further, it is shown that under some assumptions, the value function is…