Related papers: Discrete time risk sensitive control problem
We give a characterization of the controllability for discrete-time linear systems with convex output constraints. It extends all previously known characterizations in the literature, as well as our previous results on controllability of…
In this review, we extend the Boundary Control method\, -- \,an approach to inverse problems based on control theory for dynamical systems \, -- \,to inverse problems for discrete dynamical systems. We apply our results to classical moment…
We study stochastic optimal control problems for (possibly degenerate) McKean-Vlasov controlled diffusions and obtain discrete-time as well as finite interacting particle approximations. (i) Under mild assumptions, we first prove the…
This paper focuses on a class of continuous-time controlled Markov chains with time-inconsistent and distribution-dependent cost functional (in some appropriate sense). A new definition of time-inconsistent distribution-dependent…
We study time-consistency questions for processes of monetary risk measures that depend on bounded discrete-time processes describing the evolution of financial values. The time horizon can be finite or infinite. We call a process of…
We study the time-bounded reachability problem for continuous-time Markov decision processes (CTMDPs) and games (CTMGs). Existing techniques for this problem use discretisation techniques to break time into discrete intervals, and optimal…
This paper is dedicated to the investigation of a new numerical method to approximate the optimal stopping problem for a discrete-time continuous state space Markov chain under partial observations. It is based on a two-step discretization…
This paper gives an overview of the theory of dynamic convex risk measures for random variables in discrete time setting. We summarize robust representation results of conditional convex risk measures, and we characterize various time…
In this paper, we propose a class of discrete-time approximation schemes for stochastic optimal control problems under the $G$-expectation framework. The proposed schemes are constructed recursively based on piecewise constant policy. We…
In this paper we consider a discrete-time risk sensitive portfolio optimization over a long time horizon with proportional transaction costs. We show that within the log-return i.i.d. framework the solution to a suitable Bellman equation…
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…
This paper addresses the problem of robust control of a linear discrete-time system subject to bounded disturbances and to measurement and control budget constraints. Using Q-parameterization and a polytope containment method, we prove that…
We propose a novel Galerkin discretization scheme for stochastic optimal control problems on an indefinite time horizon. The control problems are linear-quadratic in the controls, but possibly nonlinear in the state variables, and the…
This paper focuses on the invariance control problem for discrete-time switched nonlinear systems. The proposed approach computes controlled invariant sets in a finite number of iterations and directly yields a partition-based invariance…
We study irreducible time-homogenous Markov chains with finite state space in discrete time. We obtain results on the sensitivity of the stationary distribution and other statistical quantities with respect to perturbations of the…
In this paper, we study the relative controllability of linear difference equations with multiple delays in the state by using a suitable formula for the solutions of such systems in terms of their initial conditions, their control inputs,…
We present a stochastic predictive controller for discrete time linear time invariant systems under incomplete state information. Our approach is based on a suitable choice of control policies, stability constraints, and employment of a…
Continuous time financial market models are often motivated as scaling limits of discrete time models. The objective of this paper is to establish such a connection for a robust framework. More specifically, we consider discrete time models…
Recent work has led to the development of an elegant theory of Linearly Solvable Markov Decision Processes (LMDPs) and related Path-Integral Control Problems. Traditionally, MDPs have been formulated using stochastic policies and a control…
The marked Hawkes risk process is a compound point process for which the occurrence and amplitude of past events impact the future. Thanks to its autoregressive properties, it found applications in various fields such as neuosciences,…