Related papers: A BSDE approach to the asymmetric risk-sensitive o…
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…
In this paper, we study the maximum principle for stochastic optimal control problems of forward-backward stochastic difference systems (FBS{\Delta}Ss) where the uncertainty is modeled by a discrete time, finite state process, rather than…
Backward Stochastic Differential Equations (BSDEs) have been widely employed in various areas of social and natural sciences, such as the pricing and hedging of financial derivatives, stochastic optimal control problems, optimal stopping…
In this paper, we introduce a new type of backward stochastic differential equations (BSDEs) with infinite anticipation, where the generator depends on the entire future values of the solution in infinite horizon. We show that the new BSDEs…
This paper is concerned with stochastic linear quadratic (LQ, for short) optimal control problems in an infinite horizon with conditional mean-field term in a switching regime environment. The orthogonal decomposition introduced in [21] has…
The main contributions of this paper are three fold. First, our primary concern is to investigate a class of stochastic recursive delayed control problems which arise naturally with sound backgrounds but have not been well-studied yet. For…
In this paper we present a dynamic programing approach to stochastic optimal control problems with dynamic, time-consistent risk constraints. Constrained stochastic optimal control problems, which naturally arise when one has to consider…
We consider a two-sided singular stochastic control problem with a risk-sensitive ergodic criterion. In particular, we consider a stochastic system whose uncontrolled dynamics are modelled by a linear diffusion. The control that can be…
This paper provides a unifying theoretical framework for stochastic optimization algorithms by means of a latent stochastic variational problem. Using techniques from stochastic control, the solution to the variational problem is shown to…
We study linear-quadratic stochastic optimal control problems with bilinear state dependence for which the underlying stochastic differential equation (SDE) consists of slow and fast degrees of freedom. We show that, in the same way in…
In this paper, we consider a stochastic recursive optimal control problem under model uncertainty. In this framework, the cost function is described by solutions of a family of backward stochastic differential equations. With the help of…
We study the optimal investment stopping problem in both continuous and discrete case, where the investor needs to choose the optimal trading strategy and optimal stopping time concurrently to maximize the expected utility of terminal…
A robust control problem is considered in this paper, where the controlled stochastic differential equations (SDEs) include ambiguity parameters and their coefficients satisfy non-Lipschitz continuous and non-linear growth conditions, the…
For an $\cF_T$-measurable payoff of a European type contingent claim, the recursive utility process/dynamic risk measure can be described by the adapted solution to a backward stochastic differential equation (BSDE). However, for an…
This paper is concerned with a linear quadratic (LQ, for short) optimal control problem for mean-field backward stochastic differential equations (MF-BSDE, for short) driven by a Poisson random martingale measure and a Brownian motion.…
We extend the notion of forward performance criteria to settings with random endowment in incomplete markets. Building on these results, we introduce and develop the novel concept of \textit{forward optimized certainty equivalent (forward…
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…
We are interested in stochastic control problems coming from mathematical finance and, in particular, related to model uncertainty, where the uncertainty affects both volatility and intensity. This kind of stochastic control problems is…
In this paper, we study non-homogeneous stochastic linear-quadratic (LQ) optimal control problems with multi-dimensional state and regime switching. We focus on the corresponding stochastic Riccati equation, which is the same as that one in…
In this paper we study, by probabilistic techniques, the convergence of the value function for a two-scale, infinite-dimensional, stochastic controlled system as the ratio between the two evolution speeds diverges. The value function is…