Related papers: Open-loop and closed-loop solvabilities for discre…
A linear-quadratic optimal control problem for a forward stochastic Volterra integral equation (FSVIE, for short) is considered. Under the usual convexity conditions, open-loop optimal control exists, which can be characterized by the…
This paper studies a class of time-inconsistent mean field control (MFC) problems in the presence of common noise under non-exponential discount and joint law dependence of both state and control. We investigate the closed-loop…
Asymptotic stability in economic receding horizon control can be obtained under a strict dissipativity assumption, related to positive-definiteness of a so-called rotated cost, and through the use of suitable terminal cost and constraints.…
We consider a multi-player stochastic differential game with linear McKean-Vlasov dynamics and quadratic cost functional depending on the variance and mean of the state and control actions of the players in open-loop form. Finite and…
We consider the problem of stochastic optimal control in the presence of an unknown disturbance. We characterize the disturbance via empirical characteristic functions, and employ a chance constrained approach. By exploiting properties of…
This paper obtains the maximum principle for both stochastic (global) open-loop and stochastic (global) closed-loop Stackelberg differential games. For the closed-loop case, we use the theory of controlled forward-backward stochastic…
We consider the problem of determining a sequence of payments among a set of entities that clear (if possible) the liabilities among them. We formulate this as an optimal control problem, which is convex when the objective function is, and…
We provide a general approach to reformulating any continuous-time stochastic Stackelberg differential game under closed-loop strategies as a single-level optimisation problem with target constraints. More precisely, we consider a…
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 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…
In this paper, both dynamic mean-variance portfolio selection problems and dynamic variance hedging problems are discussed under non-Markovian framework. Explicit closed-loop equilibrium strategies of these problems are respectively…
The solvability of equilibrium Riccati equations (EREs) plays a central role in the study of time-inconsistent stochastic linear-quadratic optimal control problems, because it paves the way to constructing a closed-loop equilibrium…
This paper considers an optimal control problem for a linear mean-field stochastic differential equation having regime switching with quadratic functional in the large time horizons. Our main contribution lies in establishing the strong…
This paper studies open-loop and feedback solutions to leader-follower mean field linear-quadratic-Gaussian games with multiplicative noise by the direct approach. The leader-follower game involves a leader and many followers, where the…
We study the linear-quadratic control problem for a class of non-exchangeable mean-field systems, which model large populations of heterogeneous interacting agents. We explicitly characterize the optimal control in terms of a new…
We consider a class of stochastic optimal control problems for discrete-time stochastic linear systems which seek for control policies that will steer the probability distribution of the terminal state of the system close to a desired…
In this paper, we study the optimal control of a discrete-time stochastic differential equation (SDE) of mean-field type, where the coefficients can depend on both a function of the law and the state of the process. We establish a new…
In this paper, we consider a linear quadratic (LQ) leader-follower stochastic differential game for regime switching diffusions with mean-field interactions. One of the salient features of this paper is that conditional mean-field terms are…
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 studies indefinite stochastic linear-quadratic (LQ) optimal control for jump-diffusion systems with random coefficients. We construct an algebraic inverse flow from the zero-control base system, extract the semimartingale kernel…