Related papers: Stochastic maximum principle for optimal control p…
This paper studies a class of mean-field control (MFC) problems with singular controls under general dynamic state-control-law constraints. We first propose a customized relaxed control formulation to cope with the dynamic mixed constraints…
We study high-dimensional stochastic optimal control problems in which many agents cooperate to minimize a convex cost functional. We consider both the full-information problem, in which each agent observes the states of all other agents,…
In this paper, we study the maximum principle of mean field type control problems when the volatility function depends on the state and its measure and also the control, by using our recently developed method. Our method is to embed the…
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…
In this paper, we present a framework for solving continuous optimal control problems when the true system dynamics are approximated through an imperfect model. We derive a control strategy by applying Pontryagin's Minimum Principle to the…
We consider a stochastic control problem where the set of controls is not necessarily convex and the system is governed by a nonlinear backward stochastic differential equation. We establish necessary as well as sufficient conditions of…
This work studies optimal control problems of systems with uncertain, probabilistically distributed parameters to optimize average performance. Known as Riemann-Stieltjes, average, or ensemble optimal control, this kind of problem is…
A necessary maximum principle is proved for optimal controls of stochastic systems driven by multidimensional Teugel's martingales. The multidimensional Teugel's martingales are constructed by orthogonalizing the multidimensional L\'{e}vy…
This paper is concerned with a partially observed hybrid optimal control problem, where continuous dynamics and discrete events coexist and in particular, the continuous dynamics can be observed while the discrete events, described by a…
The present work addresses a finite-horizon linear-quadratic optimal control problem for uncertain systems driven by piecewise constant controls. The precise values of the system parameters are unknown, but assumed to belong to a finite set…
We propose a simple and original approach for solving linear-quadratic mean-field stochastic control problems. We study both finite-horizon and infinite-horizon problems, and allow notably some coefficients to be stochastic. Our method is…
This paper investigates a new class of homogeneous stochastic control problems with cone control constraints, extending the classical homogeneous stochastic linear-quadratic (LQ) framework to encompass nonlinear system dynamics and…
We study a class of deterministic mean field games on finite and infinite time horizons arising in models of optimal exploitation of exhaustible resources. The main characteristic of our game is an absorption constraint on the players'…
In this paper, we derive sufficient and necessary maximum principles for a stochastic optimal control problem where the system state is given by a controlled stochastic differential equation with default. We prove existence of a unique…
We present a version of the stochastic maximum principle (SMP) for ergodic control problems. In particular we give necessary (and sufficient) conditions for optimality for controlled dissipative systems in finite dimensions. The strategy we…
In the present paper we discuss a new type of mean-field coupled forward-backward stochastic differential equations (MFFBSDEs). The novelty consists in the fact that the coefficients of both the forward as well as the backward SDEs depend…
Optimal control theory, also known as Pontryagin's Maximum Principle, is applied to the quantum parameter estimation in the presence of decoherence. An efficient procedure is devised to compute the gradient of quantum Fisher information…
In this paper, we study the optimal control problem for steering the state covariance of a discrete-time linear stochastic system over a finite time horizon. First, we establish the existence and uniqueness of the optimal control law for a…
An optimal control problem is studied for a linear mean-field stochastic differential equation with a quadratic cost functional. The coefficients and the weighting matrices in the cost functional are all assumed to be deterministic.…
This paper consists of a detailed and novel stochastic optimal control analysis of a coupled non-linear dynamical system. The state equations are modeled as additional food provided prey-predator system with Holling Type-III functional…