Related papers: \(H_2/H_\infty\) Control for Continuous-Time Mean-…
This paper is concerned with an infinite horizon stochastic linear quadratic (LQ, for short) optimal control problems with conditional mean-field terms in a switching environment. Different from [17], the cost functionals do not have…
The objective of this paper is to weaken the Lipschitz condition to a monotonicity condition and to study the corresponding Pontryagin stochastic maximum principle (SMP) for a mean-field optimal control problem under monotonicity…
The paper is concerned with two-person zero-sum mean-field linear-quadratic stochastic differential games over finite horizons. By a Hilbert space method, a necessary condition and a sufficient condition are derived for the existence of an…
We consider a mean-field control problem in which admissible controls are required to be adapted to the common noise filtration. The main objective is to show how the mean-field control problem can be approximates by time consistent…
In this work, we focus on an infinite horizon mean-field linear-quadratic stochastic control problem with jumps. Firstly, the infinite horizon linear mean-field stochastic differential equations and backward stochastic differential…
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 the convergence problem of mean-field control theory in the presence of state constraints and non-degenerate idiosyncratic noise. Our main result is the convergence of the value functions associated to stochastic control problems…
In this article, from the viewpoint of control theory, we discuss the relationships among the commonly used monotonicity conditions that ensure the well-posedness of the solutions arising from problems of mean field games (MFGs) and mean…
This paper investigates the exact controllability problem for multi-dimensional stochastic first-order symmetric hyperbolic systems with control inputs acting in two distinct ways: an internal control applied to the diffusion term and a…
We study an optimal control problem on infinite time horizon with semimartingale strategies, random coefficients and regime switching. The value function and the optimal strategy can be characterized in terms of three systems of backward…
In this paper, we concern with the ergodic linear-quadratic closed-loop optimal control problems, in which the state equation is the mean-field stochastic differential equation with periodic coefficients. We first study the asymptotic…
This paper studies the finite-horizon robust optimal control of constrained linear systems subject to model mismatch and additive stochastic disturbances. Utilizing the system level synthesis (SLS) parameterization, we propose a novel SLS…
This paper is mainly concerned with the solutions to both forward and backward mean-field stochastic partial differential equation and the corresponding optimal control problem for mean-field stochastic partial differential equation. We…
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…
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…
The goal of this work is to obtain optimal rates for the convergence problem in mean field control. Our analysis covers cases where the solutions to the limiting problem may not be unique nor stable. Equivalently the value function of the…
There is an increasing need for effective control of systems with complex dynamics, particularly through data-driven approaches. System Level Synthesis (SLS) has emerged as a powerful framework that facilitates the control of large-scale…
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…
This work is devoted to finding the closed-loop equilibria for a class of mean-field games (MFGs) with infinitely many symmetric players in a common switching environment when the cost functional is under general discount in time. There are…
This paper studies the Lagrange stabilization of a class of nonlinear systems whose linear part has a singular system matrix and which have multiple periodic (in state) nonlinearities. Both state and output feedback Lagrange stabilization…