Related papers: Here, there and everywhere: state-dependent time-i…
In this paper we are interested in a new type of {\it mean-field}, non-Markovian stochastic control problems with partial observations. More precisely, we assume that the coefficients of the controlled dynamics depend not only on the paths…
We study backward stochastic differential equations (BSDEs) for time-changed L\'evy noises when the time-change is independent of the L\'evy process. We prove existence and uniqueness of the solution and we obtain an explicit formula for…
In this paper, we consider the inverse optimal control problem for the discrete-time linear quadratic regulator, over finite-time horizons. Given observations of the optimal trajectories, and optimal control inputs, to a linear…
In this paper, we consider the mixed optimal control of a linear stochastic system with a quadratic cost functional, with two controllers-one can choose only deterministic time functions, called the deterministic controller, while the other…
The main objective of this paper is the construction of the solution of an impulsive stochastic differential equation, subject to control conditions in the pulse-times and give sufficient conditions for them to be random variables with…
In this paper, we study a time-inconsistent stochastic optimal control problem with a recursive cost functional by a multi-person hierarchical differential game approach. An equilibrium strategy of this problem is constructed and a…
This work addresses stochastic optimal control problems where the unknown state evolves in continuous time while partial, noisy, and possibly controllable measurements are only available in discrete time. We develop a framework for…
This paper deals with a class of time inconsistent stochastic linear quadratic (SLQ) optimal control problems in Markovian framework. Three notions, i.e., closed-loop equilibrium controls/strategies, open-loop equilibrium controls and their…
In this paper, we study the stochastic optimal control problem for control system with time-varying delay. The corresponding stochastic differential equation is a kind of stochastic differential delay equation. We prove the existence and…
This paper considers a non-Markov control problem arising in a financial market where asset returns depend on hidden factors. The problem is non-Markov because nonlinear filtering is required to make inference on these factors, and hence…
In this paper, we study the linear-quadratic control problem for mean-field backward stochastic differential equations (MF-BSDE) with random coefficients. We first derive a preliminary stochastic maximum principle to analyze the unique…
This paper is concerned with a Stackelberg game of backward stochastic differential equations (BSDEs), where the coefficients of the backward system and the cost functionals are deterministic, and the control domain is convex. Necessary and…
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…
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…
We introduce a class of backward stochastic differential equations (BSDEs) on the Wasserstein space of probability measures. This formulation extends the classical correspondence between BSDEs, stochastic control, and partial differential…
In this introductory paper, we discuss how quantitative finance problems under some common risk factor dynamics for some common instruments and approaches can be formulated as time-continuous or time-discrete forward-backward stochastic…
This paper first presents necessary and sufficient conditions for the solvability of discrete time, mean-field, stochastic linear-quadratic optimal control problems. Then, by introducing several sequences of bounded linear operators, the…
This paper is concerned with a time-inconsistent recursive stochastic control problems where the forward state process is constrained through an additional recursive utility system. By adapting the Ekeland variational principle, necessary…
This paper is concerned with a general linear quadratic (LQ) control problem of mean-field backward stochastic differential equation (BSDE). Here, the weighting matrices in the cost functional are allowed to be indefinite. Necessary and…
We address a general optimal switching problem over finite horizon for a stochastic system described by a differential equation driven by Brownian motion. The main novelty is the fact that we allow for infinitely many modes (or regimes,…