Related papers: Here, there and everywhere: state-dependent time-i…
In this paper, a stochastic control problem under model uncertainty with general penalty term is studied. Two types of penalties are considered. The first one is of type f-divergence penalty treated in the general framework of a continuous…
A novel approach to design the feedback control based on past states is proposed for hybrid stochastic differential equations (HSDEs). This new theorem builds up the connection between the delay feedback control and the control function…
This paper shows that penalized backward stochastic differential equation (BSDE), which is often used to approximate and solve the corresponding reflected BSDE, admits both optimal stopping representation and optimal control representation.…
We prove a general existence result in stochastic optimal control in discrete time where controls take values in conditional metric spaces, and depend on the current state and the information of past decisions through the evolution of a…
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…
This paper is concerned with a backward stochastic linear-quadratic (LQ, for short) optimal control problem with deterministic coefficients. The weighting matrices are allowed to be indefinite, and cross-product terms in the control and…
The paper studies the First Order BSPDEs (Backward Stochastic Partial Differential Equations) suggested earlier for a case of multidimensional state domain with a boundary. These equations represent analogs of Hamilton-Jacobi-Bellman…
This paper is concerned with a constrained stochastic linear-quadratic optimal control problem, in which the terminal state is fixed and the initial state is constrained to lie in a stochastic linear manifold. The controllability of…
This paper is concerned with the exact controllability of discrete-time stochastic system which is one of the basic problems of modern control theory. Though the exact controllability of continuous-time system governed by Ito stochastic…
In this paper, we will investigate the moment exponential stabilization of highly nonlinear hybrid stochastic differential delay equations. A periodically intermittent controller based on discrete time state observations with asynchronous…
In this paper, we investigate the controlled system described by forward-backward stochastic differential equations with the control contained in drift, diffusion and generator of BSDE. A new verification theorem is derived within the…
We study the stochastic control-stopping problem when the data are of polynomial growth. The approach is based on backward stochastic dierential equations (BSDEs for short). The problem turns into the study of a specic reected BSDE with a…
This paper investigates the stochastic linear-quadratic (LQ, for short) optimal control problems with non-Markovian regime switching in a finite time horizon where the state equation is multi-dimensional. Similar to the classical stochastic…
This paper introduces a new recursive stochastic optimal control problem driven by a forward-backward stochastic differential equations (FBSDEs), where the ter?minal time varies according to the constraints of the state of the forward…
In this paper we make a survey on the so called randomization method, a recent methodology to study stochastic optimization problems. It allows to represent the value function of an optimal control problem by a suitable backward stochastic…
The main objective of this article is to present Bayesian optimal control over a class of non-autonomous linear stochastic discrete time systems with disturbances belonging to a family of the one parameter uniform distributions. It is…
We study a time-inconsistent singular control problem originating from irreversible reinsurance decisions with non-exponential discount. A novel definition of equilibrium for time-inconsistent singular control problems is introduced. For…
In this paper, we study the optimal control problem of a controlled time-symmetric forward-backward doubly stochastic differential equation with initial-terminal sate constraints. Applying the terminal perturbation method and Ekeland's…
We consider the problem of optimal control of a mean-field stochastic differential equation under model uncertainty. The model uncertainty is represented by ambiguity about the law $\mathcal{L}(X(t))$ of the state $X(t)$ at time $t$. For…
This paper is concerned with a stochastic linear quadratic (LQ, for short) control problem with a recursive cost functional in an infinite horizon. A main difficult is well-posedness of the BSDE in $L^1$ and in infinite horizon. A notion of…