Related papers: Indefinite Stochastic Linear-Quadratic Optimal Con…
This paper focuses on indefinite stochastic mean-field linear-quadratic (MF-LQ, for short) optimal control problems, which allow the weighting matrices for state and control in the cost functional to be indefinite. The solvability of…
This paper is concerned with a general non-homogeneous stochastic linear quadratic (LQ) control problem with regime switching and random coefficients. We obtain the explicit optimal state feedback control and optimal value for this problem…
IIn this paper, we study a partially observed progressive optimal control problem of forward-backward stochastic differential equations with random jumps, where the control domain is not necessarily convex, and the control variable enter…
We consider a general class of stochastic optimal control problems, where the state process lives in a real separable Hilbert space and is driven by a cylindrical Brownian motion and a Poisson random measure; no special structure is imposed…
This paper is concerned with a mean-field linear quadratic (LQ, for short) optimal control problem with deterministic coefficients. It is shown that convexity of the cost functional is necessary for the finiteness of the mean-field LQ…
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 is concerned with the open-loop time-consistent solution of time-inconsistent mean-field stochastic linear-quadratic optimal control. Different from standard stochastic linear-quadratic problems, both the system matrices and the…
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 is concerned with a linear-quadratic (LQ, for short) optimal control problem for backward stochastic differential equations (BSDEs, for short), where the coefficients of the backward control system and the weighting matrices in…
This paper is concerned with a stochastic linear-quadratic optimal control problem with regime switching, random coefficients, and cone control constraint. The randomness of the coefficients comes from two aspects: the Brownian motion and…
This paper considers linear-quadratic (LQ) stochastic leader-follower Stackelberg differential games for jump-diffusion systems with random coefficients. We first solve the LQ problem of the follower using the stochastic maximum principle…
This paper is concerned with one kind of partially observed progressive optimal control problems of coupled forward-backward stochastic systems driven by both Brownian motion and Poisson random measure with risk-sensitive criteria. The…
In most real cases transition probabilities between operational modes of Markov jump linear systems cannot be computed exactly and are time-varying. We take into account this aspect by considering Markov jump linear systems where the…
We study a linear quadratic optimal control problem with stochastic coefficients and a terminal state constraint, which may be in force merely on a set with positive, but not necessarily full probability. Under such a partial terminal…
This paper is concerned with a linear-quadratic (LQ) leader-follower differential game with mixed deterministic and stochastic controls. In the game, the follower is a random controller which means that the follower can choose adapted…
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…
In this paper, a leader-follower stochastic differential game is studied for a linear stochastic differential equation with a quadratic cost functional. The coefficients in the state equation and the weighting matrices in the cost…
This paper solves a recursive optimal stopping problem with Poisson stopping constraints using the penalized backward stochastic differential equation (PBSDE) with jumps. Stopping in this problem is only allowed at Poisson random…
This paper is concerned with a stochastic linear-quadratic (LQ) optimal control problem on infinite time horizon, with regime switching, random coefficients, and cone control constraint. To tackle the problem, two new extended stochastic…
This paper addresses an open problem in the area of linear quadratic optimal control. We consider the regular, infinite-horizon, stability-modulo-a-subspace, indefinite linear quadratic problem under the assumption that the dynamics are…