Related papers: Indefinite Stochastic Linear-Quadratic Optimal Con…
This paper investigates a cone-constrained two-player zero-sum stochastic linear-quadratic (SLQ) differential game for stochastic differential equations (SDEs) with regime switching and random coefficients driven by a jump-diffusion…
In the present paper we derive, via a backward induction technique, and ad hoc maximum principle for an optimal control problem with multiple random terminal times. Therefore we apply the aforementioned result to the case of a linear…
We study a version of the stochastic control problem of minimizing the sum of running and controlling costs, where control opportunities are restricted to independent Poisson arrival times. Under a general setting driven by a general L\'evy…
This paper is concerned with a stochastic linear-quadratic optimal control problem of Markovian regime switching system with model uncertainty and partial information, where the information available to the control is based on 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…
The paper studies the open-loop saddle point and the open-loop lower and upper values, as well as their relationship for two-person zero-sum stochastic linear-quadratic (LQ, for short) differential games with deterministic coefficients. It…
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…
This paper presents weighted stochastic Riccati (WSR) equations for designing multiple types of optimal controllers for linear stochastic systems. The stochastic system matrices are independent and identically distributed (i.i.d.) to…
We consider a classical finite horizon optimal control problem for continuous-time pure jump Markov processes described by means of a rate transition measure depending on a control parameter and controlled by a feedback law. For this class…
This paper focuses on finding approximate solutions to stochastic optimal control problems with control domains being not necessarily convex, where the state trajectory is subject to controlled stochastic differential equations. The…
This paper is concerned with optimal control problems for a linear homogeneous stochastic differential equation having regime switching with purely quadratic functional in the large time horizons. We establish the so-called turnpike…
In this paper, we first prove that the mean-field stochastic linear quadratic (MFSLQ for short) control problem with random coefficients has a unique optimal control and derive a preliminary stochastic maximum principle to characterize this…
This paper focuses on the discrete-time backward stochastic linear quadratic (BSLQ) optimal control problem with nonhomogeneous system terms and cost function cross terms. The terminal constraint of such systems distinguishes it from…
We propose a simple and original approach for solving linear-quadratic mean-field stochastic control problems. We study both finite-horizon and infinite-horizon pro\-blems, and allow notably some coefficients to be stochastic. Extension to…
This paper studies a class of continuous-time scalar-state stochastic Linear-Quadratic (LQ) optimal control problem with the linear control constraints. Applying the state separation theorem induced from its special structure, we develop…
We study the Linear-Quadratic optimal control problem for a general class of infinite-dimensional passive systems, allowing for unbounded input and output operators. We show that under mild assumptions, the finite cost condition is always…
An optimal control for a dynamical system optimizes a certain objective function. Here we consider the construction of an optimal control for a stochastic dynamical system with a random structure, Poisson perturbations and random jumps,…
This paper is concerned with optimal control of stochastic fully coupled forward-backward linear quadratic (FBLQ) problems with indefinite control weight costs. In order to obtain the state feedback representation of the optimal control, we…
This paper is concerned with the deterministic optimal control of Ito stochastic systems with random coefficients. The necessary and sufficient conditions for the unique solvability of the optimal control problem with random coefficients…
The closed-loop stability and infinite-horizon performance of receding-horizon approximations are studied for non-stationary linear-quadratic regulator (LQR) problems. The approach is based on a lifted reformulation of the optimal control…