相关论文: Stochastic Maximum Principle for Mean-field Contro…
Mean Field Games (MFG) have been introduced to tackle games with a large number of competing players. Considering the limit when the number of players is infinite, Nash equilibria are studied by considering the interaction of a typical…
We discuss and compare two methods of investigations for the asymptotic regime of stochastic differential games with a finite number of players as the number of players tends to the infinity. These two methods differ in the order in which…
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…
We develop a computationally efficient learning-based forward-backward stochastic differential equations (FBSDE) controller for both continuous and hybrid dynamical (HD) systems subject to stochastic noise and state constraints. Solutions…
In this paper we study zero-sum two-player stochastic differential games with the help of theory of Backward Stochastic Differential Equations (BSDEs). At the one hand we generalize the results of the pioneer work of Fleming and Souganidis…
This work establishes two versions of the Pontryagin-type maximum principles for partially observed optimal control of coupled forward stochastic partial differential equations (FSPDEs) and backward stochastic differential equations (BSDEs)…
In this article, we provide an original systematic global-in-time analysis of mean field type control problems on $\mathbb{R}^n$ with generic cost functionals by the modified approach but not the same, firstly proposed in [7], as the…
This work puts forward a novel numerical approach for solving the stochastic optimal control problem (SOCP) and the mean field control (MFC) problem using projection algorithm inspired by the stochastic maximum principle (SMP) which is also…
This paper investigates optimal control problems for delayed systems governed by Infinitely Anticipated Backward Stochastic Differential Equations (IABSDEs). Unlike existing frameworks limited to bounded delays, we introduce a generalized…
This paper studies a new class of dynamic optimization problems of large-population (LP) system which consists of a large number of negligible and coupled agents. The most significant feature in our setup is the dynamics of individual…
The main goal of this paper is to study a stochastic game connected to a system of forward backward stochastic differential equations (FBSDEs) involving delay and so-called noisy memory. We derive suffcient and necessary maximum principles…
This paper extends the domination-monotonicity conditions, which guarantee the well-posedness of extended mean-filed forward-backward stochastic differential equations (extended MF-FBSDEs), from the previously studied linear framework to a…
In this paper we consider the maximum principle of optimal control for a stochastic control problem. This problem is governed by a system of fully coupled multi-dimensional forward-backward doubly stochastic differential equation with…
We discuss an open-loop backward Stackelberg differential game involving single leader and single follower. Unlike most Stackelberg game literature, the state to be controlled is characterized by a backward stochastic differential equation…
In this article, we study the global-in-time well-posedness of second order mean field games (MFGs) with both nonlinear drift functions simultaneously depending on the state, distribution and control variables, and the diffusion term…
This paper focuses on linear-quadratic (LQ for short) mean-field games described by forward-backward stochastic differential equations (FBSDEs for short), in which the individual control region is postulated to be convex. The decentralized…
This paper addresses a class of two-person zero-sum stochastic differential equations, which encompass Markov chains and fractional Brownian motion, and satisfy some monotonicity conditions over an infinite time horizon. Within the…
This paper is concerned with a linear quadratic (LQ, for short) optimal control problem for mean-field backward stochastic differential equations (MF-BSDE, for short) driven by a Poisson random martingale measure and a Brownian motion.…
Different from most of the previous works, this paper provides a thorough solution to the fundamental problems of linear-quadratic (LQ) control and stabilization for discrete-time mean-field systems under basic assumptions. Firstly, the…
In this paper, we study the maximum principle of mean field type control problems when the volatility function depends on the state and its measure and also the control, by using our recently developed method. Our method is to embed the…