相关论文: Risk-Sensitive Control and an Abstract Collatz-Wie…

This paper introduces the notions of stability, ultimate boundedness, and positive invariance for stochastic systems in the view of risk. More specifically, those notions are defined in terms of the worst-case Conditional Value-at-Risk…

We examine the minimization of a quadratic cost functional composed of the output and the final state of abstract infinite-dimensional evolution equations in view of existence of solutions and optimality conditions. While the initial value…

We study here the impulse control minimax problem. We allow the cost functionals and dynamics to be unbounded and hence the value functions can possibly be unbounded. We prove that the value function of the problem is continuous. Moreover,…

Standard formulations of prescribed worst-case disturbance energy-gain control policies for linear time-varying systems depend on all forward model data. In discrete time, this dependence arises through a backward Riccati recursion. This…

The importance of feedback control is being increasingly appreciated in quantum physics and applications. This paper describes the use of optimal control methods in the design of quantum feedback control systems, and in particular the paper…

A general backward stochastic linear-quadratic optimal control problem is studied, in which both the state equation and the cost functional contain the nonhomogeneous terms. The main feature of the problem is that the weighting matrices in…

We consider a two-sided singular stochastic control problem with a risk-sensitive ergodic criterion. In particular, we consider a stochastic system whose uncontrolled dynamics are modelled by a linear diffusion. The control that can be…

We consider the problem of impulse control minimax in finite horizon, when cost functions $(C(t,x,\xi)>0)$. We show existence of value function of the problem. Moreover, the value function is characterized as the unique viscosity solution…

We consider the infinite horizon risk-sensitive problem for nondegenerate diffusions with a compact action space, and controlled through the drift. We only impose a structural assumption on the running cost function, namely…

A general problem in optimal control consists of finding a terminal reward that makes the value function independent of the horizon. Such a terminal reward can be interpreted as a max-plus eigenvector of the associated Lax-Oleinik…

In this paper, a finite-horizon optimal control problem involving a dynamical system described by a linear Caputo fractional differential equation and a quadratic cost functional is considered. An explicit formula for the value functional…

We consider a liquidation problem in which a risk-averse trader tries to liquidate a fixed quantity of an asset in the presence of market impact and random price fluctuations. The trader encounters a trade-off between the transaction costs…

In several real-world applications involving decision making under uncertainty, the traditional expected value objective may not be suitable, as it may be necessary to control losses in the case of a rare but extreme event. Conditional…

This paper is concerned with a discounted optimal control problem of partially observed forward-backward stochastic systems with jumps on infinite horizon. The control domain is convex and a kind of infinite horizon observation equation is…

In an equity market model with "Knightian" uncertainty regarding the relative risk and covariance structure of its assets, we characterize in several ways the highest return relative to the market that can be achieved using nonanticipative…

We introduce a numerically stable reformulation of controllability scoring based on a scaled controllability Gramian, which remains reliably computable even for unstable systems. The resulting optimization problems define dynamics-aware…

In this paper long-run risk sensitive optimisation problem is studied with dyadic impulse control applied to continuous-time Feller-Markov process. In contrast to the existing literature, focus is put on unbounded and non-uniformly ergodic…

We study a finite horizon optimal control problem for the continuity equation under a weighted integral state constraint on the mass outside a fixed set. The model is cast in a Hilbert framework for densities. On a suitable invariant…

We study the infinite-horizon distributionally robust (DR) control of linear systems with quadratic costs, where disturbances have unknown, possibly time-correlated distribution within a Wasserstein-2 ambiguity set. We aim to minimize the…

The risk-neutral LQR controller is optimal for stochastic linear dynamical systems. However, the classical optimal controller performs inefficiently in the presence of low-probability yet statistically significant (risky) events. The…