相关论文: Reducing Obizhaeva-Wang type trade execution probl…
This paper investigates a conditional mean-field type linear quadratic (LQ) optimal control problem with partial observation and regime switching, where the conditional expectations of the state and control given the history of Markov chain…
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 investigates a linear quadratic stochastic optimal control (LQSOC) problem with partial information. Firstly, by introducing two Riccati equations and a backward stochastic differential equation (BSDE), we solve this LQSOC…
We solve a linear quadratic optimal control problem for sampled-data systems with stochastic delays. The delays are stochastically determined by the last few delays. The proposed optimal controller can be efficiently computed by iteratively…
In this work, we propose a feedback control based temporal discretization for linear quadratic optimal control problems (LQ problems) governed by controlled mean-field stochastic differential equations. We firstly decompose the original…
We study the optimal portfolio liquidation problem over a finite horizon in a limit order book with bid-ask spread and temporary market price impact penalizing speedy execution trades. We use a continuous-time modeling framework, but in…
The paper studies a class of quadratic optimal control problems for partially observable linear dynamical systems. In contrast to the full information case, the control is required to be adapted to the filtration generated by the…
We consider the problem of finite-horizon optimal control of a discrete linear time-varying system subject to a stochastic disturbance and fully observable state. The initial state of the system is drawn from a known Gaussian distribution,…
In this paper, the solvability of discrete-time stochastic linear-quadratic (LQ) optimal control problem in finite horizon is considered. Firstly, it shows that the closed-loop solvability for the LQ control problem is optimal if and only…
Optimal control theory deals with finding protocols to steer a system between assigned initial and final states, such that a trajectory-dependent cost function is minimized. The application of optimal control to stochastic systems is an…
In this paper we consider non convex control problems of stochastic differential equations driven by relaxed controls. We present existence of optimal controls and then develop necessary conditions of optimality. We cover both continuous…
We consider a controlled-diffusion process pertaining to a chain of distributed systems with random perturbations that satisfies a weak H\"ormander type condition. In particular, we consider a stochastic control problem with the following…
This paper is concerned with stochastic linear quadratic (LQ, for short) optimal control problems in an infinite horizon with conditional mean-field term in a switching regime environment. The orthogonal decomposition introduced in [21] has…
We study an optimal control problem for the stochastic wave equation driven by affine multiplicative noise, formulated as a stochastic linear-quadratic (SLQ) problem. By applying a stochastic Pontryagin's maximum principle, we characterize…
In this paper we explore optimal liquidation in a market populated by a number of heterogeneous market makers that have limited inventory-carrying and risk-bearing capacity. We derive a reduced form model for the dynamic of their aggregated…
Stochastic maximum principle of nonlinear controlled forward-backward systems, where the set of strict (classical) controls need not be convex and the diffusion coefficient depends explicitly on the variable control, is an open problem…
We introduce a novel data-driven method to mitigate the risk of cascading failures in delayed discrete-time Linear Time-Invariant (LTI) systems. Our approach involves formulating a distributionally robust finite-horizon optimal control…
Constraint tightening to non-conservatively guarantee recursive feasibility and stability in Stochastic Model Predictive Control is addressed. Stability and feasibility requirements are considered separately, highlighting the difference…
We characterize the optimal control for a class of singular stochastic control problems as the unique solution to a related Skorokhod reflection problem. The considered optimization problems concern the minimization of a discounted cost…
In this paper we introduce a completely continuous and time-variate model of the evolution of market limit orders based on the existence, uniqueness, and regularity of the solutions to a type of stochastic partial differential equations…