相关论文: Non-Markovian Impulse Control Under Nonlinear Expe…

In this paper, a hierarchical one-leader-multi-followers game for a class of continuous-time nonlinear systems with disturbance is investigated by a novel policy iteration reinforcement learning technique in which, the game model consists…

We introduce a mixed {\em generalized} Dynkin game/stochastic control with ${\cal E}^f$-expectation in a Markovian framework. We study both the case when the terminal reward function is supposed to be Borelian only and when it is…

This paper considers the discounted criterion of nonzero-sum decentralized stochastic games with prospect players. The state and action spaces are finite. The state transition probability is nonstationary. Each player independently controls…

We study the optimal control of mean-field systems with heterogeneous and asymmetric interactions. This leads to considering a family of controlled Brownian diffusion processes with dynamics depending on the whole collection of marginal…

This paper provides necessary and sufficient conditions for a pair of randomised stopping times to form a saddle point of a zero-sum Dynkin game with partial and/or asymmetric information across players. The framework is non-Markovian and…

In this work, we present a learning-based nonlinear $H^\infty$ control algorithm that guarantee system performance under learned dynamics and disturbance estimate. The Gaussian Process (GP) regression is utilized to update the nominal…

We consider a zero-sum stochastic game for continuous-time Markov chain with countable state space and unbounded transition and pay-off rates. The additional feature of the game is that the controllers together with taking actions are also…

Control theory plays a pivotal role in understanding and optimizing the behavior of complex dynamical systems across various scientific and engineering disciplines. Two key frameworks that have emerged for modeling and solving control…

This work presents a novel policy iteration algorithm to tackle nonzero-sum stochastic impulse games arising naturally in many applications. Despite the obvious impact of solving such problems, there are no suitable numerical methods…

We consider a Markovian stochastic control problem with model uncertainty. The controller (intelligent player) observes only the state, and, therefore, uses feed-back (closed-loop) strategies. The adverse player (nature) who does not have a…

This article is related to risk-sensitive nonzero-sum stochastic differential games in the Markovian framework. This game takes into account the attitudes of the players toward risk and the utility is of exponential form. We show the…

In this paper, we consider a differential stochastic zero-sum game in which two players intervene by adopting impulse controls in a finite time horizon. We provide a numerical solution as an approximation of the value function, which turns…

In this paper, we consider state and control path-dependent stochastic zero-sum differential games, where the dynamics and the running cost include both state and control paths of the players. Using the notion of nonanticipative strategies,…

We consider a general formulation of the Principal-Agent problem with a lump-sum payment on a finite horizon, providing a systematic method for solving such problems. Our approach is the following: we first find the contract that is optimal…

Zero sum games with risk-sensitive cost criterion are considered with underlying dynamics being given by controlled stochastic differential equations. Under the assumption of geometric stability on the dynamics , we completely characterize…

This paper is concerned with the relationship between general maximum principle and dynamic programming principle for the stochastic recursive optimal control problem with jumps, where the control domain is not necessarily convex. Relations…

We study a two-player zero-sum stochastic differential game with both players adopting impulse controls, on a finite time horizon. The Hamilton-Jacobi-Bellman-Isaacs (HJBI) partial differential equation of the game turns out to be a…

We study a two-player nonzero-sum stochastic differential game where one player controls the state variable via additive impulses while the other player can stop the game at any time. The main goal of this work is characterize Nash…

The goal of this thesis is to provide efficient and provably convergent numerical methods for solving partial differential equations (PDEs) coming from impulse control problems motivated by finance. Impulses, which are controlled jumps in a…

We consider approximate dynamic programming for the infinite-horizon stationary $\gamma$-discounted optimal control problem formalized by Markov Decision Processes. While in the exact case it is known that there always exists an optimal…