相关论文: Robust Time-inconsistent Linear-Quadratic Stochast…

When we implement a portfolio selection methodology under a mean-risk formulation, it is essential to correctly model investors' risk aversion which may be time-dependent, or even state-dependent during the investment procedure. In this…

We consider a discrete time stochastic Markovian control problem under model uncertainty. Such uncertainty not only comes from the fact that the true probability law of the underlying stochastic process is unknown, but the parametric family…

The problem of robust distributed control arises in several large-scale systems, such as transportation networks and power grid systems. In many practical scenarios controllers might not have enough information to make globally optimal…

We investigate the convergence of symmetric stochastic differential games with interactions via control, where the volatility terms of both idiosyncratic and common noises are controlled. We apply the stochastic maximum principle, following…

We study zero-sum stochastic differential games with player dynamics governed by a nondegenerate controlled diffusion process. Under the assumption of uniform stability, we establish the existence of a solution to the Isaac's equation for…

We study data-driven learning of robust stochastic control for infinite-horizon systems with potentially continuous state and action spaces. In many managerial settings--supply chains, finance, manufacturing, services, and dynamic…

This paper develops a robust safety-critical control method for nonlinear strictfeedback systems with mismatched disturbances. Using a state transformation and a linear time-varying disturbance observer, the system is converted into a form…

In this paper, a large class of time-varying Riccati equations arising in stochastic dynamic games is considered. The problem of the existence and uniqueness of some globally defined solution, namely the bounded and stabilizing solution, is…

We consider the problem of adaptive stabilization for discrete-time, multi-dimensional linear systems with bounded control input constraints and unbounded stochastic disturbances, where the parameters of the true system are unknown. To…

This paper develops a robust control synthesis method for uncertain linear systems with input saturation in the framework of integral quadratic constraints (IQCs). The system is reformulated as a linear fractional representation (LFR) that…

Under non-exponential discounting, we develop a dynamic theory for stopping problems in continuous time. Our framework covers discount functions that induce decreasing impatience. Due to the inherent time inconsistency, we look for…

This paper establishes a stochastic maximum principle for optimal control problems governed by time-changed forward-backward stochastic differential equations with L\'evy noise. The system incorporates a random, non-decreasing operational…

This paper is concerned with a linear quadratic stochastic Stackelberg differential game with time delay. The model is general, in which the state delay and the control delay both appear in the state equation, moreover, they both enter into…

This paper is concerned with a linear quadratic optimal control problem of delayed backward stochastic differential equations. An explicit representation is derived for the optimal control, which is a linear feedback of the entire past…

This paper first presents necessary and sufficient conditions for the solvability of discrete time, mean-field, stochastic linear-quadratic optimal control problems. Then, by introducing several sequences of bounded linear operators, the…

This paper is concerned with a discrete-time mean-field stochastic linear-quadratic optimal control problem arose from financial application. Through matrix dynamical optimization method, a group of linear feedback controls is investigated.…

This paper is concerned with robust performance criteria for linear continuous time invariant stochastic systems driven by statistically uncertain random processes. The uncertainty is understood as the deviation of imprecisely known…

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…

Dynamic game arises as a powerful paradigm for multi-robot planning, for which safety constraint satisfaction is crucial. Constrained stochastic games are of particular interest, as real-world robots need to operate and satisfy constraints…

We investigate constrained optimal control problems for linear stochastic dynamical systems evolving in discrete time. We consider minimization of an expected value cost over a finite horizon. Hard constraints are introduced first, and then…