相关论文: Social Optima of Linear Forward-Backward Stochasti…
Motivated by linear-quadratic optimal control problems (LQ problems, for short) for mean-field stochastic differential equations (SDEs, for short) with the coefficients containing regime switching governed by a Markov chain, we consider an…
This paper studies the linear-quadratic (LQ) optimal control problem of a class of systems governed by the first-order hyperbolic partial differential equations (PDEs) with final state constraints. The main contribution is to present the…
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, we study the well-posedness of the Forward-Backward Stochastic Differential Equations (FBSDE) in a general non-Markovian framework. The main purpose is to find a unified scheme which combines all existing methodology in the…
This paper explores a class of fully coupled nonlinear forward-backward stochastic difference equations (FBS$\Delta$Es). Building on insights from linear quadratic optimal control problems, we introduce a more relaxed framework of…
In this paper, we study the maximum principle for stochastic optimal control problems of forward-backward stochastic difference systems (FBS{\Delta}Ss) where the uncertainty is modeled by a discrete time, finite state process, rather than…
In this paper, we continue our study on a general time-inconsistent stochastic linear--quadratic (LQ) control problem originally formulated in [6]. We derive a necessary and sufficient condition for equilibrium controls via a flow of…
This paper is concerned with an overlapping information linear-quadratic (LQ) Stackelberg stochastic differential game with two leaders and two followers, where the diffusion terms of the state equation contain both the control and state…
This paper examines mean field linear-quadratic-Gaussian (LQG) social optimum control with volatility-uncertain common noise. The diffusion terms in the dynamics of agents contain an unknown volatility process driven by a common noise. We…
This paper develops a novel approach to the consensus problem of multi-agent systems by minimizing a weighted state error with neighbor agents via linear quadratic (LQ) optimal control theory. Existing consensus control algorithms only…
In this paper we present a novel sampling-based numerical scheme designed to solve a certain class of stochastic optimal control problems, utilizing forward and backward stochastic differential equations (FBSDEs). By means of a nonlinear…
This paper develops a comprehensive framework for optimal control of systems governed by fractional backward stochastic evolution equations (FBSEEs) in Hilbert spaces. We first establish a stochastic maximum principle (SMP) as a necessary…
In this paper we study a continuous-time stochastic linear quadratic control problem arising from mathematical finance. We model the asset dynamics with random market coefficients and portfolio strategies with convex constraints. Following…
This article explores the discrete-time stochastic optimal LQR control with delay and quadratic constraints. The inclusion of delay, compared to delay-free optimal LQR control with quadratic constraints, significantly increases the…
This paper focuses on indefinite stochastic mean-field linear-quadratic (MF-LQ, for short) optimal control problems, which allow the weighting matrices for state and control in the cost functional to be indefinite. The solvability of…
This paper investigates a new class of homogeneous stochastic control problems with cone control constraints, extending the classical homogeneous stochastic linear-quadratic (LQ) framework to encompass nonlinear system dynamics and…
A decentralized control system with linear dynamics, quadratic cost, and Gaussian disturbances is considered. The system consists of a finite number of subsystems whose dynamics and per-step cost function are coupled through their…
We study linear-quadratic stochastic optimal control problems with bilinear state dependence for which the underlying stochastic differential equation (SDE) consists of slow and fast degrees of freedom. We show that, in the same way in…
We study the Pontryagin maximum principle by deriving necessary and sufficient conditions for a class of optimal control problems arising in non exchangeable mean field systems, where agents interact through heterogeneous and asymmetric…
We analyze a class of multidimensional linear-quadratic stochastic control problems with random coefficients, motivated by multi-asset optimal trade execution. The problems feature non-diffusive controlled state dynamics and a terminal…