相关论文: On invariance of observability for BSDEs and its a…

Despite being a foundational concept of modern systems theory, there have been few studies on observability of non-linear stochastic systems under partial observations. In this paper, we introduce a definition of observability for…

This paper addresses the challenge of time-inconsistent stochastic control within a continuous-time framework. Its primary focus lies in uncovering a probabilistic representation, specifically in the shape of a system of backward stochastic…

We consider a stochastic control problem for a class of nonlinear kernels. More precisely, our problem of interest consists in the optimisation, over a set of possibly non-dominated probability measures, of solutions of backward stochastic…

This paper studies a robust stochastic control problem with a monotone mean-variance cost functional and random coefficients. The main technique is to find the saddle point through two backward stochastic differential equations (BSDEs) with…

In this article, we introduce a system of stochastic differential equations (SDEs) consisting of time-dependent covariates and consider both fixed and random effects set-ups. We also allow the functional part associated with the drift…

In this paper, we investigate the controlled system described by forward-backward stochastic differential equations with the control contained in drift, diffusion and generator of BSDE. A new verification theorem is derived within the…

We introduce a class of backward stochastic differential equations (BSDEs) on the Wasserstein space of probability measures. This formulation extends the classical correspondence between BSDEs, stochastic control, and partial differential…

This paper is concerned with the development and use of duality theory for a hidden Markov model (HMM) with white noise observations. The main contribution of this work is to introduce a backward stochastic differential equation (BSDE) as a…

Discrete time control systems whose dynamics and observations are described by stochastic equations are common in engineering, operations research, health care, and economics. For example, stochastic filtering problems are usually defined…

A robust control problem is considered in this paper, where the controlled stochastic differential equations (SDEs) include ambiguity parameters and their coefficients satisfy non-Lipschitz continuous and non-linear growth conditions, the…

In this article we study (possibly degenerate) stochastic differential equations (SDE) with irregular (or discontiuous) coefficients, and prove that under certain conditions on the coefficients, there exists a unique almost everywhere…

In this paper, we consider a stochastic decision problem for a system governed by a stochastic differential equation, in which an optimal decision is made in such a way to minimize a vector-valued accumulated cost over a finite-time horizon…

We present a theory of backward stochastic differential equations in continuous time with an arbitrary filtered probability space. No assumptions are made regarding the left continuity of the filtration, of the predictable quadratic…

This paper discusses the stabilizability, weak stabilizability, exact observability and robust quadratic stabilizability of linear stochastic control systems. By means of the spectrum technique of the generalized Lyapunov operator, a…

This paper considers a non-Markov control problem arising in a financial market where asset returns depend on hidden factors. The problem is non-Markov because nonlinear filtering is required to make inference on these factors, and hence…

We consider some certain nonlinear perturbations of the stochastic linear-quadratic optimization problems and study the connections between their solutions and the corresponding Markovian backward stochastic diferential equations (BSDEs).…

In this paper, we study infinite dimensional stochastic systems having both unbounded control and observation operators. First of all, using a semigroup approach, we give another take of the well-posedness of such systems treated in [SIAM…

This paper focuses on the invariance control problem for discrete-time switched nonlinear systems. The proposed approach computes controlled invariant sets in a finite number of iterations and directly yields a partition-based invariance…

In this paper, we obtain stability results for backward stochastic differential equations with jumps (BSDEs) in a very general framework. More specifically, we consider a convergent sequence of standard data, each associated to their own…

This paper is concerned with a kind of linear-quadratic (LQ) optimal control problem of backward stochastic differential equation (BSDE) with partial information. The cost functional includes cross terms between the state and control, and…