相关论文: Finite horizon stochastic $H_2/H_\infty$ control f…

In this work, we focus on an infinite horizon mean-field linear-quadratic stochastic control problem with jumps. Firstly, the infinite horizon linear mean-field stochastic differential equations and backward stochastic differential…

The finite horizon $H_2/H_\infty$ control problem of mean-field type for discrete-time systems is considered in this paper. Firstly, we derive a mean-field stochastic bounded real lemma (SBRL). Secondly, a sufficient condition for the…

In this paper, we study a linear-quadratic optimal control problem for mean-field stochastic differential equations driven by a Poisson random martingale measure and a multidimensional Brownian motion. Firstly, the existence and uniqueness…

In this paper we prove a necessary condition of the optimal control problem for a class of general mean-field forward-backward stochastic systems with jumps in the case where the diffusion coefficients depend on control, the control set…

In this article, we consider a weighted mean-field control problem with jump-diffusion as its state process. The main difficulty is from the non-Lipschitz property of the coefficients. We overcome this difficulty by an $L_{p,q}$-estimate of…

In this paper, we consider a linear-quadratic optimal control problem of mean-field stochastic differential equation with jump diffusion, which is also called as an MF-LQJ problem. Here, cost functional is allowed to be indefinite. We use…

This paper discusses the \( H_2/H_{\infty} \) control problem for continuous-time mean-field linear stochastic systems with affine terms over a finite horizon. We employ the Mean-Field Stochastic Bounded Real Lemma (MF-SBRL), which provides…

This paper is concerned with a linear quadratic (LQ, for short) optimal control problem for mean-field backward stochastic differential equations (MF-BSDE, for short) driven by a Poisson random martingale measure and a Brownian motion.…

We propose a simple and original approach for solving linear-quadratic mean-field stochastic control problems. We study both finite-horizon and infinite-horizon problems, and allow notably some coefficients to be stochastic. Our method is…

In this paper, we investigate infinite horizon jump-diffusion forward-backward stochastic differential equations under some monotonicity conditions. We establish an existence and uniqueness theorem, two stability results and a comparison…

This paper investigates the $H_{2}/H_{\infty}$ control problem for linear stochastic differential systems under partial observation. Unlike existing studies that assume full state accessibility, we consider the scenario where the controller…

This paper is concerned with a discounted stochastic optimal control problem for regime switching diffusion in an infinite horizon. First, as a preliminary with particular interests in its own right, the global well-posedness of infinite…

This paper is devoted to studying an infinite time horizon stochastic recursive control problem with jumps, where infinite time horizon stochastic differential equation and backward stochastic differential equation with jumps describe the…

We consider the diffusive limit of a typical pure-jump Markovian control problem as the intensity of the driving Poisson process tends to infinity. We show that the convergence speed is provided by the H\"older constant of the Hessian of…

We consider a class of diffusions controlled through the drift and jump size, and driven by a jump L\'evy process and a nondegenerate Wiener process, and we study infinite horizon (ergodic) risk-sensitive control problem for this model. We…

In this paper, we study a stochastic linear-quadratic control problem with random coefficients and regime switching on a horizon $[0,T\wedge\tau]$, where $\tau$ is a given random jump time for the underlying state process and $T$ is a…

In this article, we apply a probabilistic approach to study general mean field type control (MFTC) problems with jump-diffusions, and give the first global-in-time solution. We allow the drift coefficient $b$ and the diffusion coefficient…

This paper mainly establishes the finite-horizon stochastic bounded real lemma, and then solves the $H_{\infty}$ control problem for discrete-time stochastic linear systems defined on the separable Hilbert spaces, thereby unifying the…

In this paper we study a class of stochastic control problems in which the control of the jump size is essential. Such a model is a generalized version for various applied problems ranging from optimal reinsurance selections for general…

The purpose of this paper is to study optimal control of conditional McKean-Vlasov (mean-field) stochastic differential equations with jumps (conditional McKean-Vlasov jump diffusions, for short). To this end, we first prove a stochastic…