Zobrazeno 1 - 10
of 33
pro vyhledávání: '"93E20, 49N10"'
We study the time-inconsistent linear quadratic optimal control problem for forward-backward stochastic differential equations with potentially indefinite cost weighting matrices for both the state and the control variables. Our research makes two co
Externí odkaz:
http://arxiv.org/abs/2312.08713
We investigate different turnpike phenomena of generalized discrete-time stochastic linear-quadratic optimal control problems. Our analysis is based on a novel strict dissipativity notion for such problems, in which a stationary stochastic process re
Externí odkaz:
http://arxiv.org/abs/2309.05422
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 LQ problem
Externí odkaz:
http://arxiv.org/abs/2308.00335
Autor:
Zhang, Haisen, Zhang, Xianfeng
A stochastic linear quadratic (LQ) optimal control problem with a pointwise linear equality constraint on the terminal state is considered. A strong Lagrangian duality theorem is proved under a uniform convexity condition on the cost functional and a
Externí odkaz:
http://arxiv.org/abs/2301.08392
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 the cost f
Externí odkaz:
http://arxiv.org/abs/2202.13667
This paper is concerned with a backward stochastic linear-quadratic (LQ, for short) optimal control problem with deterministic coefficients. The weighting matrices are allowed to be indefinite, and cross-product terms in the control and state process
Externí odkaz:
http://arxiv.org/abs/2104.04747
This paper is concerned with two-person mean-field linear-quadratic non-zero sum stochastic differential games in an infinite horizon. Both open-loop and closed-loop Nash equilibria are introduced. Existence of an open-loop Nash equilibrium is charac
Externí odkaz:
http://arxiv.org/abs/2007.06130
Autor:
Yang, Shuzhen
To investigate a time-consistent optimal strategy for the continuous time mean-variance model, we develop a new method to establish the Bellman principle. Based on this new method, we obtain a time-consistent dynamic optimal strategy that differs fro
Externí odkaz:
http://arxiv.org/abs/2005.01904
An optimal ergodic control problem (EC problem, for short) is investigated for a linear stochastic differential equation with quadratic cost functional. Constant nonhomogeneous terms, not all zero, appear in the state equation, which lead to the asym
Externí odkaz:
http://arxiv.org/abs/2004.11088
We consider the linear quadratic Gaussian control problem with a discounted cost functional for descriptor systems on the infinite time horizon. Based on recent results from the deterministic framework, we characterize the feasibility of this problem
Externí odkaz:
http://arxiv.org/abs/2004.08932