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A State-Space Solution to the Two-Player Decentralized Optimal Control Problem
Optimal Control Problem Two-Player Decentralized
2015/6/19
In this paper, we present an explicit state-space solution to the two-player decentralized optimal control problem. In this problem, there are two interconnected linear systems that seek to optimize a...
An infinite-horizon optimal control problem and the stability of the adjoint variable (in Russian)
infinite-horizon optimal control problem stability adjoint variable
2011/2/21
Определения и обозначения. Пусть задано метрическое простран-ство X △= Rm. Определим T △= {t ∈ R| t ≥ 0}.
An explicit solution for an optimal stopping/optimal control problem which models an asset sale
explicit solution optimal stopping/optimal control problem models asset sale
2010/12/20
In this article we study an optimal stopping/optimal control problem which models the decision facing a risk-averse agent over when to sell an asset. The market is incomplete so that the asset exposu...
MAXIMUM PRINCIPLE FOR OPTIMAL CONTROL PROBLEM OF FULLY COUPLEDFORWARD-BACKWARD STOCHASTIC SYSTEMS
Stochastic differential equations forwa
2007/8/7
The optimal control problem of fully coupled forward-backward stochastic systems is put forward. A necessary condition, called maximum principle, for an optimal control of the problem with the control...
