An optimal stochastic control problem is considered for systems with unbounded controls satisfying an integral constraint. It is shown that there exists an optimal control within t...
We study properties of solutions to fully nonlinear versions of the standard Black– Scholes partial differential equation. These equations have been introduced in financial mat...
: For an infinite-horizon optimal control problem, the cost does not, in general, converge. The classical work-around to this problem is to introduce a discount or "forgetting...
— Optimal control and estimation are dual in the LQG setting, as Kalman discovered, however this duality has proven difficult to extend beyond LQG. Here we obtain a more natural...
Abstract— Despite its simplicity (two controllers and otherwise LQG), Witsenhausen’s counterexample is one of the long-standing open problems in stochastic distributed control....