This paper is concerned with the long-standing problems of linear quadratic regulation
(LQR) control and stabilization for a class of discrete-time stochastic systems involving …

Optimality principles of biological movement are conceptually appealing and straightforward
to formulate. Testing them empirically, however, requires the solution to stochastic optimal …

This paper deals with the discrete-time stochastic LQ problem involving state and control
dependent noises, whereas the weighting matrices in the cost function are allowed to be …

The H∞ control has been one of the important robust control approaches since the 1980s.
This book extends the area to nonlinear stochastic H2/H∞ control, and studies more …

A stochastic linear quadratic (LQ) control problem is indefinite when the cost weighting
matrices for the state and the control are allowed to be indefinite. Indefinite stochastic LQ …

This paper presents an iterative Linear-Quadratic-Gaussian method for locally-optimal
control and estimation of non-linear stochastic systems. The new method constructs an …

This paper concerns the problems of quadratic hedging and pricing, and mean-variance
portfolio selection in an incomplete market setting with continuous trading, multiple assets …

This paper develops stochastic consentability of linear multiagent systems with time delays
and multiplicative noises. First, the stochastic stability for stochastic differential delay …

We consider a class of nonlinear stochastic systems with square-root nonlinearities
appearing in the diffusion terms. The optimal control problems with indefinite quadratic …

In this paper, we are concerned with the leader-follower stochastic differential game of Itô
type with time delay appearing in the leader's control. The open-loop solution is explicitly …