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math.OC2025
Mean-Square Stability of Continuous-Time Stochastic Model Predictive Control
Qi Lü, Bowen Ma, Enrique Zuazua
We propose a stochastic model predictive control (SMPC) framework for a broad class of unconstrained controlled stochastic differential equations (SDEs) and establish its mean-squa…
math.OC2025
Forward-Backward Stochastic Linear-Quadratic Optimal Controls: Equilibrium Strategies and Non-Symmetric Riccati Equations
Qi Lü, Bowen Ma, Hanxiao Wang
Linear-quadratic optimal control problem for systems governed by forward-backward stochastic differential equations has been extensively studied over the past three decades. Recent…