A general model of decentralized stochastic control problem in which multiple controllers share part of their information with each other is investigated. The general model subsumes several models of information sharing in decentralized stochastic control as special cases. Structural results for optimal control strategies for the general model are presented. A dynamic program for finding the op...

Model Predictive Control is analyzed as a strategy for coping with the unknown, variable and non-deterministic action and measurement delays which can occur in congestion control of available-bit-rate teletraffic control for highspeed data networks. It is shown that the state-feedbackplus-estimator certainty equivalence nature of this control law is particularly amenable to coping with these de...

We study singular stochastic control of a two dimensional stochastic differential equation, where the first component is linear with random and unbounded coefficients. We derive existence of an optimal relaxed control and necessary conditions for optimality in the form of a mixed relaxedsingular maximum principle in a global form. A motivating example is given in the form of an optimal investme...

Abstract: In this article the problem of optimal trading in illiquid markets is addressed when the deviations from a given stochastic target function describing, for instance, external aggregate client flow are penalised. Using techniques of singular stochastic control, we extend the results of [NW11] to a two-sided limit order market with temporary market impact and resilience, where the bid a...

Existence and uniqueness results of fully coupled forward-backward stochastic differential equations with an arbitrarily large time duration are obtained. Some stochastic Hamilton systems arising in stochastic optimal control systems and mathematical finance can be treated within our framework.

In this short note we show that, in the context of stochastic control systems, the uniform existence of a limit of Cesàro averages implies the existence of uniform limits for averages with respect to a wide class of measures dominated by the Lebesgue measure and satisfying some asymptotic condition. It gives a partial answer to the problem mentioned in [18] and it provides an alternative method...

The paper considers the design of explicit ratebased flow control for ABR sources in an ATM network. The goal is to share the available capacity “fairly” among many sources while maintaining queue length at a bottleneck node at a desired level. This problem is formulated as a stochastic control problem, and in this framework rate-control mechanisms are developed, which stabilize the queue lengt...

Two stochastic control problems with partial observations are studied, one where the policy or control law depends only on the latest observation (the controller does not have recall of observations), and the other with the standard partial observations model. The equivalent full observation problems are formulated, and the equivalence is proven using a new method. The results are illustrated w...

The analysis of partially observed stochastic control problems often replaces the unknown state process with its conditional distribution given the observations. This technique rewrites the dynamics in terms of knowable processes whose costs coincide with the original processes. This paper considers stochastic processes having singular behavior and presents an approach which separates the deter...