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 affine feedback control law, obtained by minimizing a novel quadratic approximation to the optimal cost-to-go function, and a non-adaptive estimator optimized with respect to the current control law. The control law and filte...

In this paper, we initiate a study on optimal control problem for stochastic differential games under generalized expectation via backward stochastic differential equations and partial information. We first prove a sufficient maximum principle for zero-sum stochastic differential game problem. And then extend our approach to general stochastic differential games (nonzero–sum games), and obtain ...

For a class of nonlinear stochastic systems in strict-feedback form, where the diffusion coefficients depend on the state, we obtain risk-sensitive state-feedback controllers which are both globally inverse optimal and locally sub-optimal. These controllers also lead to closed-loop system trajectories that are bounded in probability.