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Recent Development of Stochastic Optimal Control and Differential Games

Organizer(s):
Name:	Affiliation:	Country:
Jingrui Sun	Southern University of Science and Technology	Peoples Rep of China
Hongwei Mei	Texas Tech University	USA
Jiongmin Yong	University of Central Florida	USA

Introduction:

As two important directions in the area of stochastic optimization, stochastic optimal control theory and stochastic differential games have been developing very fast in the recent years. They have been widely applied to solving many optimization problems raised in engineering, economy, biology, especially the recent very popular areas such as automotive driving, reinforcement (machine/deep) learning, AI technology, and so on. The purposes of this special session are to present the recent developments and to discuss the future directions in stochastic optimal control and differential games. The main topics are focused on, but are not limited to, (1) linear-quadratic optimal control and differential game theory, (2) mean-field control and game theory, (3) stochastic optimization with partial information and filtering, (4) optimal control of hybrid problems, (5) relevant numerical methods, and (6) other topics for stochastic systems such as stability and so on.

All Abstracts

List of abstracts and speakers
Name	Affiliation	Title
Omar Kebiri	BTU Cottbus-Senftenberg	Deep learning methods to solve some of stochastic optimal control problems
Xun Li	HK PolyU	Discrete-Time Mean-Variance Strategy Based on Reinforcement Learning
Jun Moon	Hanyang University	Advances in Linear-Quadratic Stochastic Differential Games
Jonas Schiessl	University of Bayreuth	Strict Dissipativity in Stochastic Optimal and Predictive Control
Bingchang Wang	Shandong University	Mean field LQG games and teams
Jie Xiong	Southern University of Science and Technology	Stochastic maximum principle for weighted mean-field system with application to ambiguity filtering
George Yin	University of Connecticut	Computational Nonlinear Filtering Using A Deep Learning Approach
Jiongmin Yong	University of Central Florida	Linear-Quadratic Optimal Control Problem for Mean-Field SDEs With Certain Random Coefficients
Huanshui Zhang	Shandong University of Science and Technology	Optimization Methods Based on Optimal Control
Qing Zhang	University of Georgia	Pairs Trading: An Optimal Selling Rule with Constraints