Related papers: On the Continuity of Stochastic Exit Time Control …

We consider the control problem with \textit{exit time}. Unlike the Bolza and Mayer problems, in this problem the terminal time of the trajectories is not fixed, but it is the first time at which they reach a given closed subset -…

We study sequences, parametrized by the number of agents, of many agent exit time stochastic control problems with risk-sensitive cost structure. We identify a fully characterizing assumption, under which each of such control problem…

Discrete time control systems whose dynamics and observations are described by stochastic equations are common in engineering, operations research, health care, and economics. For example, stochastic filtering problems are usually defined…

This paper tackles the problem of generating safe exit controllers for continuous-time systems described by stochastic differential equations (SDEs). The primary aim is to develop controllers that maximize the lower bounds of the exit…

We consider a finite-time stochastic drift control problem with the assumption that the control is bounded and the system is controlled until the state process leaves the half-line. Assuming general conditions, it is proved that the…

Constraint tightening to non-conservatively guarantee recursive feasibility and stability in Stochastic Model Predictive Control is addressed. Stability and feasibility requirements are considered separately, highlighting the difference…

We consider a class of exit time stochastic control problems for diffusion processes with discounted criterion, where the controller can utilize a given amount of resource, called "fuel". In contrast to the vast majority of existing…

This paper considers time-inconsistent problems when control and stopping strategies are required to be made simultaneously (called stopping control problems by us). We first formulate the timeinconsistent stopping control problems under…

We consider a class of exit--time control problems for nonlinear systems with a nonnegative vanishing Lagrangian. In general, the associated PDE may have multiple solutions, and known regularity and stability properties do not hold. In this…

In this paper, we develop new optional stopping theorems for scenarios where the stopping rules are defined by bounded continuity regions. Moreover, we establish a wide variety of inequalities on the supremums and infimums of functions of…

This paper studies the problem of enforcing safety of a stochastic dynamical system over a finite-time horizon. We use stochastic control barrier functions as a means to quantify the probability that a system exits a given safe region of…

We study exit times from time-dependent domains under joint perturbations of the trajectory and the domain. Representing a moving domain by a continuous barrier $\Phi$ on space-time, we reduce the exit problem to a one-dimensional…

This paper studies the problem of enforcing safety of a stochastic dynamical system over a finite time horizon. We use stochastic barrier functions as a means to quantify the probability that a system exits a given safe region of the state…

We apply the Stochastic Perron method, created by Bayraktar and S\^irbu, to a stochastic exit time control problem. Our main assumption is the validity of the Strong Comparison Result for the related Hamilton-Jacobi-Bellman (HJB) equation.…

The purpose of this article is to study a stochastic control problem on a junction, with control at the junction point. The problem of control is formulated in the weak sense, using a relaxed control, namely a control which takes values in…

The time at which a one-dimensional continuous strong Markov process attains a boundary point of its state space is a discontinuous path functional and it is, therefore, unclear whether the exit time can be approximated by hitting times of…

Suboptimal methods in optimal control arise due to a limited computational budget, unknown system dynamics, or a short prediction window among other reasons. Although these methods are ubiquitous, their transient performance remains…

We consider a continuous time stochastic optimal control problem under both equality and inequality constraints on the expectation of some functionals of the controlled process. Under a qualification condition, we show that the problem is…

This paper focuses on the optimal control of weak (i.e. in general non smooth) solutions to the continuity equation with non local flow. Our driving examples are a supply chain model and an equation for the description of pedestrian flows.…

For a class of Bellman equations in bounded domains we prove that sub- and supersolutions whose growth at the boundary is suitably controlled must be constant. The ellipticity of the operator is assumed to degenerate at the boundary and a…