Related papers: On the Continuity of Stochastic Exit Time Control …
This paper studies finite-time safety and reach-avoid verification for stochastic discrete-time dynamical systems. The aim is to ascertain lower and upper bounds of the probability that, within a predefined finite-time horizon, a system…
Deterministic optimal impulse control problem with terminal state constraint is considered. Due to the appearance of the terminal state constraint, the value function might be discontinuous in general. The main contribution of this paper is…
This paper studies finite-time stability and instability theorems in probability sense for stochastic nonlinear systems. Firstly, a new sufficient condition is proposed to guarantee that the considered system has a global solution.…
In this paper, which is a continuation of the previously published discrete time paper we develop a theory for continuous time stochastic control problems which, in various ways, are time inconsistent in the sense that they do not admit a…
We prove a general existence result in stochastic optimal control in discrete time where controls take values in conditional metric spaces, and depend on the current state and the information of past decisions through the evolution of a…
We present stability conditions for deterministic time-varying nonlinear discrete-time systems whose inputs aim to minimize an infinite-horizon time-dependent cost. Global asymptotic and exponential stability properties for general…
In this paper, we derive a parabolic partial differential equation for the expected exit time of non-autonomous time-periodic non-degenerate stochastic differential equations. This establishes a Feynman-Kac duality between expected exit…
We consider a stochastic optimal control problem governed by a stochastic differential equation with delay in the control. Using a result of existence and uniqueness of a sufficiently regular mild solution of the associated…
A dual formulation for the problem of determining absolute performance limitations on overshoot, undershoot, maximum amplitude and fluctuation minimization for continuous-time feedback systems is constructed. Determining, for example, the…
We study a class of zero-sum stochastic games between a stopper and a singular-controller, previously considered in [Bovo and De Angelis (2025)]. The underlying singularly-controlled dynamics takes values in…
We investigate control of a non-linear process when communication and processing capabilities are limited. The sensor communicates with a controller node through an erasure channel which introduces i.i.d. packet dropouts. Processor…
This paper investigates a minimal time control problem for the heat equation with multiple impulse controls. We first establish the maximum principles for this problem and then prove the equivalence between the minimal time impulse control…
In this paper, a stochastic control problem under model uncertainty with general penalty term is studied. Two types of penalties are considered. The first one is of type f-divergence penalty treated in the general framework of a continuous…
This note is addressed to giving a short introduction to control theory of stochastic systems, governed by stochastic differential equations in both finite and infinite dimensions. We will mainly explain the new phenomenon and difficulties…
We present two related anytime algorithms for control of nonlinear systems when the processing resources available are time-varying. The basic idea is to calculate tentative control input sequences for as many time steps into the future as…
We prove continuity of certain cost functions arising from optimal control of affine control systems. We give sharp sufficient conditions for this continuity. As an application, we prove a version of weak KAM theorem and consider the…
In this article, we prove second-order necessary optimality conditions for the so-called time crisis problem that comes up within the context of viability theory. It consists in minimizing the time spent by solutions of a controlled…
For a class of linear switched systems in continuous time a controllability condition implies that state feedbacks allow to achieve almost sure stabilization with arbitrary exponential decay rates. This is based on the Multiplicative…
In this paper, we examine the fundamental performance limitations in the control of stochastic dynamical systems; more specifically, we derive generic $\mathcal{L}_p$ bounds that hold for any causal (stabilizing) controllers and any…
We propose a variational formulation of an inverse problem in continuous-time stochastic control, aimed at identifying control costs consistent with a given distribution over trajectories. The formulation is based on minimizing the…