Related papers: On the Continuity of Stochastic Exit Time Control …
In this paper, we investigate safety-critical control problem of discrete-time stochastic systems with incomplete information, where safety constraints must be enforced using state estimates obtained from noisy measurements. We develop an…
This note is concerned with the study of the initial boundary value problem for systems of conservation laws from the point of view of control theory, where the initial data is fixed and the boundary data are regarded as control functions.…
The second-order sub-optimal sliding mode control (SMC), known in the literature for the last two decades, is extended by a control-off mode which allows for saving energy during the finite time convergence. The systems with relative degree…
The problem of noise-induced escape from a metastable state arises in physics, chemistry, biology, systems engineering, and other areas. The problem is well understood when the underlying dynamics of the system obey detailed balance. When…
The purpose of the present work is to expand substantially the type of control and estimation problems that can be addressed following the paradigm of Schr\"odinger bridges, by incorporating termination (killing) of stochastic flows.…
In this paper, we focus on a class of time-inconsistent stochastic control problems, where the objective function includes the mean and several higher-order central moments of the terminal value of state. To tackle the time-inconsistency,…
In this manuscript, we consider a control system governed by a general ordinary differential equation on a Riemannian manifold, with its endpoints satisfying some inequalities and equalities, and its control constrained to a closed convex…
This paper is concerned with cost optimization of an insurance company. The surplus of the insurance company is modeled by a controlled regime switching diffusion, where the regime switching mechanism provides the fluctuations of the random…
Under very general conditions the hitting time of a set by a stochastic process is a stopping time. We give a new simple proof of this fact. The section theorems for optional and predictable sets are easy corollaries of the proof.
We consider a class of closed loop stochastic optimal control problems in finite time horizon, in which the cost is an expectation conditional on the event that the process has not exited a given bounded domain. An important difficulty is…
A new approach for the weak noise analysis of exit problems removes an intrinsic contradiction of an existing method. It applies for both the mean time and the location of the exits; novel outcomes mainly concern the exits from entire…
We consider bounded extremum seeking controls for time-varying linear systems with uncertain coefficient matrices and measurement uncertainty. Using a new change of variables, Lyapunov functions, and a comparison principle, we provide…
This work establishes a Space-Time Connectivity Theorem for normal currents. In analogy to classical results by Federer and Fleming as well as a recent theorem for integral currents by the second author, this result allows one to witness…
Let X be some homogeneous additive functional of a skew Bessel process Y. In this note, we compute the asymptotics of the first passage time of X to some fixed level b, and study the position of Y when X exits a bounded interval [a, b]. As…
We present novel results on the solution of a class of leavable, undiscounted optimal control problems in the minimax sense for nonlinear, continuous-state, discrete-time plants. The problem class includes entry-(exit-)time problems as well…
This paper develops a time-inconsistent and path-dependent singular control framework incorporating a running minimum process. We derive a verification theorem that characterizes equilibria under substantially weaker regularity conditions…
Under non-exponential discounting, we develop a dynamic theory for stopping problems in continuous time. Our framework covers discount functions that induce decreasing impatience. Due to the inherent time inconsistency, we look for…
In this paper we study a criterion for the viability of stochastic semilinear control systems on a real, separable Hilbert space. The necessary and sufficient conditions are given using the notion of stochastic quasi-tangency. As a…
Finite-time stability of networked control systems under Denial of Service (DoS) attacks are investigated in this paper, where the communication between the plant and the controller is compromised at some time intervals. Toward this goal,…
We consider the determination of the optimal stationary singular stochastic control of a linear diffusion for a class of average cumulative cost minimization problems arising in various financial and economic applications of stochastic…