Related papers: Stochastic Variational formulas for solutions to l…
Consider the problem of a central bank that wants to manage the exchange rate between its domestic currency and a foreign one. The central bank can purchase and sell the foreign currency, and each intervention on the exchange market leads…
In this paper, we study a stochastic optimal control problem under a type of consistent convex expectation dominated by G-expectation. By the separation theorem for convex sets, we get the representation theorems for this convex expectation…
In this paper, we consider a discrete-time stochastic control problem with uncertain initial and target states. We first discuss the connection between optimal transport and stochastic control problems of this form. Next, we formulate a…
In this paper, we introduce some fundamental notions related to the so-called stochastic derivatives with respect to a given $\sigma$-field $\mathcal{Q}$. In our framework, we recall well-known results about Markov--Wiener diffusions. We…
We investigate a numerical behaviour of robust deterministic optimal control problem subject to a convection diffusion equation containing uncertain inputs. Stochastic Galerkin approach, turning the original optimization problem containing…
We prove a priori bounds for solutions of stochastic reaction diffusion equations with super-linear damping in the reaction term. These bounds provide a control on the supremum of solutions on any compact space-time set which only depends…
In this paper, we consider linear quadratic optimal control with mean-field type for discrete-time stochastic systems with state and control dependent noise. An optimal control problem is studied for a linear mean-field stochastic…
We study a stochastic control problem for nonlinear systems governed by stochastic differential equations with irregular drift. The drift coefficient is assumed to decompose as $b(t,x,a)=b_1(t,x)+b_2(x)b_3(t,a)$, where $b_1$ is bounded and…
This paper is concerned with a constrained stochastic linear-quadratic optimal control problem, in which the terminal state is fixed and the initial state is constrained to lie in a stochastic linear manifold. The controllability of…
This paper is concerned with the well-posedness and regularity of the distributional solutions for the stochastic acoustic and elastic scattering problems. We show that the regularity of the solutions depends on the regularity of both the…
We apply a proposal of Yuen and Tombesi, for treating stochastic problems with negative diffusion, to the analytically soluble problem of the single-mode anharmonic oscillator. We find that the associated stochastic realizations include…
In control theory, typically a nominal model is assumed based on which an optimal control is designed and then applied to an actual (true) system. This gives rise to the problem of performance loss due to the mismatch between the true model…
Stochastic simulation is a widely used method for estimating quantities in models of chemical reaction networks where uncertainty plays a crucial role. However, reducing the statistical uncertainty of the corresponding estimators requires…
We present new extensions to a method for constructing several families of solvable one-dimensional time-homogeneous diffusions whose transition densities are obtainable in analytically closed-form. Our approach is based on a dual…
Travelling wave solutions of reaction-diffusion equations are widely used to model the spatial spread of populations and other phenomena in biology and physics. In this article, we reinterpret the classical variational principle approach…
In this paper, we deal with the inverse source problem of determining a source in a time fractional diffusion equation where data are given at a fixed time. This problem is ill-posed, i.e., the solution does not depend continuously on the…
This paper is concerned with a discounted stochastic optimal control problem for regime switching diffusion in an infinite horizon. First, as a preliminary with particular interests in its own right, the global well-posedness of infinite…
In this paper, we investigate how to achieve the unpredictability against malicious inferences for linear systems. The key idea is to add stochastic control inputs, named as unpredictable control, to make the outputs irregular. The future…
In this paper we consider non convex control problems of stochastic differential equations driven by relaxed controls. We present existence of optimal controls and then develop necessary conditions of optimality. We cover both continuous…
This paper addresses null controllability for both forward and backward linear stochastic parabolic equations by introducing convection terms on the drift parts with bounded coefficients. Moreover, the forward stochastic parabolic equation…