Related papers: Stochastic Variational formulas for solutions to l…
We consider controlled stochastic differential equations (SDEs) with measurable coefficients, a uniformly elliptic diffusion coefficient and an $L_d$-drift. No space-regularity will be assumed for the coefficients. In this framework we…
This paper studies a {\it reversible} investment problem where a social planner aims to control its capacity production in order to fit optimally the random demand of a good. Our model allows for general diffusion dynamics on the demand as…
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 article is concerned with an optimal control problem derived by mean-field forward-backward stochastic differential equation with noisy observation, where the drift coefficients of the state equation and the observation equation are…
In this research note we provide a variational basis for the optimal artificial diffusion method, which has been a cornerstone in developing many stabilized methods. The optimal artificial diffusion method produces exact nodal solutions…
In this paper, the optimal control for discrete-time systems driven by fractional noises is studied. A stochastic maximum principle is obtained by introducing a backward stochastic difference equation contains both fractional noises and the…
In this paper, we study the optimal control problem for steering the state covariance of a discrete-time linear stochastic system over a finite time horizon. First, we establish the existence and uniqueness of the optimal control law for a…
The existence and uniqueness of the stationary distribution of the numerical solution generated by the stochastic theta method is studied. When the parameter theta takes different values, the requirements on the drift and diffusion…
This paper investigates the near optimal control for a kind of linear stochastic control systems governed by the forward backward stochastic differential equations, where both the drift and diffusion terms are allowed to depend on controls…
The main result in this paper is a variational formula for the exit rate from a bounded domain for a diffusion process in terms of the stationary law of the diffusion constrained to remain in this domain forever. Related results on the…
We study a stochastic optimal control problem for jump-diffusion systems whose drift coefficient is piecewise Lipschitz continuous and exhibits threshold-induced discontinuities. Such dynamics naturally arise in applications with…
This work aims to control the dynamics of certain non-Newtonian fluids in a bounded domain of $\mathbb{R}^d$, $d=2,3$ perturbed by a multiplicative Wiener noise, the control acts as a predictable distributed random force, and the goal is to…
We consider an optimal control problem that entails the minimization of a nondifferentiable cost functional, fractional diffusion as state equation and constraints on the control variable. We provide existence, uniqueness and regularity…
Variational Bayes (VB) has been used to facilitate the calculation of the posterior distribution in the context of Bayesian inference of the parameters of nonlinear models from data. Previously an analytical formulation of VB has been…
In this paper, we study the problem of how to optimally steer the state covariance of a general continuous-time linear stochastic system over a finite time interval subject to additive noise. Optimality here means reaching a target state…
In this paper, a new variational formulation based on discontinuous Galerkin technique for a reaction-diffusion problem is introduced, and the discontinuous Galerkin technique of this work is different from the general discontinuous…
We consider long term average or `ergodic' optimal control poblems with a special structure: Control is exerted in all directions and the control costs are proportional to the square of the norm of the control field with respect to the…
In this paper we study the fully nonlinear stochastic Hamilton-Jacobi-Bellman (HJB) equation for the optimal stochastic control problem of stochastic differential equations with random coefficients. The notion of viscosity solution is…
In this paper we study the problem of computing the effective diffusivity for a particle moving in chaotic and stochastic flows. In addition we numerically investigate the residual diffusion phenomenon in chaotic advection. The residual…
A class of optimal control problems governed by linear fractional diffusion equation with control constraint is considered. We first establish some results on the existence of strong solution to the state equation and the existence of…