Related papers: Stochastic Variational formulas for solutions to l…
We consider a slow passage through a point of loss of stability. If the passage is sufficiently slow, the dynamics are controlled by additive random disturbances, even if they are extremely small. We derive expressions for the `exit value'…
We study the regularity of the stochastic representation of the solution of a class of initial-boundary value problems related to a regime-switching diffusion. This representation is related to the value function of a finite-horizon optimal…
We prove a sufficient stochastic maximum principle for the optimal control of a regime-switching diffusion model. We show the connection to dynamic programming and we apply the result to a quadratic loss minimization problem, which can be…
This paper is devoted to the numerical analysis of a control constrained distributed optimal control problem subject to a time fractional diffusion equation with non-smooth initial data. The solutions of state and co-state are decomposed…
This paper studies a robust stochastic control problem with a monotone mean-variance cost functional and random coefficients. The main technique is to find the saddle point through two backward stochastic differential equations (BSDEs) with…
A change of variables is introduced to reduce certain nonlinear stochastic evolution equations with multiplicative noise to the corresponding deterministic equation. The result is then used to investigate a stochastic porous medium…
This paper analyzes a discretization of a stochastic parabolic optimal control problem, where the diffusion term contains the control variable. With rough data, the convergence of the discretization is derived. In addition, a Monte-Carlo…
In this paper, we study a class of stochastic time-inconsistent linear-quadratic (LQ) control problems with control input constraints. These problems are investigated within the more general framework associated with random coefficients.…
This paper studies {a} mixed singular/switching stochastic control problem for a multidimensional diffusion with multiples regimes on a bounded domain. Using probabilistic, partial differential equation (PDE) and penalization techniques, we…
This paper is concerned with the existence of optimal controls for backward stochastic partial differential equations with random coefficients, in which the control systems are represented in an abstract evolution form, i.e. backward…
We consider an optimal stochastic impulse control problem over an infinite time horizon motivated by a model of irreversible investment choices with fixed adjustment costs. By employing techniques of viscosity solutions and relying on…
The Energy-Dissipation Principle provides a variational tool for the analysis of parabolic evolution problems: solutions are characterized as so-called null-minimizers of a global functional on entire trajectories. This variational…
Stochastic optimal control problems have a long tradition in applied probability, with the questions addressed being of high relevance in a multitude of fields. Even though theoretical solutions are well understood in many scenarios, their…
We consider spatially extended conductance based neuronal models with noise described by a stochastic reaction diffusion equation with additive noise coupled to a control variable with multiplicative noise but no diffusion. We only assume a…
We consider an optimal stochastic target problem for branching diffusion processes. This problem consists in finding the minimal condition for which a control allows the underlying branching process to reach a target set at a finite…
We analyze the relative price change of assets starting from basic supply/demand considerations subject to arbitrary motivations. The resulting stochastic differential equation has coefficients that are functions of supply and demand. We…
Starting from the simple point process model of 1/f noise we derive a stochastic nonlinear differential equation for the signal exhibiting 1/f noise in any desirably wide range of frequency. A stochastic differential equation (the general…
This paper addresses the problem of steering an initial probability distribution to a target probability distribution through a deterministic or stochastic linear control system. Our proposed approach is inspired by the flow matching…
We derive the (d-dimensional) periodic incompressible and viscous Camassa-Holm equation as well as the Leray-alpha equations via a stochastic variational principle. We discuss the existence of solution for this equation in the space H1…
This article presents a general and novel approach to the automation of goal-oriented error control in the solution of nonlinear stationary finite element variational problems. The approach is based on automated linearization to obtain the…