Related papers: Minimising the expected commute time
We propose a unified approach to establishing diffusion approximations for queues with impatient customers within a general framework of scaling customer patience time. The approach consists of two steps. The first step is to show that the…
Of stochastic differential equations, diffusion processes have been adopted in numerous applications, as more relevant and flexible models. This paper studies diffusion processes in a different setting, where for a given stationary…
Consider a set of discounted optimal stopping problems for a one-parameter family of objective functions and a fixed diffusion process, started at a fixed point. A standard problem in stochastic control/optimal stopping is to solve for the…
We consider the problem to steer a linear dynamical system with full state observation from an initial gaussian distribution in state-space to a final one with minimum energy control. The system is stochastically driven through the control…
The paper studies a class of multidimensional optimal stopping problems with infinite horizon for linear switching diffusions. There are two main novelties in the optimal problems considered: the underlying stochastic process has…
In this paper, we study the asymptotic of exit problem for controlled Markov diffusion processes with random jumps and vanishing diffusion terms, where the random jumps are introduced in order to modify the evolution of the controlled…
This paper considers the problem of designing time-dependent, real-time control policies for controllable nonlinear diffusion processes, with the goal of obtaining maximally-informative observations about parameters of interest. More…
We consider a controlled-diffusion process pertaining to a chain of distributed systems with random perturbations that satisfies a weak H\"ormander type condition. In particular, we consider a stochastic control problem with the following…
Recent studies have indicated that the coarse grained dynamics of a large class of traffic models and driven-diffusive systems may be described by urn models. We consider a class of one-dimensional urn models whereby particles hop from an…
A diffusion Monte Carlo algorithm is introduced that can determine the correct nodal structure of the wave function of a few-fermion system and its ground-state energy without an uncontrolled bias. This is achieved by confining signed…
This paper is addressed to studying the exact controllability for stochastic transport equations by two controls: one is a boundary control imposed on the drift term and the other is an internal control imposed on the diffusion term. By…
Physical notions of stochastic resonance for potential diffusions in periodically changing double-well potentials such as the spectral power amplification have proved to be defective. They are not robust for the passage to their effective…
We consider a controlled reaction-diffusion equation, motivated by a pest eradication problem. Our goal is to derive a simpler model, describing the controlled evolution of a contaminated set. In this direction, the first part of the paper…
A rather simple random walk model on a one-dimensional lattice is put forward. The lattice as a whole switches randomly between two possible states which are spatially symmetric. Both lattice states are identical, but translated by one site…
Importance sampling is a widely used technique to reduce the variance of a Monte Carlo estimator by an appropriate change of measure. In this work, we study importance sam- pling in the framework of diffusion process and consider the change…
We consider a class of stochastic optimal control problems for discrete-time stochastic linear systems which seek for control policies that will steer the probability distribution of the terminal state of the system close to a desired…
Linear diffusion processes serve as canonical continuous-time models for dynamic decision-making under uncertainty. These systems evolve according to drift matrices that specify the instantaneous rates of change in the expected system…
The simulation of exit times for diffusion processes is a challenging task since it concerns many applications in different fields like mathematical finance, neuroscience, reliability... The usual procedure is to use discretiza-tion schemes…
Simulating the conditioned dynamics of diffusion processes, given their initial and terminal states, is an important but challenging problem in the sciences. The difficulty is particularly pronounced for rare events, for which the…
Returning a system to a desired state under a force field involves a thermodynamic cost, i.e., {\it work}. This cost fluctuates for a small-scale system from one experimental realization to another. We introduce a general framework to…