Related papers: Local asymptotics for controlled martingales
We provide verification theorems (at different levels of generality) for infinite horizon stochastic control problems in continuous time for semimartingales. The control framework is given as an abstract "martingale formulation", which…
We study discrete dynamical systems through the topological concepts of limit set, which consists of all points that can be reached arbitrarily late, and asymptotic set, which consists of all adhering values of orbits. In particular, we…
We study the optimal control of discrete time mean filed dynamical systems under partial observations. We express the global law of the filtered process as a controlled system with its own dynamics. Following a dynamic programming approach,…
We investigate the almost sure asymptotic properties of vector martingale transforms. Assuming some appropriate regularity conditions both on the increasing process and on the moments of the martingale, we prove that normalized moments of…
We consider both discrete and continuous "uncertain horizon" deterministic control processes, for which the termination time is a random variable. We examine the dynamic programming equations for the value function of such processes,…
We prove a general existence result in stochastic optimal control in discrete time where controls take values in conditional metric spaces, and depend on the current state and the information of past decisions through the evolution of a…
This work addresses the finite-time enclosing control problem where a set of followers are deployed to encircle and rotate around multiple moving targets with a predefined spacing pattern in finite time. A novel distributed and continuous…
We consider controlled random walks that are martingales with uniformly bounded increments and nontrivial jump probabilities and show that such walks can be constructed so that P(S_n^u=0) decays at polynomial rate n^{-\alpha} where \alpha>0…
For a general nonlinear control system, we study the problem of small time local attainability of a target which is the closure of an open set. When the target is smooth and locally the sublevel set of a smooth function, we develop second…
We deal with a random graph model evolving in discrete time steps by duplicating and deleting the edges of randomly chosen vertices. We prove the existence of an a.s. asymptotic degree distribution, with streched exponential decay; more…
A general maximum principle (necessary and sufficient conditions) for an optimal control problem governed by a stochastic differential equation driven by an infinite dimensional martingale is established. The solution of this equation takes…
We consider the approximate control of solitons in generalized Korteweg-de Vries equations. By introducing a suitable internal bilinear control on the equation, we prove that any soliton is locally null controllable, and moreover, any…
This paper is concerned with asymptotic behavior of a variety of functionals of increments of continuous semimartingales. Sampling times are assumed to follow a rather general discretization scheme. If an underlying semimartingale is…
We consider the stochastic optimal control problem for the dynamical system of the stochastic differential equation driven by a local martingale with a spatial parameter. Assuming the convexity of the control domain, we obtain the…
The aim of this paper is to represent any continuous local martingale as an almost sure limit of a nested sequence of simple, symmetric random walks, time changed by a discrete quadratic variation process. One basis of this is a similar…
In this paper, we consider the problem of set-point tracking for a discrete-time plant with unknown plant parameters belonging to a convex and compact uncertainty set. We carry out parameter estimation for an associated auxiliary plant, and…
Optimal Dirichlet boundary control for a fractional/normal evolution with a final observation is considered. The unique existence of the solution and the first-order optimality condition of the optimal control problem are derived. The…
In this paper, we consider a class of stochastic optimal control problems with risk constraints that are expressed as bounded probabilities of failure for particular initial states. We present here a martingale approach that diffuses a risk…
Optimal Control Problems consist on the optimisation of an objective functional subjected to a set of Ordinary Differential Equations. In this work, we consider the effects on the stability of the numerical solution when this optimisation…
This paper deals with the controllability for a class of non-autonomous neutral differential equations of fractional order with infinite delay in an abstract space. The semi-group theory of bounded linear operators, fractional calculus, and…