Related papers: Local asymptotics for controlled martingales
We study the controllability of a Partial Differential Equation of transport type, that arises in crowd models. We are interested in controlling it with a control being a vector field, representing a perturbation of the velocity, localized…
This paper is devoted to the analysis of a finite horizon discrete-time stochastic optimal control problem, in presence of constraints. We study the regularity of the value function which comes from the dynamic programming algorithm. We…
The paper is concerned with the boundary controllability of entropy weak solutions to hyperbolic systems of conservation laws. We prove a general result on the asymptotic stabilization of a system near a constant state. On the other hand,…
The hybrid optimal control problem with reach time to a target set is addressed and the continuity and uniqueness of the associated value function is proved. Hybrid systems involves interaction of different types of dynamics: continuous and…
It is well known that if a submartingale $X$ is bounded then the increasing predictable process $Y$ and the martingale $M$ from the Doob decomposition $% X=Y+M$ can be unbounded. In this paper for some classes of increasing convex functions…
We propose a numerical method to approximate the exact averaged boundary control of a family of wave equations depending on an unknown parameter sigma. More precisely the control, independent of sigma, that drives an initial data to a…
This paper examines the impulse controllability of degenerate singular parabolic equations through a modern framework focused on finite-time stabilization. Furthermore, we provide an explicit estimate for the exponential decay of the…
We consider a control problem where the state must reach asymptotically a target while paying an integral payoff with a non-negative Lagrangian. The dynamics is just continuous, and no assumptions are made on the zero level set of the…
We consider stochastic control with discretionary stopping for the drift of a diffusion process over an infinite time horizon. The objective is to choose a control process and a stopping time to minimize the expectation of a convex terminal…
We consider an optimal stopping problem where a constraint is placed on the distribution of the stopping time. Reformulating the problem in terms of so-called measure-valued martingales allows us to transform the marginal constraint into an…
In this paper, we consider the approximate controllability of partial differential equations with time derivatives of non-integer order via boundary control. We first show the unique existence of the solution under smooth boundary…
Going from a scaling approach for birth/death processes, we investigate the scaling limit of solutions to non-Markovian stochastic control problems by studying the convergence of solutions to BSDEs driven a sequence of converging…
We study an explicit mirror-descent method for finite-horizon deterministic optimal control problems. The method is motivated by Pontryagin's maximum principle: at each iteration, one solves the state and adjoint equations and updates the…
In this work, we investigate the approximate controllability of a class of one-dimensional degenerate parabolic equations with Robin boundary conditions. The degeneracy occurs at one endpoint of the spatial domain, and we apply an impulsive…
We consider optimal stopping problems, in which a sequence of independent random variables is drawn from a known continuous density. The objective of such problems is to find a procedure which maximizes the expected reward; this is often…
In this work we study the nonlinear dynamics of the static and the driven ellipse. In the static case, we find numerically an asymptotical algebraic decay for the escape of an ensemble of non-interacting particles through a small hole due…
We consider the problem of tracking a target whose dynamics is modeled by a continuous It\=o semi-martingale. The aim is to minimize both deviation from the target and tracking efforts. We establish the existence of asymptotic lower bounds…
We consider an elliptic optimal control problem where the objective functional contains evaluations of the state at a finite number of points. In particular, we use a fidelity term that encourages the state to take certain values at these…
We consider the 1D viscous Burgers equation with a control localised in a finite interval. It is proved that, for any $\varepsilon>0$, one can find a time $T$ of order $\log\varepsilon^{-1}$ such that any initial state can be steered to the…
We consider a nonlinear discrete stochastic control system, and our goal is to design a feedback control policy in order to lead the system to a prespecified state. We adopt a stochastic approximation viewpoint of this problem. It is known…