Related papers: Impulse Control of a Diffusion with a Change Point
Consider the motion of a Brownian particle in two or more dimensions, whose coordinate processes are standard Brownian motions with zero drift initially, and then at some random/unobservable time, one of the coordinate processes gets a…
This article gives an overview of the developments in controlled diffusion processes, emphasizing key results regarding existence of optimal controls and their characterization via dynamic programming for a variety of cost criteria and…
Our Recent advancements in stochastic processes have illuminated a paradox associated with the Einstein model of Brownian motion. The model predicts an infinite propagation speed, conflicting with the second law of thermodynamics. The…
In this paper, we obtain the maximum principle for optimal controls of stochastic systems with jumps by introducing a new method of variation. The control is allowed to enter both diffusion and jump term and the control domain need not to…
The notion of concept drift refers to the phenomenon that the data generating distribution changes over time; as a consequence machine learning models may become inaccurate and need adjustment. In this paper we consider the problem of…
In this paper, we introduce a modification of the free boundary problem related to optimal stopping problems for diffusion processes. This modification allows the application of this PDE method in cases where the usual regularity…
We consider impulse control problems in finite horizon for diffusions with decision lag and execution delay. The new feature is that our general framework deals with the important case when several consecutive orders may be decided before…
In this paper, we study optimal stochastic control problems for stochastic systems driven by non-Markov sub-diffusion $B_{L_t}$, which have the mixed features of deterministic and stochastic controls. Here $B_t$ is the standard Brownian…
In this work, we present numerical analysis for a distributed optimal control problem, with box constraint on the control, governed by a subdiffusion equation which involves a fractional derivative of order $\alpha\in(0,1)$ in time. The…
We consider the problem of online learning in the presence of distribution shifts that occur at an unknown rate and of unknown intensity. We derive a new Bayesian online inference approach to simultaneously infer these distribution shifts…
Inference-time controllable generation is essential for real-world applications of unconditional diffusion models. However, most existing techniques focus on individual samples, struggling in applications that require the sample population…
We show that "full-bang" control is optimal in a problem that combines features of (i) sequential least-squares {\it estimation} with Bayesian updating, for a random quantity observed in a bath of white noise; (ii) bounded {\it control} of…
Einstein's explanation of Brownian motion provided one of the cornerstones which underlie the modern approaches to stochastic processes. His approach is based on a random walk picture and is valid for Markovian processes lacking long-term…
We study inference-time scaling for diffusion models, where the goal is to adapt a pre-trained model to new target distributions without retraining. Existing guidance-based methods are simple but introduce bias, while particle-based…
The movement of a particle described by Brownian motion is quantified by a single parameter, $D$, the diffusion constant. The estimation of $D$ from a discrete sequence of noisy observations is a fundamental problem in biological single…
Estimation of parameters of a diffusion based on discrete time observations poses a difficult problem due to the lack of a closed form expression for the likelihood. From a Bayesian computational perspective it can be casted as a missing…
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…
In this paper, we investigate the effects of applying generalised (non-exponential) discounting on a long-run impulse control problem for a Feller-Markov process. We show that the optimal value of the discounted problem is the same as the…
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…
In this paper, we consider the gradual-impulse control problem of continuous-time Markov decision processes, where the system performance is measured by the expectation of the exponential utility of the total cost. We prove, under very…