Related papers: On the Problem of Minimum Asymptotic Exit Rate for…
This paper investigates the robustness of stochastic optimal control for controlled regime switching diffusions. We consider systems driven by both continuous fluctuations and discrete regime changes, allowing for model misspecification in…
We show that the stochastic Schrodinger equation for the filtered state of a system, with linear free dynamics, undergoing continual non-demolition measurement or either position or momentum, or both together, can be solved explicitly…
The current paper deals with limited-budget output consensus for descriptor multiagent systems with two types of switching communication topologies; that is, switching connected ones and jointly connected ones. Firstly, a singular dynamic…
A distributed average consensus algorithm in which every sensor transmits with bounded peak power is proposed. In the presence of communication noise, it is shown that the nodes reach consensus asymptotically to a finite random variable…
This paper investigates the exit-time problem for time-inhomogeneous diffusion processes. The focus is on the small-noise behavior of the exit time from a bounded positively invariant domain. We demonstrate that, when the drift and…
Devising optimal interventions for constraining stochastic systems is a challenging endeavour that has to confront the interplay between randomness and nonlinearity. Existing methods for identifying the necessary dynamical adjustments…
We develop an asymptotical control theory for one of the simplest distributed oscillating systems, namely, for a closed string under a bounded load applied to a single distinguished point. We find exact classes of string states that admit…
Over the recent past data-driven algorithms for solving stochastic optimal control problems in face of model uncertainty have become an increasingly active area of research. However, for singular controls and underlying diffusion dynamics…
We introduce the rigorous limit process connecting finite dimensional sparse optimal control problems with ODE constraints, modeling parsimonious interventions on the dynamics of a moving population divided into leaders and followers, to an…
The minimum-time control problem consists in finding a control policy that will drive a given dynamic system from a given initial state to a given target state (or a set of states) as quickly as possible. This is a well-known challenging…
We consider the problem of stabilization of a linear system, under state and control constraints, and subject to bounded disturbances and unknown parameters in the state matrix. First, using a simple least square solution and available…
We consider a finite dimensional deterministic dynamical system with a global attractor A with a unique ergodic measure P concentrated on it, which is uniformly parametrized by the mean of the trajectories in a bounded set D containing A.…
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…
We consider a dynamical system with finitely many equilibria and perturbed by small noise, in addition to being controlled by an `expensive' control. The controlled process is optimal for an ergodic criterion with a running cost that…
This paper investigates the near optimal control for a kind of linear stochastic control systems governed by the forward backward stochastic differential equations, where both the drift and diffusion terms are allowed to depend on controls…
We consider the first exit time of a nonnegative Harris-recurrent Markov process from the interval $[0,A]$ as $A\to\infty$. We provide an alternative method of proof of asymptotic exponentiality of the first exit time (suitably…
We study a stochastic control problem for nonlinear systems governed by stochastic differential equations with irregular drift. The drift coefficient is assumed to decompose as $b(t,x,a)=b_1(t,x)+b_2(x)b_3(t,a)$, where $b_1$ is bounded and…
This paper is concerned with the maximum principle and dynamic programming principle for mean-variance portfolio selection of jump diffusions and their relationship. First, the optimal portfolio and efficient frontier of the problem are…
This paper studies the dynamic programming principle using the measurable selection method for stochastic control of continuous processes. The novelty of this work is to incorporate intermediate expectation constraints on the canonical…
We consider the problem of nonlinear stochastic optimal control. This problem is thought to be fundamentally intractable owing to Bellman's "curse of dimensionality". We present a result that shows that repeatedly solving an open-loop…