Related papers: On the minimum exit rate for a diffusion process p…
Motivated in part by a problem in simulated tempering (a form of Markov chain Monte Carlo) we seek to minimise, in a suitable sense, the time it takes a (regular) diffusion with instantaneous reflection at 0 and 1 to travel to $1$ and then…
In this paper we consider an energy storage optimization problem in finite time in a model with partial information that allows for a changing economic environment. The state process consists of the storage level controlled by the storage…
We study stochastic optimal control problems for (possibly degenerate) McKean-Vlasov controlled diffusions and obtain discrete-time as well as finite interacting particle approximations. (i) Under mild assumptions, we first prove the…
The spreading of entanglement in out-of-equilibrium quantum systems is currently at the centre of intense interdisciplinary research efforts involving communities with interests ranging from holography to quantum information. Here we…
This study solves the output regulation problem for a reaction-diffusion system confronting concurrent input delay and fully unidentified disturbances (encompassing both unknown frequencies and amplitudes) across all channels. The principal…
In the context of PDE-constrained optimization theory, source identification problems traditionally entail particles emerging from an unknown source distribution inside a domain, moving according to a prescribed stochastic process,…
This paper is about output-feedback control problems for general linear systems in the presence of given state-, control-, disturbance-, and measurement error constraints. Because the traditional separation theorem in stochastic control is…
We revise the encounter-based approach to imperfect diffusion-controlled reactions, which employs the statistics of encounters between a diffusing particle and the reactive region to implement surface reactions. We extend this approach to…
This paper investigates a diffusion process in a narrow tubular domain with reflecting boundary conditions, where the geometry serves as a singular perturbation of an underlying graph in $\mathbb{R}^2$ or $\mathbb{R}^3$. The construction…
We consider the singular optimal control problem of minimizing the energy supply of linear dissipative port-Hamiltonian descriptor systems subject to control and terminal state constraints. To this end, after reducing the problem to an ODE…
This paper is devoted to an optimal control problem of fully coupled forward-backward stochastic differential equations driven by sub-diffusion, whose solutions are not Markov processes. The stochastic maximum principle is obtained, where…
We study the optimal financing and dividend distribution problem with restricted dividend rates in a diffusion type surplus model where the drift and volatility coefficients are general functions of the level of surplus and the external…
This paper studies, in dimensions greater than two, stationary diffusion processes in random environment which are small, isotropic perturbations of Brownian motion satisfying a finite range dependence. Such processes were first considered…
In order to approximate the exit time of a one-dimensional diffusion process, we propose an algorithm based on a random walk. Such an algorithm was already introduced in both the Brownian context and in the Ornstein-Uhlenbeck context. Here…
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…
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…
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…
We study the optimal dividend problem for a firm's manager who has partial information on the profitability of the firm. The problem is formulated as one of singular stochastic control with partial information on the drift of the underlying…
The article discusses the gradient discretisation method (GDM) for distributed optimal control problems governed by diffusion equation with pure Neumann boundary condition. Using the GDM framework enables to develop an analysis that…
In this paper, we explore the solvability and the optimal control problem for a compartmental model based on reaction-diffusion partial differential equations describing a transmissible disease. The nonlinear model takes into account the…