Related papers: Process-Based Risk Measures and Risk-Averse Contro…

Monitoring means to observe a system for any changes which may occur over time, using a monitor or measuring device of some sort. In this paper we formulate a problem of monitoring dates of maximal risk of a financial position. Thus, the…

Continuous-time Markov decision processes are an important class of models in a wide range of applications, ranging from cyber-physical systems to synthetic biology. A central problem is how to devise a policy to control the system in order…

We present a framework to interpret signal temporal logic (STL) formulas over discrete-time stochastic processes in terms of the induced risk. Each realization of a stochastic process either satisfies or violates an STL formula. In fact, we…

The risk of extreme environmental events is of great importance for both the authorities and the insurance industry. This paper concerns risk measures in a spatial setting, in order to introduce the spatial features of damages stemming from…

In this brief note, we investigate some constructions of Lyapunov functions for stochastic discrete-time stabilizable dynamical systems, in other words, controlled Markov chains. The main question here is whether a Lyapunov function in some…

We develop a novel stochastic valuation and premium calculation principle based on probability measure distortions that are induced by quantile processes in continuous time. Necessary and sufficient conditions are derived under which the…

Causal reversibility blends reversibility and causality for concurrent systems. It indicates that an action can be undone provided that all of its consequences have been undone already, thus making it possible to bring the system back to a…

This paper develops a safety analysis method for stochastic systems that is sensitive to the possibility and severity of rare harmful outcomes. We define risk-sensitive safe sets as sub-level sets of the solution to a non-standard optimal…

We consider the synthesis of control policies for probabilistic systems, modeled by Markov decision processes, operating in partially known environments with temporal logic specifications. The environment is modeled by a set of Markov…

We consider a control problem for a finite-state Markov system whose performance is evaluated by a coherent Markov risk measure. For each policy, the risk of a state is approximated by a function of its features, thus leading to a…

Stochastic optimization problems often involve the expectation in its objective. When risk is incorporated in the problem description as well, then risk measures have to be involved in addition to quantify the acceptable risk, often in the…

It is often the case that risk assessment and prognostics are viewed as related but separate tasks. This chapter describes a risk-based approach to prognostics that seeks to provide a tighter coupling between risk assessment and fault…

The deployment of autonomous systems that operate in unstructured environments necessitates algorithms to verify their safety. This can be challenging due to, e.g., black-box components in the control software, or undermodelled dynamics…

Energy-efficient real-time task scheduling has been actively explored in the past decade. Different from the past work, this paper considers schedulability conditions for stochastic real-time tasks. A schedulability condition is first…

In this work we provide explicit conditions on the existence of optimal feedback controls for stochastic processes with regime-switching. We use the compactification method which needs less regularity conditions on the coefficients of the…

In this paper, we propose a class of discrete-time approximation schemes for stochastic optimal control problems under the $G$-expectation framework. The proposed schemes are constructed recursively based on piecewise constant policy. We…

In this paper we propose the notion of continuous-time dynamic spectral risk-measure (DSR). Adopting a Poisson random measure setting, we define this class of dynamic coherent risk-measures in terms of certain backward stochastic…

We consider a change-point detection problem for a simple class of Piecewise Deterministic Markov Processes (PDMPs). A continuous-time PDMP is observed in discrete time and through noise, and the aim is to propose a numerical method to…

Several authors have recently developed risk-sensitive policy gradient methods that augment the standard expected cost minimization problem with a measure of variability in cost. These studies have focused on specific risk-measures, such as…

The purpose of the research presented in this article is to develop a dynamic system for forecasting and minimizing the risks of an industrial company based on their quantitative assessment. The article considers the conceptual apparatus of…