Related papers: A pseudo-Markov property for controlled diffusion …
In this paper, we study two kinds of singular optimal controls (SOCs for short) problems where the systems governed by forward-backward stochastic differential equations (FBSDEs for short), in which the control has two components: the…
This paper considers the optimal control of time varying continuous time Markov chains whose transition rates are themselves Markov processes. In one set of problems the solution of an ordinary differential equation is shown to determine…
We study a class of mean-field control problems under partial observation. The controlled dynamics are of McKean-Vlasov type and are subject to regime switching driven by a hidden Markov chain. The observation process depends on the control…
We present a conception of the slow diffusion processes in the Euclidean spaces $\Bbb R^m, \; m\ge 1$, based on the theory of random flights with small constant speed that are driven by a homogeneous Poisson process of small rate. The slow…
In this work we provide a computationally tractable procedure for designing affine control policies, applied to constrained, discrete-time, partially observable, linear systems subject to set bounded disturbances, stochastic noise and…
We study optimal control problems for interacting branching diffusion processes, a class of measure-valued dynamics capturing both spatial motion and branching mechanisms. From the perspective of the dynamic programming principle, we…
There are some positively divisible non-Markovian processes whose transition matrices satisfy the Chapman-Kolmogorov equation. These processes should also satisfy the Kolmogorov consistency conditions, an essential requirement for a process…
An optimal control for a dynamical system optimizes a certain objective function. Here we consider the construction of an optimal control for a stochastic dynamical system with a random structure, Poisson perturbations and random jumps,…
Model predictive control strategies require to solve in an sequential manner, many, possibly non-convex, optimization problems. In this work, we propose an interacting stochastic agent system to solve those problems. The agents evolve in…
The purpose of this article is to lay the mathematical foundations of a well known numerical approach in computational statistical physics and molecular dynamics, namely the parallel replica dynamics introduced by A.F. Voter. The aim of the…
Complex systems may often be characterized by their hierarchical dynamics. In this paper do we present a method and an operational algorithm that automatically infer this property in a broad range of systems; discrete stochastic processes.…
We study the infinite-horizon average (ergodic) risk sensitive control problem for diffusion processes under a general structural hypothesis: there is a partition of state space into two subsets, where the controlled diffusion process…
The modeling and simulation of dynamical systems is a necessary step for many control approaches. Using classical, parameter-based techniques for modeling of modern systems, e.g., soft robotics or human-robot interaction, is often…
Stochastic maximum principle of nonlinear controlled forward-backward systems, where the set of strict (classical) controls need not be convex and the diffusion coefficient depends explicitly on the variable control, is an open problem…
We exhibit conditions under which the flow of marginal distributions of a discontinuous semimartingale $\xi$ can be matched by a Markov process, whose infinitesimal generator is expressed in terms of the local characteristics of $\xi$. Our…
An extension of non-deterministic processes driven by the random telegraph signal is introduced in the framework of "piecewise deterministic Markov processes" [Davis], including a broader category of random systems. The corresponding…
The controllability of passive microparticles that are advected with the fluid flow generated by an actively controlled one is studied. The particles are assumed to be suspended in a viscous fluid and well separated so that the far-field…
For a superprocess under a stochastic flow, we prove that it has a density with respect to the Lebesgue measure for d=1 and is singular for d>1. For d=1, a stochastic partial differential equation is derived for the density. The regularity…
In this short note we consider semi-Markov processes satisfying the condition of direction-time independence (Markov renewal processes). We derive large deviation principles and fluctuation theorems for the empirical current and the…
Stationary quantum information sources emit sequences of correlated qudits -- that is, structured quantum stochastic processes. If an observer performs identical measurements on a qudit sequence, the outcomes are a realization of a…