Related papers: A quickest detection problem with an observation c…
We address the problem of monitoring a set of binary stochastic processes and generating an alert when the number of anomalies among them exceeds a threshold. For this, the decision-maker selects and probes a subset of the processes to…
A new model for controlled sensing for multihypothesis testing is proposed and studied in the sequential setting. This new model, termed {\em controlled Markovian observation} model, exhibits a more complicated memory structure in the…
Fractional stochastic volatility models have been widely used to capture the non-Markovian structure revealed from financial time series of realized volatility. On the other hand, empirical studies have identified scales in stock price…
In this paper, we investigate an optimal control problem governed by parabolic equations with measure-valued controls over time. We establish the well-posedness of the optimal control problem and derive the first-order optimality condition…
This paper formulates and solves a sequential detection problem that involves the mutual information (stochastic observability) of a Gaussian process observed in noise with missing measurements. The main result is that the optimal decision…
We consider the scheduling control problem for a family of unitary networks under heavy traffic, with general interarrival and service times, probabilistic routing and infinite horizon discounted linear holding cost. A natural…
Discrete time control systems whose dynamics and observations are described by stochastic equations are common in engineering, operations research, health care, and economics. For example, stochastic filtering problems are usually defined…
This paper is concerned with the partial information optimal control problem of mean-field type under partial observation, where the system is given by a controlled mean-field forward-backward stochastic differential equation with…
We develop a mathematical model for sailboat navigation that can play the same role that the Black and Scholes model plays in mathematical finance: it captures essential features of sailboat navigation, it can provide insights that might…
This paper considers the constrained sampling multi-stream quickest change detection problem, also known as the bandit quickest change detection problem. One stream contains a change-point that shifts its mean by an unknown amount. The goal…
We study a single risky financial asset model subject to price impact and transaction cost over an finite time horizon. An investor needs to execute a long position in the asset affecting the price of the asset and possibly incurring in…
Given an optimal control problem on a heterogeneous body with a periodical structure of particles depending on a small parameter e, we study the asymptotic behavior, as e converges to zero, of the optimal control functional and the optimal…
This thesis is concerned with the rejection of time-varying disturbances in linear model predictive control of discrete-time systems. In the literature, disturbances are widely rejected by using velocity models, disturbance model with…
In this paper we are interested in a new type of {\it mean-field}, non-Markovian stochastic control problems with partial observations. More precisely, we assume that the coefficients of the controlled dynamics depend not only on the paths…
In this paper, we consider the stochastic optimal control problems under G-expectation. Based on the theory of backward stochastic differential equations driven by G-Brownian motion, which was introduced in [10.11], we can investigate the…
This paper studies an optimal dividend problem with a drawdown constraint in a Brownian motion model, requiring the dividend payout rate to remain above a fixed proportion of its historical maximum. This leads to a path-dependent stochastic…
In this article, we present a general methodology for stochastic control problems driven by the Brownian motion filtration including non-Markovian and non-semimartingale state processes controlled by mutually singular measures. The main…
Change point detection plays a fundamental role in many real-world applications, where the goal is to analyze and monitor the behaviour of a data stream. In this paper, we study change detection in binary streams. To this end, we use a…
In this paper, we study the design and analysis of optimal detection scheme for sensors that are deployed to monitor the change in the environment and are powered by the energy harvested from the environment. In this type of applications,…
In this article we show a robustness theorem for controlled stochastic differential equations driven by approximations of Brownian motion. Often, Brownian motion is used as an idealized model of a diffusion where approximations such as…