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A stochastic procedure is developed which allows one to express Pontryagin's maximum principle for dissipative quantum system solely in terms of stochastic wave functions. Time-optimal controls can be efficiently computed without computing…
Here we develop an effective approach to simplify two-time-scale Markov chains with infinite state spaces by removal of states with fast leaving rates, which improves the simplification method of finite Markov chains. We introduce the…
Speed limit for classical stochastic Markov processes with discrete states is studied. We find that a trade-off inequality exists between the speed of the state transformation and the entropy production. The dynamical activity determines…
We develop from first principles Markovian master equations suited for studying the time evolution of a system evolving adiabatically while coupled weakly to a thermal bath. We derive two sets of equations in the adiabatic limit, one using…
In this paper, we study an optimal stopping problem in the presence of model uncertainty and regime switching. The max-min formulation for robust control and the dynamic programming approach are adopted to establish a general theoretical…
This paper first describes a class of uncertain stochastic control systems with Markovian switching, and derives an It\^o-Liu formula for Markov-modulated processes. And we characterize an optimal control law, which satisfies the…
We describe the solution of an optimal stopping problem for a stable L\'evy process killed at state-dependent rate, which can be seen as a model for bankruptcy. The killing rate is chosen in such a way that the killed process remains…
We study an optimal stopping problem under non-exponential discounting, where the state process is a multi-dimensional continuous strong Markov process. The discount function is taken to be log sub-additive, capturing decreasing impatience…
It is shown that the exact dynamics of a composite quantum system can be represented through a pair of product states which evolve according to a Markovian random jump process. This representation is used to design a general Monte Carlo…
Recently, the quantum brachistochrone problem is discussed in the literature by using non-Hermitian Hamilton operators of different type. Here, it is demonstrated that the passage time is tunable in realistic open quantum systems due to the…
We consider the problem of optimal multi-modes switching in finite horizon, when the state of the system, including the switching cost functions are arbitrary ($g_{ij}(t,x)\geq 0$). We show existence of the optimal strategy, and give when…
Large deviation results are given for a class of perturbed nonhomogeneous Markov chains on finite state space which formally includes some stochastic optimization algorithms. Specifically, let {P_n} be a sequence of transition matrices on a…
We obtain a maximum principle for stochastic control problem of general controlled stochastic differential systems driven by fractional Brownian motions (of Hurst parameter $H>1/2$). This maximum principle specifies a system of equations…
We consider a class of stochastic dynamical systems, called piecewise deterministic Markov processes, with states $(x, \s)\in \O\times \G$, $\O$ being a region in $\bbR^d$ or the $d$--dimensional torus, $\G$ being a finite set. The…
As a main step in the numerical solution of control problems in continuous time, the controlled process is approximated by sequences of controlled Markov chains, thus discretising time and space. A new feature in this context is to allow…
Continuous-time Markov chains are mathematical models that are used to describe the state-evolution of dynamical systems under stochastic uncertainty, and have found widespread applications in various fields. In order to make these models…
The minimal work principle states that work done on a thermally isolated equilibrium system is minimal for adiabatically slow (reversible) realization of a given process. This principle, one of the formulations of the second law, is studied…
In this paper we consider a control problem for a Partially Observable Piecewise Deterministic Markov Process of the following type: After the jump of the process the controller receives a noisy signal about the state and the aim is to…
This paper presents a new condition for the existence of optimal stationary policies in average-cost continuous-time Markov decision processes with unbounded cost and transition rates, arising from controlled queueing systems. This…
In this paper, we establish a general stochastic maximum principle for optimal control for systems described by a continuous-time Markov regime-switching stochastic recursive utilities model. The control domain is postulated not to be…