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We consider a class of stochastic processing networks. Assume that the networks satisfy a complete resource pooling condition. We prove that each maximum pressure policy asymptotically minimizes the workload process in a stochastic…
We consider a stochastic logistic growth model involving both birth and death rates in the drift and diffusion coefficients for which extinction eventually occurs almost surely. The associated complete Fokker-Planck equation describing the…
In this article, we present a general methodology for control problems driven by the Brownian motion filtration including non-Markovian and non-semimartingale state processes controlled by mutually singular measures. The main result of this…
Aim of this note is to analyse branching Brownian motion within the class of models introduced in the recent paper [4] and called chemical diffusion master equations. These models provide a description for the probabilistic evolution of…
Non-smooth dynamics driven by stochastic disturbance arise in a wide variety of engineering problems. Impulsive interventions are often employed to control stochastic systems; however, the modeling and analysis subject to execution delay…
We consider a stochastic impulse control problem that is motivated by applications such as the optimal exploitation of a natural resource. In particular, we consider a stochastic system whose uncontrolled state dynamics are modelled by a…
We consider infinite particle system on the positive half-line moving independently of each other. When a particle hits the boundary it immediately disappears, and the boundary moves to the right on some fixed quantity (particle size). We…
This paper analyzes the use of variable speed limits to optimize travel time reliability for commuters. The investigation focuses on a traffic corridor with a bottleneck subject to the capacity drop phenomenon. The optimization criterion is…
Recent studies have explored finite-time dissipation-minimizing protocols for stochastic thermodynamic systems driven arbitrarily far from equilibrium, when granted full external control to drive the system. However, in both simulation and…
We investigate the performance of a deterministic GREEDY algorithm for the problem of maximizing functions under a partition matroid constraint. We consider non-monotone submodular functions and monotone subadditive functions. Even though…
We consider the motion of a particle in a two-dimensional spatially homogeneous mixing potential and show that its momentum converges to the Brownian motion on a circle. This complements the limit theorem of Kesten and Papanicolaou…
For a stochastic factor model we maximize the long-term growth rate of robust expected power utility with parameter $\lambda\in(0,1)$. Using duality methods the problem is reformulated as an infinite time horizon, risk-sensitive control…
In this paper, we consider the portfolio optimization problem in a financial market where the underlying stochastic volatility model is driven by n-dimensional Brownian motions. At first, we derive a Hamilton-Jacobi-Bellman equation…
We consider an investor who is dynamically informed about the future evolution of one of the independent Brownian motions driving a stock's price fluctuations. With linear temporary price impact the resulting optimal investment problem with…
Stochastic processes play a key role for modeling a huge variety of transport problems out of equilibrium, with manifold applications throughout the natural and social sciences. To formulate models of stochastic dynamics the conventional…
The complete physical understanding of the optimization of the thermodynamic work still is an important open problem in stochastic thermodynamics. We address this issue using the Hamiltonian approach of linear response theory in finite time…
The aim of this study is to give insights into the trajectory optimization w.r.t. energy consumption and recuperation for stacker cranes in a high-bay warehouse. Based on an analytical necessary optimality condition, a targeted numerical…
We consider a generalization of the classical logistic growth model introducing more than one inflection point. The growth, called multi-sigmoidal, is firstly analyzed from a deterministic point of view in order to obtain the main…
We introduce a linear space of finitely additive measures to treat the problem of optimal expected utility from consumption under a stochastic clock and an unbounded random endowment process. In this way we establish existence and…
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…