Related papers: Diffusion Approximations for Controlled Weakly Int…
We study a diffusion approximation for a model of stochastic motion of a particle in one spatial dimension. The velocity of the particle is constant but the direction of the motion undergoes random changes with a Poisson clock. Moreover,…
This paper establishes limit theorems for a class of stochastic hybrid systems (continuous deterministic dynamic coupled with jump Markov processes) in the fluid limit (small jumps at high frequency), thus extending known results for jump…
We study reaction-diffusion particle systems with several interaction mechanisms. As the number of particles tends to infinity, the system admits a mean-field limit describing the bulk behaviour. We focus on determining the propagation…
In this paper, we study formal synthesis of control policies for partially observed jump-diffusion systems against complex logic specifications. Given a state estimator, we utilize a discretization-free approach for formal synthesis of…
Finite-state Markov models are widely used for modeling wireless channels affected by a variety of non-idealities, ranging from shadowing to interference. In an industrial environment, the derivation of a Markov model based on the wireless…
In the presence of quantum measurements with direct photon detection the evolution of open quantum systems is usually described by stochastic master equations with jumps. Heuristically, from these equations one can obtain diffusion models…
In this paper, we consider the gradual-impulse control problem of continuous-time Markov decision processes, where the system performance is measured by the expectation of the exponential utility of the total cost. We prove, under very…
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…
Consider a continuous time Markov chain with rates Q in the state space \Lambda\cup\{0\} with 0 as an absorbing state. In the associated Fleming-Viot process N particles evolve independently in \Lambda with rates Q until one of them…
We investigate nonequilibrium steady-state dynamics in both continuous- and discrete-state stochastic processes. Our analysis focuses on planar diffusion dynamics and their coarse-grained approximations by discrete-state Markov chains.…
Reflected diffusions naturally arise in many problems from applications ranging from economics and mathematical biology to queueing theory. In this paper we consider a class of infinite time-horizon singular stochastic control problems for…
We study the diffusive limit approximation for a nonlinear radiative heat transfer system that arises in the modeling of glass cooling, greenhouse effects and in astrophysics. The model is considered with the reflective radiative boundary…
Density dependent families of Markov chains, such as the stochastic models of mass-action chemical kinetics, converge for large values of the indexing parameter $N$ to deterministic systems of differential equations (Kurtz, 1970). Moreover…
We consider the optimal stopping problem consisting in, given a strong Markov process, a reward function and a discount rate, finding the stopping time such that the expected reward at the stopping time is maximum. The approach we follow,…
In this work, we investigate the optimal control problem for continuous-time Markov decision processes with the random impact of the environment. We provide conditions to show the existence of optimal controls under finite-horizon criteria.…
The empirical measure of an interacting particle system is a purely atomic random probability measure. In the limit as the number of particles grows to infinity, we show for McKean-Vlasov systems with common noise that this measure becomes…
In this paper, we study the dynamics of a linear control system with given state feedback control law in the presence of fast periodic sampling at temporal frequency $1/\delta$ ($0 < \delta \ll 1$), together with small white noise…
We study a nonlocal adhesion model for two interacting tumor cell phenotypes, combining diffusion, pairwise interactions, and random phenotypic switching. The system admits a microscopic diffusion--jump particle description whose mean-field…
We analyse a dynamic control problem for scalar reaction-diffusion equations, focusing on the emulation of pattern formation through the selection of appropriate active controls. While boundary controls alone prove inadequate for…
We study the limiting behavior of interacting particle systems indexed by large sparse graphs, which evolve either according to a discrete time Markov chain or a diffusion, in which particles interact directly only with their nearest…