Related papers: Diffusion Approximations for Controlled Weakly Int…
We develop an analytical diffusion-equation-type approximation scheme for the one-dimensional coagulation reaction A+A->A with partial reaction probability on particle encounters which are otherwise hard-core. The new approximation…
Despite its popularity in the reinforcement learning community, a provably convergent policy gradient method for continuous space-time control problems with nonlinear state dynamics has been elusive. This paper proposes proximal gradient…
Focusing on stochastic systems arising in mean-field models, the systems under consideration belong to the class of switching diffusions, in which continuous dynamics and discrete events coexist and interact. The discrete events are modeled…
We study multiclass many-server queues for which the arrival, service and abandonment rates are all modulated by a common finite-state Markov process. We assume that the system operates in the "averaged" Halfin-Whitt regime, which means…
Stochastic optimal control problems have a long tradition in applied probability, with the questions addressed being of high relevance in a multitude of fields. Even though theoretical solutions are well understood in many scenarios, their…
We present existence and discrete-time approximation results on optimal control policies for continuous-time stochastic control problems under a variety of information structures. These include fully observed models, partially observed…
This article gives an overview of the developments in controlled diffusion processes, emphasizing key results regarding existence of optimal controls and their characterization via dynamic programming for a variety of cost criteria and…
This paper is concerned with the partial information optimal control problem of wa controlled forward-backward stochastic differential equation of jump diffusion with correlated noises between the system and the observation. For this type…
This paper investigates the robustness of stochastic optimal control for controlled regime switching diffusions. We consider systems driven by both continuous fluctuations and discrete regime changes, allowing for model misspecification in…
Controlling large particle systems in collective dynamics by a few agents is a subject of high practical importance, e.g., in evacuation dynamics. In this paper we study an instantaneous control approach to steer an interacting particle…
In this paper we establish a diffusion limit for a multivariate continuous time Markov chain whose components are indexed by vertices of a finite graph. The components take values in a common finite set of non-negative integers and evolve…
This paper considers an $n$-particle jump-diffusion system with mean filed interaction, where the coefficients are locally Lipschitz continuous. We address the convergence as $n\to\infty$ of the empirical measure of the jump-diffusions to…
In this paper, we consider the stochastic optimal control problem for the interacting particle system. We obtain the stochastic maximum principle of the optimal control system by introducing a generalized backward stochastic differential…
This paper considers the problem of robust $H_{\infty}$ control using decentralized state feedback controllers for a class of large-scale systems with Markov jump parameters. A sufficient condition is developed to design controllers using…
In this paper, we study unique, globally defined uniformly bounded weak solutions for a class of semilinear reaction-diffusion-advection systems. The coefficients of the differential operators and the initial data are only required to be…
We study a general class of interacting particle systems over a countable state space $V$ where on each site $x \in V$ the particle mass $\eta(x) \geq 0$ follows a stochastic differential equation. We construct the corresponding Markovian…
We investigate the behavior of systems of interacting diffusion processes, known as volatility-stabilized market models in the mathematical finance literature, when the number of diffusions tends to infinity. We show that, after an…
We consider a mean-field control problem in which admissible controls are required to be adapted to the common noise filtration. The main objective is to show how the mean-field control problem can be approximates by time consistent…
In this paper, we consider the stochastic optimal control problem for jump diffusion systems with state constraints. In general, the value function of such problems is a discontinuous viscosity solution of the Hamilton-Jacobi-Bellman (HJB)…
The mean-field control problem for a multi-dimensional diffusion-aggregation system with Coulomb interaction (the so called parabolic elliptic Keller-Segel system) is considered. The existence of optimal control is proved through the…