Related papers: Some new results on sample path optimality in ergo…
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…
In this article, we study the ergodic risk-sensitive control problem for controlled regime-switching diffusions. Under a blanket stability hypothesis, we solve the associated nonlinear eigenvalue problem for weakly coupled systems and…
We study the ergodic control problem for a class of controlled jump diffusions driven by a compound Poisson process. This extends the results of [SIAM J. Control Optim. 57 (2019), no. 2, 1516-1540] to running costs that are not…
We study the ergodic control problem for a class of jump diffusions in $\mathbb{R}^d$, which are controlled through the drift with bounded controls. The Levy measure is finite, but has no particular structure; it can be anisotropic and…
We consider stochastic control with discretionary stopping for the drift of a diffusion process over an infinite time horizon. The objective is to choose a control process and a stopping time to minimize the expectation of a convex terminal…
This paper investigates the near optimal control for a kind of linear stochastic control systems governed by the forward backward stochastic differential equations, where both the drift and diffusion terms are allowed to depend on controls…
We consider a class of stochastic impulse control problems of general stochastic processes i.e. not necessarily Markovian. Under fairly general conditions we establish existence of an optimal impulse control. We also prove existence of…
This paper solves a Bayes sequential impulse control problem for a diffusion, whose drift has an unobservable parameter with a change point. The partially-observed problem is reformulated into one with full observations, via a change of…
We consider the problem to steer a linear dynamical system with full state observation from an initial gaussian distribution in state-space to a final one with minimum energy control. The system is stochastically driven through the control…
This paper is devoted to an optimal control problem of fully coupled forward-backward stochastic differential equations driven by sub-diffusion, whose solutions are not Markov processes. The stochastic maximum principle is obtained, where…
This paper deals with ergodic theorems for particular time-inhomogeneous Markov processes, whose the time-inhomogeneity is asymptotically periodic. Under a Lyapunov/minorization condition, it is shown that, for any measurable bounded…
In this paper, we consider stochastic optimal control of systems driven by stochastic differential equations with irregular drift coefficient. We establish a necessary and sufficient stochastic maximum principle. To achieve this, we first…
We derive general bounds on the probability that the empirical first-passage time $\overline{\tau}_n\equiv \sum_{i=1}^n\tau_i/n$ of a reversible ergodic Markov process inferred from a sample of $n$ independent realizations deviates from the…
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 consider optimal control problems for systems governed by mean-field stochastic differential equations, where the control enters both the drift and the diffusion coefficient. We study the relaxed model, in which admissible controls are…
We study a class of ergodic BSDEs related to PDEs with Neumann boundary conditions. The randomness of the drift is given by a forward process under weakly dissipative assumptions with an invertible and bounded diffusion matrix. Furthermore,…
We study an ergodic singular control problem with constraint of a regular one-dimensional linear diffusion. The constraint allows the agent to control the diffusion only at jump times of independent Poisson process. Under relatively weak…
We study ergodic properties of a class of Markov-modulated general birth-death processes under fast regime switching. The first set of results concerns the ergodic properties of the properly scaled joint Markov process with a parameter that…
In this work, we present numerical analysis for a distributed optimal control problem, with box constraint on the control, governed by a subdiffusion equation which involves a fractional derivative of order $\alpha\in(0,1)$ in time. The…
We derive consistency and asymptotic normality results for quasi-maximum likelihood methods for drift parameters of ergodic stochastic processes observed in discrete time in an underlying continuous-time setting. The special feature of our…