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We apply the Stochastic Perron method, created by Bayraktar and S\^irbu, to a stochastic exit time control problem. Our main assumption is the validity of the Strong Comparison Result for the related Hamilton-Jacobi-Bellman (HJB) equation.…
We study time-inconsistent recursive stochastic control problems, i.e., for which the Bellman principle of optimality does not hold. For this class of problems classical optimal controls may fail to exist, or to be relevant in practice, and…
In match race sailing, competitors must steer their boats upwind in the presence of unpredictably evolving weather. Combined with the tacking motion necessary to make upwind progress, this makes it natural to model their path-planning as a…
We develop a martingale approach for studying continuous-time stochastic differential games of control and stopping, in a non-Markovian framework and with the control affecting only the drift term of the state-process. Under appropriate…
This article considers Hamiltonian mechanical systems with potential functions admitting jump discontinuities. The focus is on accurate and efficient numerical approximations of their solutions, which will be defined via the laws of…
Stochastic games combine controllable and adversarial non-determinism with stochastic behavior and are a common tool in control, verification and synthesis of reactive systems facing uncertainty. Multi-objective stochastic games are natural…
This work addresses the optimal covariance control problem for stochastic discrete-time linear time-varying systems subject to chance constraints. Covariance steering is a stochastic control problem to steer the system state Gaussian…
The stochastic $H_2/H_\infty$ control problem for continuous-time mean-field stochastic differential equations with Poisson jumps over finite horizon is investigated in this paper. Continuous and jump diffusion terms in the system depend…
We consider a stochastic game of control and stopping specified in terms of a process $X_t=-\theta \Lambda_t+W_t$, representing the holdings of Player 1, where $W$ is a Brownian motion, $\theta$ is a Bernoulli random variable indicating…
In this paper we investigate a kind of optimal control problem of coupled forward-backward stochastic system with jumps whose cost functional is defined through a coupled forward-backward stochastic differential equation with Brownian…
In this paper, we study a stochastic linear-quadratic control problem with random coefficients and regime switching on a horizon $[0,T\wedge\tau]$, where $\tau$ is a given random jump time for the underlying state process and $T$ is a…
The aim of this paper is to provide a rigorous mathematical analysis of an optimal control problem with SIR dynamics. The main feature of our study is the presence of state constraints (related to intensive care units ICU capacity) and…
In this paper, we examine the fundamental performance limitations in the control of stochastic dynamical systems; more specifically, we derive generic $\mathcal{L}_p$ bounds that hold for any causal (stabilizing) controllers and any…
We formulate a new class of two-person zero-sum differential games, in a stochastic setting, where a specification on a target terminal state distribution is imposed on the players. We address such added specification by introducing…
We establish existence of nearly-optimal controls, conditions for existence of an optimal control and a saddle-point for respectively a control problem and zero-sum differential game associated with payoff functionals of mean-field type,…
We consider a finite-horizon, zero-sum game in which both players control a stochastic differential equation by invoking impulses. We derive a control randomization formulation of the game and use the existence of a value for the randomized…
We establish a probabilistic framework for analysing extended mean-field games with multi-dimensional singular controls and state-dependent jump dynamics and costs. Two key challenges arise when analysing such games: the state dynamics may…
The paper addresses an optimal control problem for a perturbed sweeping process of the rate-independent hysteresis type described by a controlled "play and stop" operator with separately controlled perturbations. This problem can be reduced…
We discuss a class of explicitly solvable mean field type control problems/mean field games with a clear economic interpretation. More precisely, we consider long term average impulse control problems with underlying general one-dimensional…
Stochastic thermodynamics is the field of study relating fluctuations in stochastic systems to thermodynamic quantities. The total entropy production (EP), is central to the thermodynamic classification of systems. Non-equilibrium systems…