Related papers: Risk-sensitive control of reflected diffusion proc…

The focus of this article is studying an optimal control problem for branching diffusion processes. Initially, we introduce the problem in its strong formulation and expand it to include linearly growing drifts. Then, we present a relaxed…

In this article we consider risk-sensitive control of semi-Markov processes with a discrete state space. We consider general utility functions and discounted cost in the optimization criteria. We consider random finite horizon and infinite…

In this paper, we consider the problem of controlling a diffusion process pertaining to an opioid epidemic dynamical model with random perturbation so as to prevent it from leaving a given bounded open domain. Here, we assume that the…

We present a method for optimal control with respect to a linear cost function for positive linear systems with coupled input constraints. We show that the optimal cost function and resulting sparse state feedback for these systems can be…

We consider a family of controlled reaction-diffusion equations, describing the spatial spreading of an invasive biological species. For a given propagation speed $c\in{I\!\!R}$, we seek a control with minimum cost, which achieves a…

In this paper, we consider the problem of minimizing the exit rate with which a diffusion process pertaining to a chain of distributed control systems, with random perturbations, exits from a given bounded open domain. In particular, we…

We consider an inventory system whose state is modeled by a L\'{e}vy process. There are two types of costs--the running costs and the inventory control costs. The running costs (also known as the holding/penalty costs) are incurred…

Controlled one-dimensional diffusion processes, with infinitesimal variance (instead of the infinitesimal mean) depending on the control variable, are considered in an interval located on the positive half-line. The process is controlled…

Motivated by applications in queueing theory, we consider a stochastic control problem whose state space is the $d$-dimensional positive orthant. The controlled process $Z$ evolves as a reflected Brownian motion whose covariance matrix is…

We study the controllability of a coupled system of linear parabolic equations, with non-negativity constraint on the state. We establish two results of controllability to trajectories in large time: one for diagonal diffusion matrices with…

In this paper, we consider risk-sensitive discounted control problem for continuous-time jump Markov processes taking values in general state space. The transition rates of underlying continuous-time jump Markov processes and the cost rates…

In this article we analyze the optimal control strategy for rotating a monitored qubit from an initial pure state to an orthogonal state in minimum time. This strategy is described for two different cost functions of interest which do not…

In this paper we consider a constrained parabolic optimal control problem. The cost functional is quadratic and it combines the distance of the trajectory of the system from the desired evolution profile together with the cost of a control.…

Consider a set of discounted optimal stopping problems for a one-parameter family of objective functions and a fixed diffusion process, started at a fixed point. A standard problem in stochastic control/optimal stopping is to solve for the…

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…

Diffusion models have demonstrated significant promise in various generative tasks; however, they often struggle to satisfy challenging constraints. Our approach addresses this limitation by rethinking training-free loss-guided diffusion…

In this paper we present a stochastic scenario-based model predictive control (MPC) approach for the operation of islanded microgrids with high share of renewable energy sources. We require that the stored energy remains within given bounds…

This paper establishes a verification theorem for impulse control problems involving conditional McKean-Vlasov jump diffusions. We obtain a Markovian system by combining the state equation of the problem with the stochastic Fokker-Planck…

This paper focuses on finding approximate solutions to stochastic optimal control problems with control domains being not necessarily convex, where the state trajectory is subject to controlled stochastic differential equations. The…

We revisit an absolutely-continuous version of the stochastic control problem driven by a L\'evy process. A strategy must be absolutely continuous with respect to the Lebesgue measure and the running cost function is assumed to be convex.…