Related papers: Risk-sensitive control of reflected diffusion proc…
We present stability conditions for deterministic time-varying nonlinear discrete-time systems whose inputs aim to minimize an infinite-horizon time-dependent cost. Global asymptotic and exponential stability properties for general…
A general result on the method of randomized stopping is proved. It is applied to optimal stopping of controlled diffusion processes with unbounded coefficients to reduce it to an optimal control problem without stopping. This is motivated…
We demonstrate that Optimal Control Theory (OCT) with a state-dependent constraint which depends on the state of the system at each instant can reproduce the famous counterintuitive mechanism of Stimulated Raman adiabatic passage (STIRAP).…
In this paper we introduce a novel approach to distributionally robust optimal control that supports online learning of the ambiguity set, while guaranteeing recursive feasibility. We introduce conic representable risk, which is useful to…
Recently, there has been a surge in interest in safe and robust techniques within reinforcement learning (RL). Current notions of risk in RL fail to capture the potential for systemic failures such as abrupt stoppages from system failures…
In N.V. Krylov, Approximating value functions for controlled degenerate diffusion processes by using piece-wise constant policies, Electron. J. Probab., 4(2), 1999, it is proved under standard assumptions that the value functions of…
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…
We consider a diffusion risk model where proportional reinsurance can be bought. In order to stabilise the surplus process, one tries to keep the drawdown, that is the difference of the surplus to its historical maximum, in an interval…
We investigate constrained optimal control problems for linear stochastic dynamical systems evolving in discrete time. We consider minimization of an expected value cost over a finite horizon. Hard constraints are introduced first, and then…
This article is concerned with stability and performance of controlled stochastic processes under receding horizon policies. We carry out a systematic study of methods to guarantee stability under receding horizon policies via appropriate…
The paper is a full version of the short presentation in \cite{amv17}. Ergodic control for one-dimensional controlled diffusion is tackled; both drift and diffusion coefficients may depend on a strategy which is assumed markovian. Ergodic…
In this paper, we study the optimal control problem for steering the state covariance of a discrete-time linear stochastic system over a finite time horizon. First, we establish the existence and uniqueness of the optimal control law for a…
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…
Scheduling control problems for a family of unitary networks under heavy traffic with general interarrival and service times, probabilistic routing and an infinite horizon discounted linear holding cost are studied. Diffusion control…
This paper is concerned with an optimal investment problem under correlated noises in the financial market, and the expected utility functional is hyperbolic absolute risk aversion (HARA) with the exponent $\gamma\neq0$. The problem can be…
We study the asymptotic relations between certain singular and constrained control problems for one-dimensional diffusions with both discounted and ergodic objectives. By constrained control problems we mean that controlling is allowed only…
We review recent progress in optimal control in stochastic thermodynamics. Theoretical advances provide in-depth insight into minimum-dissipation control with either full or limited (parametric) control, and spanning the limits from slow to…
We establish structural properties of optimal stopping problems under time-consistent dynamic (coherent) risk measures, focusing on value function monotonicity and the existence of control limit (threshold) optimal policies. While such…
In this paper we consider discrete and continuous time risk sensitive optimal stopping problem. Using suitable properties of the underlying Feller-Markov process we prove continuity of the optimal stopping value function and provide formula…
In this paper, we aim to explore optimal regional trajectory tracking control problems of the anomalous subdiffusion processes governed by time-fractional diffusion systems under the Neumann boundary conditions. Using eigenvalue theory of…