Related papers: Brownian control problems for a multiclass M/M/1 q…
We study a class of deterministic mean field games and related optimal control problems, with a finite time horizon and in which the state space is a network. An agent controls her velocity, and, when she occupies a vertex, she can either…
We reveal an interesting convex duality relationship between two problems: (a) minimizing the probability of lifetime ruin when the rate of consumption is stochastic and when the individual can invest in a Black-Scholes financial market;…
In this paper, an open-loop two-person non-zero sum stochastic differential game is considered for forward-backward stochastic systems. More precisely, the controlled systems are described by a fully coupled nonlinear multi- dimensional…
We consider a stochastic control model driven by a fractional Brownian motion. This model is a formal approximation to a queueing network with an on-off input process. We study stochastic control problems associated with the long-run…
In this work, we study a class of stationary mean-field games of singular stochastic control under model uncertainty. The representative agent adjusts the dynamics of an It\^o diffusion via one-sided singular stochastic control, aiming to…
A thermal analogue of the classical brachistochrone problem, which minimizes the connection time between two equilibrium states of harmonically confined Brownian particles, has recently been solved theoretically. Here we report its…
A singular stochastic control problem with state constraints in two-dimensions is studied. We show that the value function is $C^1$ and its directional derivatives are the value functions of certain optimal stopping problems. Guided by the…
This paper is concerned with the controller-and-stopper stochastic differential game under a regime switching model in an infinite horizon. The state of the system consists of a number of diffusions \emph{coupled} by a continuous-time…
The Maker-Breaker domination game (MBD game) is a two-player game played on a graph $G$ by Dominator and Staller. They alternately select unplayed vertices of $G$. The goal of Dominator is to form a dominating set with the set of vertices…
Model Predictive Control (MPC) has shown to be a successful method for many applications that require control. Especially in the presence of prediction uncertainty, various types of MPC offer robust or efficient control system behavior. For…
We consider a stochastic differential equation that is controlled by means of an additive finite-variation process. A singular stochastic controller, who is a minimizer, determines this finite-variation process, while a discretionary…
A multiclass queueing system is considered, with heterogeneous service stations, each consisting of many servers with identical capabilities. An optimal control problem is formulated, where the control corresponds to scheduling and routing,…
Brownian dynamics is a popular fine-grained method for simulating systems of interacting particles, such as chemical reactions. Though the method is simple to simulate, it is generally assumed that the dynamics is impossible to solve…
We study an ergodic mean field game problem with state constraints. In our model the agents are affected by idiosyncratic noise and use a (singular) feedback control to prevent the Brownian motion from exiting the domain. We characterize…
We propose new copulae to model the dependence between two Brownian motions and to control the distribution of their difference. Our approach is based on the copula between the Brownian motion and its reflection. We show that the class of…
This paper presents bilateral control laws for one-dimensional(1-D) linear 2x2 hyperbolic first-order systems (with spatially varying coefficients). Bilateral control means there are two actuators at each end of the domain. This situation…
Dual control addresses the trade-off between exploitation and exploration, where control inputs both regulate the system and generate informative data for estimation and identification. For certain problem classes, control and estimation…
Denied boarding in congested transit systems induces queuing delays and departure-time shifts that can reshape passenger flows. Correctly modeling these responses in transit assignment hinges on the enforcement of two priority rules:…
An explicit solution is derived for the Bellman inequality corresponding to minimax optimal dual control. The minimizing player determines control action as a function of past state measurements and inputs. The maximizing player selects…
Dual-arm mobile manipulators can transport and manipulate large-size objects with simple end-effectors. To interact with dynamic environments with strict safety and compliance requirements, achieving whole-body motion planning online while…