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In this paper we study the stochastic control problem of partially observed (multi-dimensional) stochastic system driven by both Brownian motions and fractional Brownian motions. In the absence of the powerful tool of Girsanov…
This paper is concerned with a linear-quadratic (LQ) leader-follower differential game with mixed deterministic and stochastic controls. In the game, the follower is a random controller which means that the follower can choose adapted…
We consider optimal control of a stochastic network,where service is controlled to prevent buffer overflow. We use a risk-sensitive escape time criterion, which in comparison to the ordinary escape time criteria heavily penalizes exits…
This paper studies an optimal dividend problem with a drawdown constraint in a Brownian motion model, requiring the dividend payout rate to remain above a fixed proportion of its historical maximum. This leads to a path-dependent stochastic…
The main purpose of this paper is to discuss detailed the stochastic LQ control problem with random coefficients where the linear system is a multidimensional stochastic differential equation driven by a multidimensional Brownian motion and…
Independent learners are agents that employ single-agent algorithms in multi-agent systems, intentionally ignoring the effect of other strategic agents. This paper studies mean-field games from a decentralized learning perspective, with two…
In real-world social and economic systems, the provisioning of public goods generally entails continuous interactions among individuals, with decisions to cooperate or defect being influenced by dynamic factors such as timing, resource…
We discuss the two-dimensional motion of a Brownian particle that is confined to a harmonic trap and driven by a shear flow. The surrounding medium induces memory effects modelled by a linear, typically nonreciprocal coupling of the…
We consider a critically-loaded multiclass queueing control problem with model uncertainty. The model consists of $I$ types of customers and a single server. At any time instant, a decision-maker (DM) allocates the server's effort to the…
We study a finite-dimensional continuous-time optimal control problem on finite horizon for a controlled diffusion driven by Brownian motion, in the linear-quadratic case. We admit stochastic coefficients, possibly depending on an…
We consider decentralized restless multi-armed bandit problems with unknown dynamics and multiple players. The reward state of each arm transits according to an unknown Markovian rule when it is played and evolves according to an arbitrary…
This paper studies a diffusion model that arises as the limit of a queueing system scheduling problem in the asymptotic heavy traffic regime of Halfin and Whitt. The queueing system consists of several customer classes and many servers…
In this paper, we discuss the relationships between capacity of control in entropy theory and intrinsic properties in control theory for a class of finite dimensional stochastic dynamical systems described by a linear stochastic…
We address a general optimal switching problem over finite horizon for a stochastic system described by a differential equation driven by Brownian motion. The main novelty is the fact that we allow for infinitely many modes (or regimes,…
The mathematical modeling of numerous real-world applications results in hierarchical optimization problems with two decision makers where at least one of them has to solve an optimal control problem of ordinary or partial differential…
Biomolecular condensates play a central role in the spatial organization of living matter. Their formation is now well understood as a form of liquid-liquid phase separation that occurs very far from equilibrium. For instance, they can be…
This article is concerned with stochastic control problems for backward doubly stochastic differential equations of mean-field type, where the coefficient functions depend on the joint distribution of the state process and the control…
In this paper we consider stochastic optimization problems for an ambiguity averse decision maker who is uncertain about the parameters of the underlying process. In a first part we consider problems of optimal stopping under drift…
We consider a singular control model of cash reserve management, driven by a diffusion under ambiguity. The manager is assumed to have maxmin preferences over a set of priors characterized by $\kappa$-ignorance. A verification theorem is…
We study an optimal control problem in which both the objective function and the dynamic constraint contain an uncertain parameter. Since the distribution of this uncertain parameter is not exactly known, the objective function is taken as…