Related papers: Decomposability and time consistency of risk avers…
For a class of linear switched systems in continuous time a controllability condition implies that state feedbacks allow to achieve almost sure stabilization with arbitrary exponential decay rates. This is based on the Multiplicative…
Scalar dynamic risk measures for univariate positions in continuous time are commonly represented as backward stochastic differential equations. In the multivariate setting, dynamic risk measures have been defined and studied as families of…
We discuss two approaches to study the long-time behaviour and infinite-time behaviour of solutions for integrable hamiltonian systems under small stochastic perturbations. Then we compare these results with those for deterministic…
Measuring inconsistency is viewed as an important issue related to handling inconsistencies. Good measures are supposed to satisfy a set of rational properties. However, defining sound properties is sometimes problematic. In this paper, we…
Constraint tightening to non-conservatively guarantee recursive feasibility and stability in Stochastic Model Predictive Control is addressed. Stability and feasibility requirements are considered separately, highlighting the difference…
In this paper, we consider a risk-averse control problem for diffusion processes, in which there is a partition of the admissible control strategy into two decision-making groups (namely, the {\it leader} and {\it follower}) with different…
Many applications involve partial differential equations which admits nontrivial steady state solutions. The design of schemes which are able to describe correctly these equilibrium states may be challenging for numerical methods, in…
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…
Stochastic models such as Continuous-Time Markov Chains (CTMC) and Stochastic Hybrid Automata (SHA) are powerful formalisms to model and to reason about the dynamics of biological systems, due to their ability to capture the stochasticity…
In this paper, we are concerned with the reliability assessment of redundant multi-channel systems having multiple controllers with overlapping functionality -- where all controllers are required to respond optimally to the non-faulty…
We consider the problem of governing systemic risk in a banking system model. The banking system model consists in an initial value problem for a system of stochastic differential equations whose dependent variables are the log-monetary…
This is a companion paper of [Mixed equilibrium solution of time-inconsistent stochastic LQ problem, arXiv:1802.03032], where general theory has been established to characterize the open-loop equilibrium control, feedback equilibrium…
In this article we approach a class of stochastic reachability problems with state constraints from an optimal control perspective. Preceding approaches to solving these reachability problems are either confined to the deterministic setting…
We establish a correspondence between the fault-tolerance of local stabilizer codes experiencing measurement and physical errors and the mixed-state phases of decohered resource states in one higher dimension. Drawing from recent…
We consider an optimal investment and risk control problem for an insurer under the mean-variance (MV) criterion. By introducing a deterministic auxiliary process defined forward in time, we formulate an alternative time-consistent problem…
The financial crisis has dramatically demonstrated that the traditional approach to apply univariate monetary risk measures to single institutions does not capture sufficiently the perilous systemic risk that is generated by the…
In this paper, we propose a novel equilibrium solution notion for the time-inconsistent stochastic linear-quadratic optimal control problem. This notion is called the mixed equilibrium solution, which consists of two parts: a…
Optimization under uncertainty and risk is indispensable in many practical situations. Our paper addresses stability of optimization problems using composite risk functionals which are subjected to measure perturbations. Our main focus is…
We investigate how the concepts of optimal control of measurables of a system with a time dependent Hamiltonian may be mixed with the level set technique to keep the desired entity invariant. We derive sets of equations for this purpose and…
In this paper we consider stopping problems for continuous-time Markov chains under a general risk-sensitive optimization criterion for problems with finite and infinite time horizon. More precisely our aim is to maximize the certainty…