Related papers: Optimal control of diffusion processes pertaining …
We study the ergodic control problem for a class of controlled jump diffusions driven by a compound Poisson process. This extends the results of [SIAM J. Control Optim. 57 (2019), no. 2, 1516-1540] to running costs that are not…
A solution to the optimal problem for determining vector fields which maximize (resp. minimize) the transition probabilities from one location to another for a class of reflecting diffusion processes is obtained in the present paper. The…
We present and compare two different optimal control approaches applied to SEIR models in epidemiology, which allow us to obtain some policies for controlling the spread of an epidemic. The first approach uses Dynamic Programming to…
In this paper, we explore the solvability and the optimal control problem for a compartmental model based on reaction-diffusion partial differential equations describing a transmissible disease. The nonlinear model takes into account the…
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…
We consider the infinite horizon risk-sensitive problem for nondegenerate diffusions with a compact action space, and controlled through the drift. We only impose a structural assumption on the running cost function, namely…
We investigate the long time behavior of weakly dissipative semilinear Hamilton-Jacobi-Bellman (HJB) equations and the turnpike property for the corresponding stochastic control problems. To this aim, we develop a probabilistic approach…
We investigate an optimal control problem for a diffusion whose drift and running cost are merely measurable in the state variable. Such low regularity rules out the use of Pontryagin's maximum principle and also invalidates the standard…
We develop a general theoretical framework for optimal probability density control on standard measure spaces, aimed at addressing large-scale multi-agent control problems. In particular, we establish a maximum principle (MP) for control…
The ergodic control problem for a non-degenerate controlled diffusion controlled through its drift is considered under a uniform stability condition that ensures the well-posedness of the associated Hamilton-Jacobi-Bellman (HJB) equation. A…
This paper is concerned with cost optimization of an insurance company. The surplus of the insurance company is modeled by a controlled regime switching diffusion, where the regime switching mechanism provides the fluctuations of the random…
We consider an optimal control problem of diffusion equation with missing data governed by the fractional Laplacian with homogeneous Dirichlet boundary conditions on an arbitrary interaction domain disjoint from the domain of the state…
We consider a class of exit time stochastic control problems for diffusion processes with discounted criterion, where the controller can utilize a given amount of resource, called "fuel". In contrast to the vast majority of existing…
This paper proposes a new framework to model control systems in which a dynamic friction occurs. The model consists in a controlled differential inclusion with a discontinuous right hand side, which still preserves existence and uniqueness…
This paper is concerned with the well-posedness and optimal control problem of a reaction-diffusion system for an epidemic Susceptible-Infected-Recovered-Susceptible (SIRS) mathematical model in which the dynamics develops in a spatially…
This article studies a portfolio optimization problem, where the market consisting of several stocks is modeled by a multi-dimensional jump-diffusion process with age-dependent semi-Markov modulated coefficients. We study risk sensitive…
This contribution mainly focuses on the finite horizon optimal control problems of a susceptible-infected-vaccinated(SIV) epidemic system governed by reaction-diffusion equations and Markov switching. Stochastic dynamic programming is…
This work reformulates language generation as a stochastic optimal control problem, providing a unified theoretical perspective to analyze autoregressive and diffusion models and explain their limitations (Efficiency-Fidelity Paradox,…
We consider stochastic control with discretionary stopping for the drift of a diffusion process over an infinite time horizon. The objective is to choose a control process and a stopping time to minimize the expectation of a convex terminal…
We consider a classical stochastic control problem in which a diffusion process is controlled by a withdrawal process up to a termination time. The objective is to maximize the expected discounted value of the withdrawals until the…