Related papers: On a maximal inequality and its application to SDE…
We study the stochastic optimization problem from a continuous-time perspective, with a focus on the Stochastic Gradient Descent with Momentum (SGDM) method. We show that the trajectory of SGDM, despite its \emph{stochastic} nature,…
Existing theory for multivariate extreme values focuses upon characterizations of the distributional tails when all components of a random vector, standardized to identical margins, grow at the same rate. In this paper, we consider the…
We establish new conditions for obtaining uniform bounds on the moments of discrete-time stochastic processes. Our results require a weak negative drift criterion along with a state-dependent restriction on the sizes of the one-step jumps…
In control theory, typically a nominal model is assumed based on which an optimal control is designed and then applied to an actual (true) system. This gives rise to the problem of performance loss due to the mismatch between the true model…
We study deterministic nonstationary discrete-time optimal control problems in both finite and infinite horizon. With the aid of Gateaux differentials, we prove a discrete-time maximum principle in analogy with the well-known…
We study an optimal control problem on infinite horizon for a controlled stochastic differential equation driven by Brownian motion, with a discounted reward functional. The equation may have memory or delay effects in the coefficients,…
We consider the problem of conditioning a Markov process on a rare event and of representing this conditioned process by a conditioning-free process, called the effective or driven process. The basic assumption is that the rare event used…
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 prove a maximum principle of optimal control of stochastic delay equations on infinite horizon. We establish first and second sufficient stochastic maximum principles as well as necessary conditions for that problem. We illustrate our…
In this paper we study a general optimal liquidation problem with a control-dependent stopping time which is the first time the stock holding becomes zero or a fixed terminal time, whichever comes first. We prove a stochastic maximum…
A dual control problem is presented for the optimal stochastic control of a system governed by partial differential equations. Relationships between the optimal values of the original and the dual problems are investigated and two duality…
In this paper, the optimal control for discrete-time systems driven by fractional noises is studied. A stochastic maximum principle is obtained by introducing a backward stochastic difference equation contains both fractional noises and the…
In this paper we investigate the optimal control problem for a class of stochastic Cauchy evolution problem with non standard boundary dynamic and control. The model is composed by an infinite dimensional dynamical system coupled with a…
In this article we study (possibly degenerate) stochastic differential equations (SDE) with irregular (or discontiuous) coefficients, and prove that under certain conditions on the coefficients, there exists a unique almost everywhere…
Gradient descent and stochastic gradient descent are central to modern machine learning, yet their behavior under large step sizes remains theoretically unclear. Recent work suggests that acceleration often arises near the edge of…
Doob fixed-time conditioning enables the sampling of rare trajectories of Markov processes by modifying the drift so that reaching a prescribed target at a given time is guaranteed. We study the statistics of this conditioned path ensemble…
As an alternative to the well-known methods of "chaining" and "bracketing" that have been developed in the study of random fields, a new method, which is based on a stochastic maximal inequality derived by using It\^o's formula and on a new…
The optimal control of a mechanical system is of crucial importance in many realms. Typical examples are the determination of a time-minimal path in vehicle dynamics, a minimal energy trajectory in space mission design, or optimal motion…
In this paper we consider multidimensional stochastic differential equations (SDEs) with discontinuous drift and possibly degenerate diffusion coefficient. We prove an existence and uniqueness result for this class of SDEs and we present a…
In this paper, we investigate stochastic differential equations(SDEs) driven by a class of supercritical $\alpha$-stable process(including the rotational symmetric $\alpha-$stable process) with drift $b$. The weak well-posedness is proved,…