Related papers: A new approach to optimal stopping for Hunt proces…

We develop a direct Lyapunov method for the almost sure open-loop stabilizability and asymptotic stabilizability of controlled degenerate diffusion processes. The infinitesimal decrease condition for a Lyapunov function is a new form of…

We investigate the phase equilibrium problem for multicomponent mixtures under specified internal energy (U), volume (V), and mole numbers (N1,N2, . . . ,Nn), commonly known as the UVN-flash problem. While conventional phase equilibrium…

In this paper we consider a method of solving optimal stopping problems in discrete and continuous time based on their dual representation. A novel and generic simulation-based optimization algorithm not involving nested simulations is…

We study a problem when a solution to optimal stopping problem for one-dimensional diffusion will generate by threshold strategy. Namely, we give necessary and sufficient conditions under which an optimal stopping time can be specified as…

This paper deals with the optimal stopping problem under partial observation for piecewise-deterministic Markov processes. We first obtain a recursive formulation of the optimal filter process and derive the dynamic programming equation of…

We study an optimal stopping problem under non-exponential discounting, where the state process is a multi-dimensional continuous strong Markov process. The discount function is taken to be log sub-additive, capturing decreasing impatience…

We present a solution to an optimal stopping problem for a process with a wide-class of novel dynamics. The dynamics model the support/resistance line concept from financial technical analysis.

The main goal of this paper is to extend and apply the principle of maximum entropy (MaxEnt) to incomplete quantum process estimation tasks. We will define a so-called process entropy function being the von Neumann entropy of the state…

We introduce a new and efficient numerical method for multicriterion optimal control and single criterion optimal control under integral constraints. The approach is based on extending the state space to include information on a "budget"…

We characterize the value function and the optimal stopping time for a large class of optimal stopping problems where the underlying process to be stopped is a fairly general Markov process. The main result is inspired by recent findings…

We consider a one-dimensional diffusion which solves a stochastic differential equation with Borel-measurable coefficients in an open interval. We allow for the endpoints to be inaccessible or absorbing. Given a Borel-measurable function…

We consider a system of diffusion processes interacting through their empirical distribution. Assuming that the empirical average of a given observable can be observed at any time, we derive regularity and quantitative stability results for…

In this article a simplified weak Galerkin finite element method is developed for the Dirichlet boundary value problem of convection-diffusion-reaction equations. The simplified weak Galerkin method utilizes only the degrees of freedom on…

Recently two papers [K. Jacobs, Phys. Rev. A {\bf 67}, 030301(R) (2003); H. M. Wiseman and J. F. Ralph, New J. Physics {\bf 8}, 90 (2006)] have derived control strategies for rapid purification of qubits, optimized with respect to various…

We study a discounted singular stochastic control problem driven by a general L\'evy process, where the objective is to minimize a cost functional composed of a running cost and a control cost that depends on the current state of the…

In this manuscript, we study optimal control problems for stochastic delay differential equations using the dynamic programming approach in Hilbert spaces via viscosity solutions of the associated Hamilton-Jacobi-Bellman equations. We show…

Relativistic plasmas around compact objects can sometimes be approximated as being force-free. In this limit, the plasma inertia is negligible and the overall dynamics is governed by global electric currents. We present a novel numerical…

Here we propose a new method to study gravitational stability of the solutions to the Einstein equations. This method uses the canonical superenergy density and it is different from approaches already used (Lyapunov's stability, dynamical…

We first study an optimal stopping problem in which a player (an agent) uses a discrete stopping time in order to stop optimally a payoff process whose risk is evaluated by a (non-linear) $g$-expectation. We then consider a non-zero-sum…

We extend the Sakawa-Shindo algorithm to solve optimal control problems where the system dynamics involve an arbitrary number of discrete state delays. We prove that the algorithm guarantees termination in a finite number of steps,…