Related papers: Ergodic control of diffusions with random interven…
We study stochastic optimal control problems for (possibly degenerate) McKean-Vlasov controlled diffusions and obtain discrete-time as well as finite interacting particle approximations. (i) Under mild assumptions, we first prove the…
We propose a general framework for studying optimal impulse control problem in the presence of uncertainty on the parameters. Given a prior on the distribution of the unknown parameters, we explain how it should evolve according to the…
This work develops asymptotic properties of a class of switching jump diffusion processes. The processes under consideration may be viewed as a number of jump diffusion processes modulated by a random switching mechanism. The underlying…
The first-passage time is a key concept in stochastic modeling, representing the time at which a process first reaches a specified threshold. In this work, we consider a jump-diffusion (JD) model with a time-dependent threshold, providing a…
In this work we study the asymptotic behavior of the solutions of a class of abstract parabolic time optimal control problems when the generators converge, in an appropriate sense, to a given strictly negative operator. Our main application…
This paper explores continuous-time and state-space optimal stopping problems from a reinforcement learning perspective. We begin by formulating the stopping problem using randomized stopping times, where the decision maker's control is…
Simulating the conditioned dynamics of diffusion processes, given their initial and terminal states, is an important but challenging problem in the sciences. The difficulty is particularly pronounced for rare events, for which the…
We study a simple stochastic differential equation that models the dispersion of close heavy particles moving in a turbulent flow. In one and two dimensions, the model is closely related to the one-dimensional stationary Schroedinger…
This paper concerns the optimal control of a free surface flow with moving contact line, inspired by an application in ink-jet printing. Surface tension, contact angle and wall friction are taken into account by means of the generalized…
We consider a class of impulse control problems for general underlying strong Markov processes on the real line, which allows for an explicit solution. The optimal impulse times are shown to be of threshold type and the optimal threshold is…
In this paper, we consider a multidimensional ergodic diffusion with jumps driven by a Brownian motion and a Poisson random measure associated with a pure-jump L\'evy process with finite L\'evy measure, whose drift coefficient depends on an…
This article contributes to a framework for a computational indirect method based on the Pontryagin maximum principle to efficiently solve a class of state constrained time-optimal control problems in the presence of a time-dependent flow…
Distributionally robust control is a well-studied framework for optimal decision making under uncertainty, with the objective of minimizing an expected cost function over control actions, assuming the most adverse probability distribution…
In this paper we study the controllability of an artificial advection-diffusion system through the boundary. Suitable Carleman estimates give us the observability on the adjoint system in the one dimensional case. We also study some basic…
We describe a variational approach to solving optimal stopping problems for diffusion processes, as an alternative to the traditional approach based on the solution of the free-boundary problem. We study smooth pasting conditions from a…
We consider a large family of discrete and continuous time controlled Markov processes and study an ergodic risk-sensitive minimization problem. Under a blanket stability assumption, we provide a complete analysis to this problem. In…
We study a general class of PageRank optimization problems which consist in finding an optimal outlink strategy for a web site subject to design constraints. We consider both a continuous problem, in which one can choose the intensity of a…
This paper presents a whole-body robot control method for exploring and probing a given region of interest. The ergodic control formalism behind such an exploration behavior consists of matching the time-averaged statistics of a robot…
This paper analyzes a discretization of a stochastic parabolic optimal control problem, where the diffusion term contains the control variable. With rough data, the convergence of the discretization is derived. In addition, a Monte-Carlo…
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…