Related papers: A Singular Stochastic Control Problem with Interco…
We consider the problem of stochastic optimal control, where the state-feedback control policies take the form of a probability distribution and where a penalty on the entropy is added. By viewing the cost function as a Kullback- Leibler…
We develop a theory to calculate the effective phase diffusion coefficient and the mean phase velocity in periodically driven stochastic models with two discrete states. This theory is applied to a dichotomically driven Markovian two state…
The stochastic optimal control of many agents is an important problem in various fields. We investigate the problem of partial observations, where the state of each agent is not fully observed and the control must be decided based on noisy…
This article provides a novel continuous-time state feedback control strategy to stabilize an eigenstate of the Hermitian measurement operator of a two-level quantum system. In open loop, such system converges stochastically to one of the…
We analyse a dynamic control problem for scalar reaction-diffusion equations, focusing on the emulation of pattern formation through the selection of appropriate active controls. While boundary controls alone prove inadequate for…
A finite element analysis of a Dirichlet boundary control problem governed by the linear parabolic equation is presented in this article. The Dirichlet control is considered in a closed and convex subset of the energy space $H^1(\Omega…
We study an optimal control problem for the stochastic wave equation driven by affine multiplicative noise, formulated as a stochastic linear-quadratic (SLQ) problem. By applying a stochastic Pontryagin's maximum principle, we characterize…
In this paper, we consider the stochastic optimal control problem for jump diffusion systems with state constraints. In general, the value function of such problems is a discontinuous viscosity solution of the Hamilton-Jacobi-Bellman (HJB)…
Motivated by applications in queueing theory, we consider a class of singular stochastic control problems whose state space is the d-dimensional positive orthant. The original problem is approximated by a drift control problem, to which we…
We propose a comprehensive framework for policy gradient methods tailored to continuous time reinforcement learning. This is based on the connection between stochastic control problems and randomised problems, enabling applications across…
We prove two duality descriptions of the value function for a generic stochastic optimal problem. These descriptions also hold when the diffusion is controlled, a case left open by the literature so far.
We are interested in stochastic control problems coming from mathematical finance and, in particular, related to model uncertainty, where the uncertainty affects both volatility and intensity. This kind of stochastic control problems is…
A Markovian model of the evolution of intermittent connections of various classes in a communication network is established and investigated. Any connection evolves in a way which depends only on its class and the state of the network, in…
In this work, we analyze the properties of the solution to the covariance steering problem for discrete time Gaussian linear systems with a squared Wasserstein distance terminal cost. In our previous work, we have shown that by utilizing…
We consider an optimal stochastic impulse control problem over an infinite time horizon motivated by a model of irreversible investment choices with fixed adjustment costs. By employing techniques of viscosity solutions and relying on…
In this paper we prove a necessary condition of the optimal control problem for a class of general mean-field forward-backward stochastic systems with jumps in the case where the diffusion coefficients depend on control, the control set…
This work establishes a general stochastic maximum principle for partially observed optimal control of semi-linear stochastic partial differential equations in a nonconvex control domain. The state evolves in a Hilbert space driven by a…
We design receding horizon control strategies for stochastic discrete-time linear systems with additive (possibly) unbounded disturbances, while obeying hard bounds on the control inputs. We pose the problem of selecting an appropriate…
This paper is devoted to the numerical analysis of a control constrained distributed optimal control problem subject to a time fractional diffusion equation with non-smooth initial data. The solutions of state and co-state are decomposed…
We consider the problem of rare event importance sampling, where the random variable of interest is a path functional of an It\^o diffusion computed up to the first exit from a $d$-dimensional bounded domain. Dupuis and Wang (\textit{Ann.…