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This paper investigates a non-autonomous slow-fast system, which is generalized by stochastic differential equations (SDEs) with locally Lipschitz coefficients, subjected to standard Brownian motion (Bm) and fractional Brownian motion (fBm)…

Stochastic averaging for a class of backward stochastic differential equations driven by both standard and fractional Brownian motions (SFrBSDEs in short), is investigated. An averaged SFrBSDEs for the original SFrBSDEs is proposed, and…

The sporadic task model is often used to analyze recurrent execution of identical tasks in real-time systems. A sporadic task defines an infinite sequence of task instances, also called jobs, that arrive under the minimum inter-arrival time…

We investigated a cost-constrained static ergodic control problem of the variance of measure-valued affine processes and its application in streamflow management. The controlled system is a jump-driven mixed moving average process that…

In this paper, we first propose a method that can efficiently compute the maximal robust controlled invariant set for discrete-time linear systems with pure delay in input. The key to this method is to construct an auxiliary linear system…

This paper studies the optimal tracking control problem for continuous-time stochastic linear systems with multiplicative noise. The solution framework involves solving a stochastic algebraic Riccati equation for the feedback gain and a…

High energy efficiency and low latency have always been the significant goals pursued by the designer of wireless networks. One efficient way to achieve these goals is cross-layer scheduling based on the system states in different layers,…

Deep learning needs high-precision handling of forwarding signals, backpropagating errors, and updating weights. This is inherently required by the learning algorithm since the gradient descent learning rule relies on the chain product of…

We consider a linear stochastic differential equation with stochastic drift and multiplicative noise. We study the problem of approximating its solution with the process that solves the equation where the possibly stochastic drift is…

We introduce and analyze a family of heterogeneous multiscale methods for the numerical integration of highly oscillatory systems of delay differential equations with constant delays. The methodology suggested provides algorithms of…

The strategy of stochastic resetting is known to expedite the first passage to a target, in diffusive systems. Consequently, the mean first passage time is minimized at an optimal resetting parameter. With Poisson resetting, vanishing…

A stochastic leap-frog algorithm for the numerical integration of Brownian motion stochastic differential equations with multiplicative noise is proposed and tested. The algorithm has a second-order convergence of moments in a finite time…

This paper studies a scheduling control problem for a single-server multiclass queueing network in heavy traffic, operating in a changing environment. The changing environment is modeled as a finite state Markov process that modulates the…

We study a make-to-order system with a finite set of customers. Production is stochastic with a nonlinear dependence between the ordered quantity and the production rate. Customers may have to queue until their turn arrives, and therefore…

Express companies are deploying more robotic sorting systems, where mobile robots are used to sort incoming parcels by destination. In this study, we propose an integrated assignment and path-finding method for robots in such sorting…

Caching and multicasting at base stations are two promising approaches to support massive content delivery over wireless networks. However, existing scheduling designs do not make full use of the advantages of the two approaches. In this…

Mobility systems featuring shared vehicles are often unable to serve all potential customers, as the distribution of demand does not coincide with the positions of vehicles at any given time. System operators often choose to reposition…

We study stochastic optimal control of rough stochastic differential equations (RSDEs). This is in the spirit of the pathwise control problem (Lions--Souganidis 1998, Buckdahn--Ma 2007; also Davis--Burstein 1992), with renewed interest and…

Motivated by the interplay between structural and reduced form credit models, we propose to model the firm value process as a time-changed Brownian motion that may include jumps and stochastic volatility effects, and to study the first…

This paper addresses the question of how Brownian-like motion can arise from the solution of a deterministic differential delay equation. To study this we analytically study the bifurcation properties of an apparently simple differential…