Related papers: Semi-martingale driven variational principles
We construct planar semimartingales that include the Walsh Brownian motion as a special case, and derive Harrison-Shepp-type equations and a change-of-variable formula in the spirit of Freidlin-Sheu for these so-called "Walsh…
In this article, we focus on the global stabilizability problem for a class of second order uncertain stochastic control systems, where both the drift term and the diffusion term are nonlinear functions of the state variables and the…
We consider the stochastic optimal control problem for the dynamical system of the stochastic differential equation driven by a local martingale with a spatial parameter. Assuming the convexity of the control domain, we obtain the…
The purpose of these notes is to distribute, mostly without proofs, fundamental definitions and results concerning the theory of semimartingales and stochastic integration. The material serves as a foundational guide for those interested in…
Fluids can behave in a highly irregular, turbulent way. It has long been realised that, therefore, some weak notion of solution is required when studying the fundamental partial differential equations of fluid dynamics, such as the…
The martingale expansion provides a refined approximation to the marginal distributions of martingales beyond the normal approximation implied by the martingale central limit theorem. We develop a martingale expansion framework specifically…
This paper presents the geometric setting of quantum variational principles and extends it to comprise the interaction between classical and quantum degrees of freedom. Euler-Poincar\'e reduction theory is applied to the Schr\"odinger,…
Variational principles for magnetohydrodynamics were introduced by previous authors both in Lagrangian and Eulerian form. In this paper we introduce simpler Eulerian variational principles from which all the relevant equations of…
Exploring the intersection of deterministic and stochastic dynamics, this paper delves into Lagrangian discovery for conservative and non-conservative systems under stochastic excitation. Traditional Lagrangian frameworks, adept at…
In this paper we focus on a general type of mean-field stochastic control problem with partial observation, in which the coefficients depend in a non-linear way not only on the state process $X_t$ and its control $u_t$ but also on the…
We apply the method of controlled Lagrangians by potential shaping to Euler--Poincar\'e mechanical systems with broken symmetry. We assume that the configuration space is a general semidirect product Lie group $\mathsf{G} \ltimes V$ with a…
We introduce a new concept of dissipative measure-valued martingale solutions to the stochastic compressible Euler equations. These solutions are weak in the probabilistic sense i.e., the probability space and the driving Wiener process are…
In this paper we investigate classical solution of a semi-linear system of backward stochastic integral partial differential equations driven by a Brownian motion and a Poisson point process. By proving an It\^{o}-Wentzell formula for jump…
We establish an implicit variational principle for the equations of the contact flow generated by the Hamiltonian $H(x,u,p)$ with respect to the contact 1-form $\alpha=du-pdx$ under Tonelli and Osgood growth assumptions. It is the first…
Inspired by problems arising in the geometrical treatment of Yang-Mills theories and Palatini's gravity, the covariant formulation of Hamiltonian dynamical systems as a Hamiltonian field theory of dimension $1+0$ on a manifold with boundary…
Over the last 50 years a steady stream of accounts have been written on the separation principle of stochastic control. Even in the context of the linear-quadratic regulator in continuous time with Gaussian white noise, subtle difficulties…
For any real-valued stochastic process $X$ with c\'rdl\'rg paths we define non-empty family of processes which have locally finite total variation, have jumps of the same order as the process $X$ and uniformly approximate its paths on…
We provide a general It\=o\,-Wentzell formula for a random field of maps on the Wasserstein space of probability measures, defined by continuous semimartingales, and evaluated along the flow of conditional distributions of another…
In this paper we are interested in a new type of {\it mean-field}, non-Markovian stochastic control problems with partial observations. More precisely, we assume that the coefficients of the controlled dynamics depend not only on the paths…
We extend the It\^o-Wentzell formula for the evolution of a time-dependent stochastic field along a semimartingale to $k$-form-valued stochastic processes. The result is the Kunita-It\^o-Wentzell (KIW) formula for $k$-forms. We also…