Related papers: On a notion of stochastic zeroing barrier function
The article is devoted to the mean-square approximation of iterated Ito and Stratonovich stochastic integrals in the context of the numerical integration of Ito stochastic differential equations. The expansion of iterated Ito stochastic…
The article is devoted to comparative analysis of the efficiency of application of Legendre polynomials and trigonometric functions to the numerical integration of Ito stochastic differential equations in the framework of the method of…
We consider boundary value problems for stochastic differential equations of second order with a small parameter. For this case we prove a special existence and unicity theorem for strong solutions. The asymptotic behavior of these…
This paper investigates the safety guaranteed problem in spacecraft inspection missions, considering multiple position obstacles and logical attitude forbidden zones. In order to address this issue, we propose a control strategy based on…
In this paper, we propose a data-driven approach to formally verify the safety of (potentially) unknown discrete-time continuous-space stochastic systems. The proposed framework is based on a notion of barrier certificates together with…
Using time-reversal, we introduce a stochastic integral for zero-energy additive functionals of symmetric Markov processes, extending earlier work of S. Nakao. Various properties of such stochastic integrals are discussed and an It\^{o}…
This work establishes a crucial step toward advancing data-driven trajectory-based methods for stochastic systems with unknown mathematical dynamics. In contrast to scenario-based approaches that rely on independent and identically…
We study the convergence of random function iterations for finding an invariant measure of the corresponding Markov operator. We call the problem of finding such an invariant measure the stochastic fixed point problem. This generalizes…
The 2021 paper "Control barrier functions for stochastic systems" provides theorems that give almost sure safety guarantees given stochastic zero control barrier function (ZCBF). Unfortunately, both the theorem and its proof is invalid. In…
Numerical algorithms for the integration of stochastic differential equations in the presence of white noise are introduced and compared. Algorithms for the integration of stochastic correlated forces are also briefly reviewed. Finally, a…
We present a method for incorporating a stochastic point of view into physics exercises of mathematics education. The core of our method is the randomization of some inputs, the system model used does not differ from what we would use in…
The authors consider stochastic aspects of the stabilization problem for two and three-dimensional Oseen equations with help of feedback control defined on a part of the fluid boundary. Stochastic issues arise when inevitable unpredictable…
Control systems operating in the real world face countless sources of unpredictable uncertainties. These random disturbances can render deterministic guarantees inapplicable and cause catastrophic safety failures. To overcome this, this…
This paper presents a numerical approach to the stochastic obstacle problem using the stochastic Galerkin (SG) method. Due to the low regularity of the solution, linear finite elements are employed in both the physical and random variable…
In this note, we present a new numerical method for solving backward stochastic differential equations. Our method can be viewed as an analogue of the classical finite element method solving deterministic partial differential equations.
This paper addresses the safe stabilization problem of stochastic nonlinear time-delay systems. Based on theKrasovskii approach, we first propose a stochastic control Lyapunov-Krasovskii functional to guarantee the stabilization objective…
Using the theory of stochastic integration for processes with values in a UMD Banach space developed recently by the authors, an Ito formula is proved which is applied to prove the existence of strong solutions for a class of stochastic…
We propose a stochastic representation for a simple class of transport PDEs based on Ito representations. We detail an algorithm using an estimator stemming for the representation that, unlike regularization by noise estimators, is…
This paper considers stochastic optimization problems for a large class of objective functions, including convex and continuous submodular. Stochastic proximal gradient methods have been widely used to solve such problems; however, their…
We consider a method for the approximation of iterated stochastic integrals of arbitrary multiplicity $k$ $(k\in \mathbb{N})$ with respect to the infinite-dimensional $Q$-Wiener process using the mean-square approximation method of iterated…