Related papers: Quasistationary Distributions and Ergodic Control …
We study an inverse problem of the stochastic optimal control of general diffusions with performance index having the quadratic penalty term of the control process. Under mild conditions on the system dynamics, the cost functions, and the…
This paper introduces the formalism required to analyze a certain class of stochastic control problems that involve a super diffusion as the underlying controlled system. To establish the existence of these processes, we show that they are…
Optimal control theory deals with finding protocols to steer a system between assigned initial and final states, such that a trajectory-dependent cost function is minimized. The application of optimal control to stochastic systems is an…
In this paper we study stochastic optimal control problems of fully coupled forward-backward stochastic differential equations (FBSDEs). The recursive cost functionals are defined by controlled fully coupled FBSDEs. We study two cases of…
We address the generic problem of optimal quantum state preparation for open quantum systems. It is well known that open quantum systems can be simulated by quantum trajectories described by a stochastic Schr\"odinger equation. In this…
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…
In this paper, we investigate the exact controllability properties of an advection-diffusion equation on a bounded domain, using time- and space-dependent velocity fields as the control parameters. This partial differential equation (PDE)…
We consider damped stochastic systems in a controlled (time-varying) quadratic potential and study their transition between specified Gibbs-equilibria states in finite time. By the second law of thermodynamics, the minimum amount of work…
We numerically study the two-dimensional, area preserving, web map. When the map is governed by ergodic behavior, it is, as expected, correctly described by Boltzmann-Gibbs statistics, based on the additive entropic functional $S_{BG}[p(x)]…
This note is addressed to giving a short introduction to control theory of stochastic systems, governed by stochastic differential equations in both finite and infinite dimensions. We will mainly explain the new phenomenon and difficulties…
In this paper we study the optimal stochastic control problem for stochastic differential systems reflected in a domain. The cost functional is a recursive one, which is defined via generalized backward stochastic differential equations…
An optimal control problem is considered for linear stochastic differential equations with quadratic cost functional. The coefficients of the state equation and the weights in the cost functional are bounded operators on the spaces of…
In this paper, we consider a discrete-time stochastic control problem with uncertain initial and target states. We first discuss the connection between optimal transport and stochastic control problems of this form. Next, we formulate a…
This paper investigates a multidimensional non-homogeneous stochastic linear-quadratic optimal control problem featuring random coefficients and a terminal mean-field term in the cost functional, enabling its direct application to…
We present a new probabilistic analysis of distributed algorithms. Our approach relies on the theory of quasi-stationary distributions (QSD) recently developped by Champagnat and Villemonais. We give properties on the deadlock time and the…
We study numerically statistical distributions of sums of chaotic orbit coordinates, viewed as independent random variables, in weakly chaotic regimes of three multi-dimensional Hamiltonian systems: Two Fermi-Pasta-Ulam (FPU-$\beta$)…
In this paper, we formulate a distributed optimal control problem related to the evolution of two isothermal, incompressible, immiscible fluids in a two dimensional bounded domain. The distributed optimal control problem is framed as the…
The optimal control of epidemic-like stochastic processes is important both historically and for emerging applications today, where it can be especially important to include time-varying parameters that impact viral epidemic-like…
We characterise all the quasi-stationary distributions and the Q-process associated with a continuous state branching process that explodes in finite time. We also provide a rescaling for the continuous state branching process conditioned…
In this paper, we investigate finite-horizon optimal density steering problems for discrete-time stochastic linear dynamical systems whose state probability densities can be represented as Gaussian Mixture Models (GMMs). Our goal is to…