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In the infectious disease literature, significant effort has been devoted to studying dynamics at a single scale. For example, compartmental models describing population-level dynamics are often formulated using differential equations. In…
We consider the problem of managing a portfolio of moving-band statistical arbitrages (MBSAs), inspired by the Markowitz optimization framework. We show how to manage a dynamic basket of MBSAs, and illustrate the method on recent historical…
In this paper we study a class of stochastic control problems in which the control of the jump size is essential. Such a model is a generalized version for various applied problems ranging from optimal reinsurance selections for general…
A relationship between the Fisher information and the characteristic function is established with the help of two inequalities. A necessary and sufficient condition for equality is found. These results are used to determine the asymptotic…
One of the major challenges in neuroscience is to determine how noise that is present at the molecular and cellular levels affects dynamics and information processing at the macroscopic level of synaptically coupled neuronal populations.…
In this work, we study a generalized Fisher market model that incorporates social influence. In this extended model, a buyer's utility depends not only on their own resource allocation but also on the allocations received by their…
In standard treatments of stochastic filtering one first has to estimate the values of the parameters of the model. Simply running the filter without considering the reliability of this estimate does not take into account this additional…
This paper presents a new methodology to craft navigation functions for nonlinear systems with stochastic uncertainty. The method relies on the transformation of the Hamilton-Jacobi-Bellman (HJB) equation into a linear partial differential…
The interpretation of deep learning as a dynamical system has gained a considerable attention in recent years as it provides a promising framework. It allows for the use of existing ideas from established fields of mathematics for studying…
The links between optimal control of dynamical systems and neural networks have proved beneficial both from a theoretical and from a practical point of view. Several researchers have exploited these links to investigate the stability of…
We model the stock price dynamics through a semi-Markov process obtained using a Poisson random measure. We establish the existence and uniqueness of the classical solution of a non-homogeneous terminal value problem and we show that the…
We consider a Markovian stochastic control problem with model uncertainty. The controller (intelligent player) observes only the state, and, therefore, uses feed-back (closed-loop) strategies. The adverse player (nature) who does not have a…
This paper presents a Newton-based stochastic extremum-seeking control method for real-time optimization in multi-input systems with distinct input delays. It combines predictor-based feedback and Hessian inverse estimation via stochastic…
Filtering is concerned with the sequential estimation of the state, and uncertainties, of a Markovian system, given noisy observations. It is particularly difficult to achieve accurate filtering in complex dynamical systems, such as those…
This paper investigates the relationship between Pontryagin's maximum principle and dynamic programming principle in the context of stochastic optimal control systems governed by stochastic evolution equations with random coefficients in…
We construct an abstract framework in which the dynamic programming principle (DPP) can be readily proven. It encompasses a broad range of common stochastic control problems in the weak formulation, and deals with problems in the…
Effective management of recreational fisheries requires accurate forecasting of future harvests and real-time monitoring of ongoing harvests. Traditional methods that rely on historical catch data to predict short-term harvests can be…
In this paper, we study an optimal stopping problem in the presence of model uncertainty and regime switching. The max-min formulation for robust control and the dynamic programming approach are adopted to establish a general theoretical…
The approximation of solutions to second order Hamilton--Jacobi--Bellman (HJB) equations by deep neural networks is investigated. It is shown that for HJB equations that arise in the context of the optimal control of certain Markov…
We propose a parallel algorithm for the numerical solution of a class of second order semi-linear equations coming from stochastic optimal control problems, by means of a dynamic domain decomposition technique. The new method is an…