Related papers: An Optimal Control Method to Compute the Most Like…

We study the problem of pathwise stochastic optimal control, where the optimization is performed for each fixed realisation of the driving noise, by phrasing the problem in terms of the optimal control of rough differential equations. We…

In this article we show a robustness theorem for controlled stochastic differential equations driven by approximations of Brownian motion. Often, Brownian motion is used as an idealized model of a diffusion where approximations such as…

The classical maximum principle for optimal stochastic control states that if a control $\hat{u}$ is optimal, then the corresponding Hamiltonian has a maximum at $u=\hat{u}$. The first proofs for this result assumed that the control did not…

We consider a dynamical system with finitely many equilibria and perturbed by small noise, in addition to being controlled by an `expensive' control. The controlled process is optimal for an ergodic criterion with a running cost that…

How to free a road from vehicle traffic as efficiently as possible and in a given time, in order to allow for example the passage of emergency vehicles? We are interested in this question which we reformulate as an optimal control problem.…

This paper studies a time-changed stochastic control problem, where the underlying stochastic process is a L\'evy noise time-changed by an inverse subordinator. We establish a maximum principle theory for the time-changed stochastic control…

We propose a method for approximating solutions to optimization problems involving the global stability properties of parameter-dependent continuous-time autonomous dynamical systems. The method relies on an approximation of the…

A control strategy is employed that modifies the stochastic escape times from one basin of attraction to another in a model of a double-gyre flow. The system studied captures the behavior of a large class of fluid flows that circulate and…

In this paper, we consider a varying terminal time structure for the stochastic optimal control problem under state constraints, in which the terminal time varies with the mean value of the state. In this new stochastic optimal control…

We take a new look at the relation between the optimal transport problem and the Schr\"{o}dinger bridge problem from the stochastic control perspective. We show that the connections are richer and deeper than described in existing…

This work addresses stochastic optimal control problems where the unknown state evolves in continuous time while partial, noisy, and possibly controllable measurements are only available in discrete time. We develop a framework for…

Many time series are effectively generated by a combination of deterministic continuous flows along with discrete jumps sparked by stochastic events. However, we usually do not have the equation of motion describing the flows, or how they…

We consider a stochastic control problem, where the control domain is convex and the system is governed by a nonlinear backward stochastic differential equation. With a L1 terminal data, we derive necessary optimality conditions in the form…

We investigate a control process described by a linear system of ordinary differential equations with a noise of special type acting to the control parameter. As the cost functional the probability of the final state vector to enter to a…

Stochastic systems with memory naturally appear in life science, economy, and finance. We take the modelling point of view of stochastic functional delay equations and we study these structures when the driving noises admit jumps. Our…

This paper is concerned with the partial information optimal control problem of mean-field type under partial observation, where the system is given by a controlled mean-field forward-backward stochastic differential equation with…

This paper derives an optimal control strategy for a simple stochastic dynamical system with constant drift and an additive control input. Motivated by the example of a physical system with an unexpected change in its dynamics, we take the…

In stochastic systems, numerically sampling the relevant trajectories for the estimation of the large deviation statistics of time-extensive observables requires overcoming their exponential (in space and time) scarcity. The optimal way to…

Here we present a multiscale method to calculate the saddle point associated with the effective dynamics arising from a stochastic system which couples slow deterministic drift and fast stochastic dynamics. This problem is motivated by the…

We study a stochastic optimal control problem for jump-diffusion systems whose drift coefficient is piecewise Lipschitz continuous and exhibits threshold-induced discontinuities. Such dynamics naturally arise in applications with…