Related papers: Ergodic Risk-Sensitive Control for Regime-Switchin…
Stochastic and soft optimal policies resulting from entropy-regularized Markov decision processes (ER-MDP) are desirable for exploration and imitation learning applications. Motivated by the fact that such policies are sensitive with…
We research adaptive maximum likelihood-type estimation for an ergodic diffusion process where the observation is contaminated by noise. This methodology leads to the asymptotic independence of the estimators for the variance of observation…
We derive the explicit solutions to singular stochastic control problems of the monotone follower type with (a) an expected discounted criterion, (b) an expected ergodic criterion and (c) a pathwise ergodic criterion. These problems have…
We consider optimal control problems for systems governed by mean-field stochastic differential equations, where the control enters both the drift and the diffusion coefficient. We study the relaxed model, in which admissible controls are…
We consider minimizing the probability of falling below a target growth rate of the wealth process up to a time horizon $T$ in an incomplete market model, and then study the asymptotic behavior of minimizing probability as $T\to\infty$.…
Inspired by problems in biochemical kinetics, we study statistical properties of an overdamped Langevin process whose friction coefficient depends on the state of a similar, unobserved process. Integrating out the latter, we derive the long…
We extend to Lipschitz continuous functionals either of the true paths or of the Euler scheme with decreasing step of a wide class of Brownian ergodic diffusions, the Central Limit Theorems formally established for their marginal empirical…
We address the variational problem for the generalized principal eigenvalue on $\mathbb{R}^d$ of linear and semilinear elliptic operators associated with nondegenerate diffusions controlled through the drift. We establish the…
We consider a class of semi-linear differential Volterra equations with memory terms, polynomial nonlinearities and random perturbation. For a broad class of nonlinearities, we study statistically steady states of the system and find that…
We consider an optimal control problem on a bounded domain $\Omega\subset\mathbb{R}^2,$ governed by a parabolic convection--diffusion--reaction equation with pointwise control constraints. We follow the optimize--then--discretize approach,…
This work focuses on stability of regime-switching diffusions consisting of continuous and discrete components, in which the discrete component switches in a countably infinite set and its switching rates at current time depend on the…
This paper studies the asymptotic behavior of processes with switching. More precisely, the stability under fast switching for diffusion processes and discrete state space Markovian processes is considered. The proofs are based on…
Given a stochastic nonlinear system controlled over a possibly noisy communication channel, the paper studies the largest class of channels for which there exist coding and control policies so that the closed-loop system is stochastically…
We propose an embedded discontinuous Galerkin (EDG) method to approximate the solution of a distributed control problem governed by convection diffusion PDEs, and obtain optimal a priori error estimates for the state, dual state, their…
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…
This article studies a portfolio optimization problem, where the market consisting of several stocks is modeled by a multi-dimensional jump-diffusion process with age-dependent semi-Markov modulated coefficients. We study risk sensitive…
The ergodicity and the output-controllability of stochastic reaction networks have been shown to be essential properties to fulfill to enable their control using, for instance, antithetic integral control. We propose here to extend those…
Regime switching processes have proved to be indispensable in the modeling of various phenomena, allowing model parameters that traditionally were considered to be constant to fluctuate in a Markovian manner in line with empirical findings.…
The paper studies a class of multidimensional optimal stopping problems with infinite horizon for linear switching diffusions. There are two main novelties in the optimal problems considered: the underlying stochastic process has…
We establish the existence of both optimal relaxed controls and strict optimal controls for systems driven by Reflected Stochastic Differential Equations RSDEs. Our approach is based on weak convergence techniques for the associated RSDEs…