Related papers: A mixed singular/switching control problem with te…
We consider the problem of service rate control of a single server queueing system with a finite-state Markov-modulated Poisson arrival process. We show that the optimal service rate is non-decreasing in the number of customers in the…
A key issue in the control of distributed discrete systems modeled as Markov decisions processes, is that often the state of the system is not directly observable at any single location in the system. The participants in the control scheme…
In this article, we study the ergodic risk-sensitive control problem for controlled regime-switching diffusions. Under a blanket stability hypothesis, we solve the associated nonlinear eigenvalue problem for weakly coupled systems and…
This paper addresses the challenge of time-inconsistent stochastic control within a continuous-time framework. Its primary focus lies in uncovering a probabilistic representation, specifically in the shape of a system of backward stochastic…
We study a finite-dimensional continuous-time optimal control problem on finite horizon for a controlled diffusion driven by Brownian motion, in the linear-quadratic case. We admit stochastic coefficients, possibly depending on an…
This paper investigates the optimal harvesting strategy for a single species living in random environments whose growth is given by a regime-switching diffusion. Harvesting acts as a (stochastic) control on the size of the population. The…
Multivariate data sources with components of different information value seem to appear frequently in practice. Models in which the components change their homogeneity at different times are of significant importance. The fact whether any…
Markov switching models are a popular family of models that introduces time-variation in the parameters in the form of their state- or regime-specific values. Importantly, this time-variation is governed by a discrete-valued latent…
This paper focuses on a class of continuous-time controlled Markov chains with time-inconsistent and distribution-dependent cost functional (in some appropriate sense). A new definition of time-inconsistent distribution-dependent…
We investigate the existence and uniqueness of non-Markovian second-order backward stochastic differential equations with an uncertain terminal horizon and establish comparison principles under the assumption that the driver is Lipschitz…
The paper deals with disorders detection in the multivariate stochastic process. We consider the multidimensional Poisson process or the multivariate renewal process. This class of processes can be used as a description of the distributed…
Conditional McKean-Vlasov control problems involve controlling McKean-Vlasov diffusions where the interaction occurs through the law of the state process conditionally on it staying in a domain. Introduced by Lions in his 2016 lectures at…
We investigate the stochastic resonance phenomenon in a physical system based on a tunnel diode. The experimental control parameters are set to allow the control of the frequency and amplitude of the deterministic modulating signal over an…
In a previous work, we presented a model that integrates cancer cell differentiation and immunotherapy, analysing a particular therapy against cancer stem cells by cytotoxic cell vaccines. As every biological system is exposed to random…
This paper investigates the stochastic linear quadratic (LQ, for short) optimal control problem of Markov regime switching system. The representation of the cost functional for the stochastic LQ optimal control problem of Markov regime…
Dual control denotes a class of control problems where the parameters governing the system are imperfectly known. The challenge is to find the optimal balance between probing, i.e. exciting the system to understand it more, and caution,…
A general theory is developed to study individual based models which are discrete in time. We begin by constructing a Markov chain model that converges to a one-dimensional map in the infinite population limit. Stochastic fluctuations are…
"Quantum trajectories" are solutions of stochastic differential equations of non-usual type. Such equations are called "Belavkin" or "Stochastic Schr\"odinger Equations" and describe random phenomena in continuous measurement theory of Open…
The effect of stochasticity, in the form of Gaussian white noise, in a predator-prey model with two distinct time-scales is presented. A supercritical singular Hopf bifurcation yields a Type II excitability in the deterministic model. We…
This paper deals with a stochastic recursive optimal control problem, where the diffusion coefficient depends on the control variable and the control domain is not necessarily convex. We focus on the connection between the general maximum…