Related papers: A mixed singular/switching control problem with te…
We consider the fluctuations of a time-integrated particle current around an atypical value in a generic stochastic Markov process involving classical particles with two-site interaction and hardcore repulsion on a finite one-dimensional…
In this paper we study a class of time-inconsistent terminal Markovian control problems in discrete time subject to model uncertainty. We combine the concept of the sub-game perfect strategies with the adaptive robust stochastic to tackle…
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…
The smoothing distribution is the conditional distribution of the diffusion process in the space of trajectories given noisy observations made continuously in time. It is generally difficult to sample from this distribution. We use the…
We consider a rate control problem for an $N$-particle weakly interacting finite state Markov process. The process models the state evolution of a large collection of particles and allows for multiple particles to change state…
Physical notions of stochastic resonance for potential diffusions in periodically changing double-well potentials such as the spectral power amplification have proved to be defective. They are not robust for the passage to their effective…
We consider optimal control problems for diffusion processes, where the objective functional is defined by a time-consistent dynamic risk measure. We focus on coherent risk measures defined by $g$-evaluations. For such problems, we…
Motivated by networked systems in random environment and controlled hybrid stochastic dynamic systems, this work focuses on modeling and analysis of a class of switching diffusions consisting of continuous and discrete components. Novel…
In this paper, we investigate a mean-field singular stochastic optimal control problem for systems governed by mean-field regime-switching singular stochastic differential equations. The state process is assumed to depend on both a regular…
Schr\"{o}dinger bridge can be viewed as a continuous-time stochastic control problem where the goal is to find an optimally controlled diffusion process whose terminal distribution coincides with a pre-specified target distribution. We…
We study a stochastic multiplicative process with reset events. It is shown that the model develops a stationary power-law probability distribution for the relevant variable, whose exponent depends on the model parameters. Two qualitatively…
We introduce a regulated stochastic diffusion model for the recycling rate and formulate a joint control problem over production and process innovation via the dynamics of recycling investment and product pricing. The resulting stochastic…
This paper considers the optimal control of time varying continuous time Markov chains whose transition rates are themselves Markov processes. In one set of problems the solution of an ordinary differential equation is shown to determine…
We study multiclass many-server queues for which the arrival, service and abandonment rates are all modulated by a common finite-state Markov process. We assume that the system operates in the "averaged" Halfin-Whitt regime, which means…
We consider the stochastic optimal control problem of nonlinear mean-field systems in discrete time. We reformulate the problem into a deterministic control problem with marginal distribution as controlled state variable, and prove that…
Stochastic optimal control problems have a long tradition in applied probability, with the questions addressed being of high relevance in a multitude of fields. Even though theoretical solutions are well understood in many scenarios, their…
In this paper we study a reflected Markov-modulated Brownian motion with a two sided reflection in which the drift, diffusion coefficient and the two boundaries are (jointly) modulated by a finite state space irreducible continuous time…
Focusing on stochastic systems arising in mean-field models, the systems under consideration belong to the class of switching diffusions, in which continuous dynamics and discrete events coexist and interact. The discrete events are modeled…
We consider a controlled-diffusion process pertaining to a chain of distributed systems with random perturbations that satisfies a weak H\"ormander type condition. In particular, we consider a stochastic control problem with the following…
This study explores the integration of a diffusion control parameter into the chaotic dynamics of a modified bouncing ball model. By extending beyond simple elastic collisions, the model introduces elements that affect the diffusive…