Related papers: A mixed singular/switching control problem with te…
In this paper, we study the asymptotic of exit problem for controlled Markov diffusion processes with random jumps and vanishing diffusion terms, where the random jumps are introduced in order to modify the evolution of the controlled…
Switched systems in which the manipulated control action is the time-depending switching signal describe many engineering problems, mainly related to biomedical applications. In such a context, to control the system means to select an…
A Markovian dichotomic system driven by a deterministic time-periodic force is analyzed in terms of the statistical properties of the switching events between the states. The consideration of the counting process of the switching events…
Stochastic Spatio-Temporal processes are prevalent across domains ranging from modeling of plasma to the turbulence in fluids to the wave function of quantum systems. This letter studies a measure-theoretic description of such systems by…
Phase separation accompanied by further domain growth and coarsening is a phenomenon common to a broad variety of dynamical systems. In this connection, controlling such processes represents a relevant interdisciplinary problem. Using…
We study singular stochastic control of a two dimensional stochastic differential equation, where the first component is linear with random and unbounded coefficients. We derive existence of an optimal relaxed control and necessary…
We study a class of controlled rough differential equations. It is shown that the value function satisfies a HJB type equation; we also establish a form of the Pontryagin maximum principle. Deterministic problems of this type arise in the…
We consider the problem of representing the value of singular stochastic control problems of linear diffusions as expected suprema. Setting the value accrued from following a standard reflection policy equal with the expected value of a…
We consider a class of exit time stochastic control problems for diffusion processes with discounted criterion, where the controller can utilize a given amount of resource, called "fuel". In contrast to the vast majority of existing…
In this paper, we consider the gradual-impulse control problem of continuous-time Markov decision processes, where the system performance is measured by the expectation of the exponential utility of the total cost. We prove, under very…
This paper studies regularity property of the value function for an infinite-horizon discounted cost impulse control problem, where the underlying controlled process is a multidimensional jump diffusion with possibly `infinite-activity'…
We consider a stochastic control problem where the set of strict (classical) controls is not necessarily convex and the the variable control has two components, the first being absolutely continuous and the second singular. The system is…
This article investigates the exact controllability of three-dimensional stochastic Maxwell equations, a coupled system comprising two stochastic partial differential equations. The research establishes the observability inequality for the…
In this paper, a stochastic control problem under model uncertainty with general penalty term is studied. Two types of penalties are considered. The first one is of type f-divergence penalty treated in the general framework of a continuous…
We address the problem of parameter estimation for diffusion driven stochastic volatility models through Markov chain Monte Carlo (MCMC). To avoid degeneracy issues we introduce an innovative reparametrisation defined through…
In this paper, we consider the mixed optimal control of a linear stochastic system with a quadratic cost functional, with two controllers-one can choose only deterministic time functions, called the deterministic controller, while the other…
This paper considers a class of stochastic control problems with implicitly defined objective functions, which are the sources of time-inconsistency. We study the closed-loop equilibrium solutions in a general controlled diffusion…
We consider the problem of optimal multiple switching in finite horizon, when the state of the system, including the switching costs, is a general adapted stochastic process. The problem is formulated as an extended impulse control problem…
Rate processes are simple and analytically tractable models for many dynamical systems which switch stochastically between a discrete set of quasi stationary states but they may also approximate continuous processes by coarse grained,…
We provide some criteria on the stability of regime-switching diffusion processes. Both the state-independent and state-dependent regime-switching diffusion processes with switching in a finite state space and an infinite countable state…