Related papers: A mixed singular/switching control problem with te…
In this paper we present elementary computations for some Markov modulated counting processes, also called counting processes with regime switching. Regime switching has become an increasingly popular concept in many branches of science. In…
Motivated in part by a problem in simulated tempering (a form of Markov chain Monte Carlo) we seek to minimise, in a suitable sense, the time it takes a (regular) diffusion with instantaneous reflection at 0 and 1 to travel from the origin…
In this paper, we study the optimal singular controls for stochastic recursive systems, in which the control has two components: the regular control, and the singular control. Under certain assumptions, we establish the dynamic programming…
Applying the mathematical circulation theory of Markov chains, we investigate the synchronized stochastic dynamics of a discrete network model of yeast cell-cycle regulation where stochasticity has been kept rather than being averaged out.…
We investigate a novel anytime control algorithm for wireless networked control with random dropouts. The controller computes sequences of tentative future control commands using time-varying (Markovian) computational resources. The…
We consider an optimal stochastic target problem for branching diffusion processes. This problem consists in finding the minimal condition for which a control allows the underlying branching process to reach a target set at a finite…
This paper presents a Distributed Stochastic Model Predictive Control algorithm for networks of linear systems with multiplicative uncertainties and local chance constraints on the states and control inputs. The chance constraints are…
In this paper, we study pinning control problem of coupled dynamical systems with stochastically switching couplings and stochastically selected controller-node set. Here, the coupling matrices and the controller-node sets change with time,…
A theory is formulated for time dependent fluctuations of the spectrum of a single molecule in a dynamic environment. In particular, we investigate the photon counting statistics of a single molecule undergoing a spectral diffusion process.…
We propose a variational formulation of an inverse problem in continuous-time stochastic control, aimed at identifying control costs consistent with a given distribution over trajectories. The formulation is based on minimizing the…
In the paper we study continuous time controlled Markov processes using discrete time controlled Markov processes. We consider long run functionals: average reward per unit time or long run risk sensitive functional. We also investigate…
This paper is addressed to studying the exact controllability for stochastic Schr\"{o}dinger equations by two controls. One is a boundary control in the drift term and the other is an internal control in the diffusion term. By means of the…
This work collects some methodological insights for numerical solution of a "minimum-dispersion" control problem for nonlinear stochastic differential equations, a particular relaxation of the covariance steering task. The main ingredient…
This paper is concerned with cost optimization of an insurance company. The surplus of the insurance company is modeled by a controlled regime switching diffusion, where the regime switching mechanism provides the fluctuations of the random…
Motivated by de Finetti's optimal dividend problem with capital injections, we study a stochastic control problem for the additive component of a Markov additive process (MAP). In contrast to previous studies, the modulating component is…
This work focuses on time-inhomogeneous Markov chains with two time scales. Our motivations stem from applications in reliability and dependability, queueing networks, financial engineering and manufacturing systems, where two-time-scale…
This article gives an overview of the developments in controlled diffusion processes, emphasizing key results regarding existence of optimal controls and their characterization via dynamic programming for a variety of cost criteria and…
This note is addressed to giving a short introduction to control theory of stochastic systems, governed by stochastic differential equations in both finite and infinite dimensions. We will mainly explain the new phenomenon and difficulties…
In this work, we focus on the stationary analysis of a specific class of continuous time Markov-modulated reflected random walks in the quarter plane with applications in the modelling of two-node Markov-modulated queueing networks with…
This paper proposes a form of MPC in which the control variables are moved asynchronously. This contrasts with most MIMO control schemes, which assume that all variables are updated simultaneously. MPC outperforms other control strategies…