Related papers: A mixed singular/switching control problem with te…
This paper addresses the problem of steering an initial probability distribution to a target probability distribution through a deterministic or stochastic linear control system. Our proposed approach is inspired by the flow matching…
A block Markov chain is a Markov chain whose state space can be partitioned into a finite number of clusters such that the transition probabilities only depend on the clusters. Block Markov chains thus serve as a model for Markov chains…
We study the long-term qualitative behavior of randomly perturbed dynamical systems. More specifically, we look at limit cycles of stochastic differential equations (SDE) with Markovian switching, in which the process switches at random…
This paper is concerned with a partially observed hybrid optimal control problem, where continuous dynamics and discrete events coexist and in particular, the continuous dynamics can be observed while the discrete events, described by a…
This paper focuses on optimizing probabilities of events of interest defined over general controlled discrete-time Markov processes. It is shown that the optimization over a wide class of $\omega$-regular properties can be reduced to the…
This paper is concerned with a discounted stochastic optimal control problem for regime switching diffusion in an infinite horizon. First, as a preliminary with particular interests in its own right, the global well-posedness of infinite…
Stock price change in financial market occurs through transactions in analogy with diffusion in stochastic physical systems. The analysis of price changes in real markets shows that long-range correlations of price fluctuations largely…
We consider a class of stochastic impulse control problems of general stochastic processes i.e. not necessarily Markovian. Under fairly general conditions we establish existence of an optimal impulse control. We also prove existence of…
We study a class of two-sided optimal control problems of general linear diffusions under a so-called Poisson constraint: the controlling is only allowed at the arrival times of an independent Poisson signal processes. We give a weak and…
We investigate control of a non-linear process when communication and processing capabilities are limited. The sensor communicates with a controller node through an erasure channel which introduces i.i.d. packet dropouts. Processor…
This paper studies a diffusion model that arises as the limit of a queueing system scheduling problem in the asymptotic heavy traffic regime of Halfin and Whitt. The queueing system consists of several customer classes and many servers…
Rollout approaches are an effective tool to address the problem of co-designing the transmission schedule and the corresponding input values, when the controller is connected to the plant via a resource-constrained communication network.…
Discrete time control systems whose dynamics and observations are described by stochastic equations are common in engineering, operations research, health care, and economics. For example, stochastic filtering problems are usually defined…
As a main step in the numerical solution of control problems in continuous time, the controlled process is approximated by sequences of controlled Markov chains, thus discretising time and space. A new feature in this context is to allow…
In this paper, we aim to develop the theory of optimal stochastic control for branching diffusion processes where both the movement and the reproduction of the particles depend on the control. More precisely, we study the problem of…
We present a one-dimensional model for diffusion in a fluctuating lattice; that is a lattice which can be in two or more states. Transitions between the lattice states are induced by a combination of two processes: one periodic…
We consider the problem of steering a linear stochastic system between two end-point degenerate Gaussian distributions in finite time. This accounts for those situations in which some but not all of the state entries are uncertain at the…
This paper studies a class of non$-$Markovian singular stochastic control problems, for which we provide a novel probabilistic representation. The solution of such control problem is proved to identify with the solution of a $Z-$constrained…
This paper develops a model for the bid and ask prices of a European type asset by formulating a stochastic control problem. The state process is governed by a modified geometric Brownian motion whose drift and diffusion coefficients depend…
We consider a class of discrete time stochastic control problems motivated by some financial applications. We use a pathwise stochastic control approach to provide a dual formulation of the problem. This enables us to develop a numerical…