Related papers: Ergodic Risk-sensitive control -- A survey

We give an overview of parts of the theory of Hardy spaces from the viewpoint of signals and systems theory. There are books on this topic, which dates back to Bode, Nyquist, and Wiener, and that eventually led to the developement of…

We study the asymptotic behavior of solutions to linear-quadratic mean field stochastic optimal control problems. By formulating an ergodic control framework, we characterize the convergence between the finite time horizon control problem…

Optimized certainty equivalents (OCEs) is a family of risk measures widely used by both practitioners and academics. This is mostly due to its tractability and the fact that it encompasses important examples, including entropic risk…

The quantification of controllability and observability has recently received new interest in the context of large, complex networks of dynamical systems. A fundamental but computationally difficult problem is the placement or selection of…

Control science is a core representative of the third industrial revolution and is so important to modern civilization. Control systems are the main subject of control science and may involve many aspects of consideration, such as hardware…

In the framework of risk management, for the study of the sensitivity of pricing and hedging in stochastic financial models to changes of parameters and to perturbations of the stock prices, we propose an error calculus which is an…

This paper deals with a general class of observation-driven time series models with a special focus on time series of counts. We provide conditions under which there exist strict-sense stationary and ergodic versions of such processes. The…

In recent years there has been a closer interrelationship between several scientific areas trying to obtain a more realistic and rich explanation of the natural and social phenomena. Among these it should be emphasized the increasing…

In academic literature portfolio risk management and hedging are often versed in the language of stochastic control and Hamilton--Jacobi--Bellman~(HJB) equations in continuous time. In practice the continuous-time framework of stochastic…

The infinite horizon risk-sensitive discounted-cost and ergodic-cost nonzero-sum stochastic games for controlled Markov chains with countably many states are analyzed. For the discounted-cost game, we prove the existence of Nash equilibrium…

This article is concerned with stability and performance of controlled stochastic processes under receding horizon policies. We carry out a systematic study of methods to guarantee stability under receding horizon policies via appropriate…

Humans have the ability to deviate from their natural behavior when necessary, which is a cognitive process called response inhibition. Similar approaches have independently received increasing attention in recent years for ensuring the…

Measuring systemic risk or fragility of financial systems is a ubiquitous task of fundamental importance in analyzing market efficiency, portfolio allocation, and containment of financial contagions. Recent attempts have shown that…

In this paper, we consider the adaptive linear quadratic Gaussian control problem, where both the linear transformation matrix of the state $A$ and the control gain matrix $B$ are unknown. The proposed adaptive optimal control only assumes…

Understanding the stochastic properties of conductance fluctuations in disordered mesoscopic systems is fundamental to quantum transport. In this work, we investigate the multifractal and ergodic properties of the fictitious time series of…

We study the ergodic control problem for a class of controlled jump diffusions driven by a compound Poisson process. This extends the results of [SIAM J. Control Optim. 57 (2019), no. 2, 1516-1540] to running costs that are not…

This report was originally written as an industry white paper on Hedge Funds. This paper gives an overview to Hedge Funds, with a focus on risk management issues. We define and explain the general characteristics of Hedge Funds, their main…

The authors consider stochastic aspects of the stabilization problem for two and three-dimensional Oseen equations with help of feedback control defined on a part of the fluid boundary. Stochastic issues arise when inevitable unpredictable…

This paper studies controllability properties of recurrent neural networks. The new contributions are: (1) an extension of the result in the previous paper "Complete controllability of continuous-time recurrent neural networks" (Sontag and…

Ergodic optimization aims to describe dynamically invariant probability measures that maximize the integral of a given function. For a wide class of intrinsically ergodic subshifts over a finite alphabet, we show that the space of…