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We study a stochastic control system involving both a standard and a fractional Brownian motion with Hurst parameter less than 1/2. We apply an anticipative Girsanov transformation to transform the system into another one, driven only by…
This work presents a technique for learning systems, where the learning process is guided by knowledge of the physics of the system. In particular, we solve the problem of the two-point boundary optimal control problem of linear…
We consider a velocity tracking problem for stochastic Navier-Stokes equations in a 2D-bounded domain. The control acts on the boundary through an injection-suction device with uncertainty, which acts in accordance with the non-homogeneous…
We propose formulating the finite-horizon stochastic optimal control problem for colloidal self-assembly in the space of probability density functions (PDFs) of the underlying state variables (namely, order parameters). The control…
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This paper studies an optimal trading problem that incorporates the trader's market view on the terminal asset price distribution and uninformative noise embedded in the asset price dynamics. We model the underlying asset price evolution by…
We study a family of optimal control problems under a set of controlled-loss constraints holding at different deterministic dates. The characterization of the associated value function by a Hamilton-Jacobi-Bellman equation usually calls for…
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Control of stochastic systems is a challenging open problem in statistical physics, with potential applications in a wealth of systems from biology to granulates. Unlike most cases investigated so far, we aim here at controlling a genuinely…
This paper is concerned with a long standing optimal dividend payout problem subject to the so-called ratcheting constraint, that is, the dividend payout rate shall be non-decreasing over time and is thus self-path-dependent. The surplus…
In this paper, we study a boundary control problem associated to the stationary Rayleigh-B\'enard-Marangoni (RBM) system in presence of controls for the velocity and the temperature on parts of the boundary. We analyze the existence,…
We study a constrained stochastic control problem with jumps; the jump times of the controlled process are given by a Poisson process. The cost functional comprises quadratic components for an absolutely continuous control and the…
We consider control-constrained linear-quadratic optimal control problems on evolving surfaces. In order to formulate well-posed problems, we prove existence and uniqueness of weak solutions for the state equation, in the sense of…
An asymptotic framework for optimal control of multiclass stochastic processing networks, using formal diffusion approximations under suitable temporal and spatial scaling, by Brownian control problems (BCP) and their equivalent workload…
Accurate quantification of safety is essential for the design of autonomous systems. In this paper, we present a methodology to characterize the exact probabilities associated with invariance and recovery in safe control. We consider a…
This paper studies the stochastic optimal control problem for systems with unknown dynamics. A novel decoupled data based control (D2C) approach is proposed, which solves the problem in a decoupled "open loop-closed loop" fashion that is…
In this paper, we consider joint drift rate control and impulse control for a stochastic inventory system under long-run average cost criterion. Assuming the inventory level must be nonnegative, we prove that a…
We study the problem of optimal inside control of a stochastic Volterra equation driven by a Brownian motion and a Poisson random measure. We prove a sufficient and a necessary maximum principle for the optimal control when the trader has…