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This paper is devoted to present a method of proving verification theorems for stochastic optimal control of finite dimensional diffusion processes without control in the diffusion term. The value function is assumed to be continuous in…
Diffusion models have become the de facto framework for generating new datasets. The core of these models lies in the ability to reverse a diffusion process in time. The goal of this manuscript is to explain, from a PDE perspective, how…
We consider an investment problem in which an investor performs capital injections to increase the liquidity of a firm for it to maximise profit from market operations. Each time the investor performs an injection, the investor incurs a…
In this paper we consider non convex control problems of stochastic differential equations driven by relaxed controls. We present existence of optimal controls and then develop necessary conditions of optimality. We cover both continuous…
Motivated by the controller placement problems in software-defined networks and the fair division principles of classical "cake cutting", we investigate the following two-player zero-sum game. In our model, a defender places a limited…
We investigate the stability of the equilibrium-induced optimal value in one-dimensional diffusion setting for a time-inconsistent stopping problem under non-exponential discounting. We show that the optimal value is semi-continuous with…
Stochastic maximum principle of nonlinear controlled forward-backward systems, where the set of strict (classical) controls need not be convex and the diffusion coefficient depends explicitly on the variable control, is an open problem…
We carry out a stability and convergence analysis for the fully discrete scheme obtained by combining a finite or virtual element spatial discretization with the upwind-discontinuous Galerkin time-stepping applied to the time-dependent…
We consider concurrent stochastic games played on graphs with reachability and safety objectives. These games can be solved by value iteration as well as strategy iteration, each of them yielding a sequence of under-approximations of the…
We study time-inconsistent recursive stochastic control problems, i.e., for which the Bellman principle of optimality does not hold. For this class of problems classical optimal controls may fail to exist, or to be relevant in practice, and…
In the paper we consider the controlled continuous-time Markov chain describing the interacting particles system with the finite number of types. The system is controlled by two players with the opposite purposes. The limiting game as the…
In this paper we consider two-person zero-sum risk-sensitive stochastic dynamic games with Borel state and action spaces and bounded reward. The term risk-sensitive refers to the fact that instead of the usual risk neutral optimization…
Stochastic games combine controllable and adversarial non-determinism with stochastic behavior and are a common tool in control, verification and synthesis of reactive systems facing uncertainty. Multi-objective stochastic games are natural…
We study an ergodic singular control problem with constraint of a regular one-dimensional linear diffusion. The constraint allows the agent to control the diffusion only at jump times of independent Poisson process. Under relatively weak…
In this paper, we investigate the problem of optimal supervisory control for the discrete event systems under energy constraints. We consider that the execution of events consumes energy and the energy can be replenished at specific reload…
In this paper, we consider a discrete-time stochastic control problem with uncertain initial and target states. We first discuss the connection between optimal transport and stochastic control problems of this form. Next, we formulate a…
We propose a model uncertainty approach to heavy traffic asymptotics that allows for a high level of uncertainty. That is, the uncertainty classes of underlying distributions accommodate disturbances that are of order 1 at the usual…
This paper deals with N-person nonzero-sum discrete-time Markov games under a probability criterion, in which the transition probabilities and reward functions are allowed to vary with time. Differing from the existing works on the expected…
A space discrete approximation to a highly nonlinear reaction-diffusion system endowed with a stochastic dynamical boundary condition is analyzed and the convergence of the discrete scheme to the solution to the corresponding continuum…
In this paper, we consider a class of stochastic impulse control problem when there is a fixed delay $\Delta$ between the decision and execution times. The dynamics of the controlled system between two impulses is an arbitrary adapted…