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This paper is concerned with a stochastic linear quadratic (LQ, for short) control problem with a recursive cost functional. It involves BSDEs in $L^1$ whose well-posedness is a subtle issue. A suitable framework has been adopted so that…
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…
Following the recent resurgence in establishing linear control theoretic benchmarks for reinforcement leaning (RL)-based policy optimization (PO) for complex dynamical systems with continuous state and action spaces, an optimal control…
We propose to use a correlated noise bath to drive an optically trapped Brownian particle that mimics active biological matter. Thanks to the flexibility and precision of our setup, we are able to control the different parameters that drive…
We consider a finite-time stochastic drift control problem with the assumption that the control is bounded and the system is controlled until the state process leaves the half-line. Assuming general conditions, it is proved that the…
Market participants regularly send bid and ask quotes to exchange-operated limit order books. This creates an optimization challenge where their potential profit is determined by their quoted price and how often their orders are…
This papers shows the convergence of optimal control problems where the constraint function is discretised by a particle method. In particular, we investigate the viscous Burgers equation in the whole space $\mathbb R$ by using…
We present a theory for the steady-state dynamics of a two-dimensional system of spherically symmetric active Brownian particles. The derivation of the theory consists of two steps. First, we integrate out the self-propulsions and obtain a…
An optimal control problem is considered for a stochastic differential equation containing a state-dependent regime switching, with a recursive cost functional. Due to the non-exponential discounting in the cost functional, the problem is…
We investigate the impact of intermittent energy injections on a Brownian particle, modeled as stochastic renewals of its kinetic energy to a fixed value. Between renewals, the particle follows standard underdamped Langevin dynamics. For…
In this short note we formulate a infinite-horizon stochastic optimal control problem for jump-diffusions of Ito-Levy type as a LP problem in a measure space, and prove that the optimal value functions of both problems coincide. The main…
We study a stochastic control problem for continuous multidimensional martingales with fixed quadratic variation. In a radially symmetric environment, we are able to find an explicit solution to the control problem and find an optimal…
We study dynamical properties of confined, self-propelled Brownian particles in an inhomogeneous activity profile. Using Brownian dynamics simulations, we calculate the probability to reach a fixed target and the mean first passage time to…
We study the motion of an overdamped particle connected to a thermal heat bath in the presence of an external periodic potential in one dimension. When we coarse-grain, i.e., bin the particle positions using bin sizes that are larger than…
In these lecture notes, we explore the mathematical preliminaries and foundational concepts that connect stochastic processes with partial differential equations. We begin by investigating Brownian motion, which serves as a model for random…
We investigate a model for a Stirling-like engine consisting of a passive Brownian particle confined by a harmonic potential and interacting with a suspension of active Brownian particles that self-propel in a viscous solvent, which…
We investigate propagation of convexity and convex ordering on a typical discrete-time stochastic optimal control problem, namely the pricing of swing option. The dynamics of the underlying asset is modelled by the Euler scheme of a…
We show that Brownian motion is spatially not symmetric for mesoscopic particles embedded in a fluid if the particle is not in thermal equilibrium and its shape is not spherical. In view of applications on molecular motors in biological…
This paper thoroughly investigates stochastic linear-quadratic optimal control problems with the Markovian regime switching system, where the coefficients of the state equation and the weighting matrices of the cost functional are random.…
By using the Kirkwood formula, the friction coefficient of a solvated Brownian particle is determined from the integration on time of the autocorrelation function of the force that the solvent exerts on this particle. Extensive molecular…