Related papers: Averaged observations and turnpike phenomenon for …
We consider a stochastic control problem which is composed of a controlled stochastic differential equation, and whose associated cost functional is defined through a controlled backward stochastic differential equation. Under appropriate…
In this paper we consider the convergence analysis of adaptive finite element method for elliptic optimal control problems with pointwise control constraints. We use variational discretization concept to discretize the control variable and…
Model predictive control has emerged as an effective approach for real-time optimal control of connected and automated vehicles. However, nonlinear dynamics of vehicle and traffic systems make accurate modeling and real-time optimization…
We prove that the a standard adaptive algorithm for the Taylor-Hood discretization of the stationary Stokes problem converges with optimal rate. This is done by developing an abstract framework for indefinite problems which allows us to…
We establish structural properties of optimal stopping problems under time-consistent dynamic (coherent) risk measures, focusing on value function monotonicity and the existence of control limit (threshold) optimal policies. While such…
We present a general approach to prove existence of solutions for optimal control problems not based on typical convexity conditions which quite often are very hard, if not impossible, to check. By taking advantage of several relaxations of…
We consider the problem of asymptotic reconstruction of the state and parameter values in systems of ordinary differential equations. A solution to this problem is proposed for a class of systems of which the unknowns are allowed to be…
This paper investigates the adaptive identification and prediction problems for stochastic dynamical systems with saturated observations, which arise from various fields in engineering and social systems, but up to now still lack…
We develop a path-based approach to continuous-time random walks on networks with arbitrarily weighted edges. We describe an efficient numerical algorithm for calculating statistical properties of the stochastic path ensemble. After…
We consider the minimization over probability measures of the expected value of a random variable, regularized by relative entropy with respect to a given probability distribution. In the general setting we provide a complete…
We study a class of stochastic evolution equations of jump type with random coefficients and its optimal control problem. There are three major ingredients. The first is to prove the existence and uniqueness of the solutions by continuous…
We establish the validity of asymptotic limits for the general transportation problem between random i.i.d. points and their common distribution, with respect to the squared Euclidean distance cost, in any dimension larger than three.…
In this article, we establish exponential turnpike theorems for a class of nonlinear deterministic meanfield optimal control problems. We carry out our analysis simultaneously in the so-called Lagrangian and Eulerian frameworks. In the…
We study the existence, strong consistency and asymptotic normality of estimators obtained from estimating functions, that are p-dimensional martingale transforms. The problem is motivated by the analysis of evolutionary clustered data,…
We consider optimal control problems involving nonlinear ordinary differential equations with uncertain inputs. Using the sample average approximation, we obtain optimal control problems with ensembles of deterministic dynamical systems.…
In this paper we continue our earlier investigations into the asymptotic behaviour of infinite systems of coupled differential equations. Under the mild assumption that the so-called characteristic function of our system is completely…
Advanced inference techniques allow one to reconstruct the pattern of interaction from high dimensional data sets. We focus here on the statistical properties of inferred models and argue that inference procedures are likely to yield models…
Portfolio turnpikes state that, as the investment horizon increases, optimal portfolios for generic utilities converge to those of isoelastic utilities. This paper proves three kinds of turnpikes. In a general semimartingale setting, the…
We study a version of the stochastic control problem of minimizing the sum of running and controlling costs, where control opportunities are restricted to independent Poisson arrival times. Under a general setting driven by a general L\'evy…
We propose novel parameter estimation algorithms for a class of dynamical systems with nonlinear parametrization. The class is initially restricted to smooth monotonic functions with respect to a linear functional of the parameters. We show…