Related papers: On Minimum-Dispersion Control of Nonlinear Diffusi…
We study inference-time scaling for diffusion models, where the goal is to adapt a pre-trained model to new target distributions without retraining. Existing guidance-based methods are simple but introduce bias, while particle-based…
We characterize the optimal control for a class of singular stochastic control problems as the unique solution to a related Skorokhod reflection problem. The considered optimization problems concern the minimization of a discounted cost…
We explore the approximation of feedback control of integro-differential equations containing a fractional Laplacian term. To obtain feedback control for the state variable of this nonlocal equation we use the Hamilton--Jacobi--Bellman…
The~numerical solutions to a non-linear Fractional Fokker--Planck (FFP) equation are studied estimating the generalized diffusion coefficients. The~aim is to model anomalous diffusion using an FFP description with fractional velocity…
In this work, we consider the numerical solution of an initial boundary value problem for the distributed order time fractional diffusion equation. The model arises in the mathematical modeling of ultra-slow diffusion processes observed in…
We study an inverse problem of the stochastic optimal control of general diffusions with performance index having the quadratic penalty term of the control process. Under mild conditions on the system dynamics, the cost functions, and the…
This paper concerns an optimal control problem $(P)$ related to a nonlinear Fokker-Planck equation. The problem is deeply related to a stochastic optimal control problem $(P_S)$ for a McKean-Vlasov equation. The existence of an optimal…
We consider a controlled diffusion process $(X_t)_{t\ge 0}$ where the controller is allowed to choose the drift $\mu_t$ and the volatility $\sigma_t$ from a set $\K(x) \subset \R\times (0,\infty)$ when $X_t=x$. By choosing the largest…
We formulate a short-time expansion for one-dimensional Fokker-Planck equations with spatially dependent diffusion coefficients, derived from stochastic processes with Gaussian white noise, for general values of the discretization parameter…
We consider a class of stochastic optimal control problems for discrete-time stochastic linear systems which seek for control policies that will steer the probability distribution of the terminal state of the system close to a desired…
Stochastic transport processes on networked domains (modelled on metric graphs) arise in a variety of applications where diffusion and drift mechanisms interact with an underlying graph structure. The Fokker--Planck equation provides a…
The present work provides a critical assessment of numerical solutions of the space-fractional diffusion-advection equation, which is of high significance for applications in various natural sciences. In view of the fact that, in contrast…
This paper proposes a fully data-driven approach for optimal control of nonlinear control-affine systems represented by a stochastic diffusion. The focus is on the scenario where both the nonlinear dynamics and stage cost functions are…
In this article, we present a general methodology for control problems driven by the Brownian motion filtration including non-Markovian and non-semimartingale state processes controlled by mutually singular measures. The main result of this…
This work is motivated by the need to study the impact of data uncertainties and material imperfections on the solution to optimal control problems constrained by partial differential equations. We consider a pathwise optimal control…
In this paper, we develop an efficient numerical solver for unsteady diffusion-type partial differential equations with random coefficients. A major computational challenge in such problems lies in repeatedly handling large-scale linear…
In this article, we analyse the existence of an optimal feedback controller of stochastic optimal control problems governed by SDEs which have the control in the diffusion part. To this end, we consider the underlying Fokker-Planck equation…
In this paper we analyze fractional Fokker-Planck equation describing subdiffusion in the general infinitely divisible (ID) setting. We show that in the case of space-time-dependent drift and diffusion and time-dependent jump coefficient,…
This paper solves a Bayes sequential impulse control problem for a diffusion, whose drift has an unobservable parameter with a change point. The partially-observed problem is reformulated into one with full observations, via a change of…
This work establishes a general stochastic maximum principle for partially observed optimal control of semi-linear stochastic partial differential equations in a nonconvex control domain. The state evolves in a Hilbert space driven by a…