Related papers: Stochastic scattering control of spider diffusion …
The aim of this article is to give several results related to Walsh's spider diffusions living on a star-shaped network that have a spinning measure selected from the own local time of the motion at the vertex (cf.[17]). We prove the…
The objective of this article is to prove existence and weak uniqueness of a Walsh spider diffusion process, whose spinning measure and coefficients are allowed to depend on the local time spent at the junction vertex. The methodology is to…
The main purpose of this work is to obtain a comparison principle for viscosity solutions of a system of elliptic Walsh's spider Hamilton-Jacobi-Bellman equations, possessing a new boundary condition called non linear local-time Kirchhoff's…
The main purpose of this work is to provide an existence and uniqueness result for the solution of a linear parabolic system posed on a star-shaped network, which presents a new type of Kirchhoff's boundary transmission condition at the…
In this paper, we explore a new class of stochastic control problems characterized by specific control constraints. Specifically, the admissible controls are subject to the ratcheting constraint, meaning they must be non-decreasing over…
We study a stochastic optimal control problem for jump-diffusion systems whose drift coefficient is piecewise Lipschitz continuous and exhibits threshold-induced discontinuities. Such dynamics naturally arise in applications with…
In this paper, we aim to develop the theory of optimal stochastic control for branching diffusion processes where both the movement and the reproduction of the particles depend on the control. More precisely, we study the problem of…
This paper investigates the optimal control problem for a class of parabolic equations where the diffusion coefficient is influenced by a control function acting nonlocally. Specifically, we consider the optimization of a cost functional…
Recent studies have extended the use of the stochastic Hamilton-Jacobi-Bellman (HJB) equation to include complex variables for deriving quantum mechanical equations. However, these studies often assume that it is valid to apply the HJB…
Schr\"{o}dinger bridge can be viewed as a continuous-time stochastic control problem where the goal is to find an optimally controlled diffusion process whose terminal distribution coincides with a pre-specified target distribution. We…
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…
In this paper, we develop a theoretical framework for nonlinear stochastic optimal control problems with optimal stopping by establishing a density-based deterministic representation of the underlying diffusion. For state-independent…
We study a stochastic optimal control problem with the state constrained to a smooth, compact domain. The control influences both the drift and a possibly degenerate, control-dependent dispersion matrix, leading to a fully nonlinear,…
We consider stochastic control with discretionary stopping for the drift of a diffusion process over an infinite time horizon. The objective is to choose a control process and a stopping time to minimize the expectation of a convex terminal…
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…
We study a stochastic optimal control problem for a partially observed diffusion. By using the control randomization method in [4], we prove a corresponding randomized dynamic programming principle (DPP) for the value function, which is…
We consider the determination of the optimal stationary singular stochastic control of a linear diffusion for a class of average cumulative cost minimization problems arising in various financial and economic applications of stochastic…
We establish a connection between stochastic optimal control and generative models based on stochastic differential equations (SDEs), such as recently developed diffusion probabilistic models. In particular, we derive a…
We consider an optimal stochastic target problem for branching diffusion processes. This problem consists in finding the minimal condition for which a control allows the underlying branching process to reach a target set at a finite…
We consider a controlled-diffusion process pertaining to a chain of distributed systems with random perturbations that satisfies a weak H\"ormander type condition. In particular, we consider a stochastic control problem with the following…