Related papers: A class of singular control problems with tipping …
In stochastic control problems delicate issues arise when the controlled system can jump due to both exogenous shocks and endogenous controls. Here one has to specify what the controller knows when about the exogenous shocks and how and…
A numerical method is proposed for a class of stochastic control problems including singular behavior. This method solves an infinite-dimensional linear program equivalent to the stochastic control problem using a finite element type…
In this paper, we consider a class of stochastic optimal control problems with risk constraints that are expressed as bounded probabilities of failure for particular initial states. We present here a martingale approach that diffuses a risk…
We investigate the convergence of hitting times for jump-diffusion processes. Specifically, we study a sequence of stochastic differential equations with jumps. Under reasonable assumptions, we establish the convergence of solutions to the…
Tipping behavior can occur when an equilibrium of a dynamical system loses stability in response to a slowly varying parameter crossing a bifurcation threshold, or where noise drives a system from one attractor to another, or some…
We consider a basic one-dimensional model of diffusion which allows to obtain a diversity of diffusive regimes whose speed depends on the moments of the per-site trapping time. This model is closely related to the continuous time random…
We study a multiscale stochastic optimal control problem subject to state constraints on the slow variable. To address this class of problems, we develop a rigorous theoretical framework based on singular perturbation analysis, tailored to…
We study problem-dependent rates, i.e., generalization errors that scale near-optimally with the variance, the effective loss, or the gradient norms evaluated at the "best hypothesis." We introduce a principled framework dubbed "uniform…
We provide an overview on how to use the measurable selection techniques to derive the dynamic programming principle for a general stochastic optimal control/stopping problem. By considering its martingale problem formulation on the…
We consider a stochastic control problem where the set of strict (classical) controls is not necessarily convex, and the system is governed by a nonlinear backward stochastic differential equation. By introducing a new approach, we…
This paper examines a class of singular stochastic control problems with convex objective functions. In Section 2, we use tools from convex analysis to derive necessary and sufficient first order conditions for this class of optimisation…
In this paper we investigate the turnpike property for constrained LQ optimal control problem in connection with dissipativity of the control system. We determine sufficient conditions to ensure the turnpike property in the case of a…
We study a discounted singular stochastic control problem driven by a general L\'evy process, where the objective is to minimize a cost functional composed of a running cost and a control cost that depends on the current state of the…
Rare events in molecular dynamics are often related to noise-induced transitions between different macroscopic states (e.g., in protein folding). A common feature of these rare transitions is that they happen on timescales that are on…
In this paper, we propose a unified stochastic optimal control framework that integrates time-optimal control problems with classical stochastic optimal control formulations. Unlike conventional deterministic time-optimal control models,…
This paper is concerned with the deterministic optimal control of Ito stochastic systems with random coefficients. The necessary and sufficient conditions for the unique solvability of the optimal control problem with random coefficients…
Spontaneous symmetry breaking is a hallmark of equilibrium systems, typically characterized by a single critical point separating ordered and disordered phases. Recently, a novel class of non-equilibrium phase transitions was uncovered…
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…
We study a regulation problem for stochastic systems subject to both continuous fluctuations and rare but significant shocks, modeled as a jump-diffusion with uncertainty in both the drift and the jump intensity. Such settings arise in…
We investigate different turnpike phenomena of generalized discrete-time stochastic linear-quadratic optimal control problems. Our analysis is based on a novel strict dissipativity notion for such problems, in which a stationary stochastic…