Related papers: A class of singular control problems with tipping …
This paper studies a time-changed stochastic control problem, where the underlying stochastic process is a L\'evy noise time-changed by an inverse subordinator. We establish a maximum principle theory for the time-changed stochastic control…
We study sequences, parametrized by the number of agents, of many agent exit time stochastic control problems with risk-sensitive cost structure. We identify a fully characterizing assumption, under which each of such control problem…
We consider the problem of representing the value of singular stochastic control problems of linear diffusions as expected suprema. Setting the value accrued from following a standard reflection policy equal with the expected value of a…
This work addresses the optimal covariance control problem for stochastic discrete-time linear time-varying systems subject to chance constraints. Covariance steering is a stochastic control problem to steer the system state Gaussian…
Sudden and abrupt changes can occur in a nonlinear system within many fields of science when such a system crosses a tipping point and rapid changes of the system occur in response to slow changes in an external forcing. These can occur…
In this study, we consider an optimal control problem driven by a stochastic differential system with a stopping time terminal cost functional. We establish the stochastic maximum principle for this new kind of an optimal control problem by…
Timeout control is a simple mechanism used when direct feedback is either impossible, unreliable, or too costly, as is often the case in distributed systems. Its effectiveness is determined by a timeout threshold parameter and our goal is…
In this paper we study stochastic control problems with delayed information, that is, the control at time $t$ can depend only on the information observed before time $t-H$ for some delay parameter $H$. Such delay occurs frequently in…
This paper presents a novel approach for steering the state of a stochastic control-affine system to a desired target within a finite time horizon. Our method leverages the time-reversal of diffusion processes to construct the required…
In nonlinear dynamical systems, tipping refers to a critical transition from one steady state to another, typically catastrophic, steady state, often resulting from a saddle-node bifurcation. Recently, the machine-learning framework of…
In this paper, minimal time and minimal norm control problems are studied. The target sets considered are the origin of state spaces and controls are point-wisely bounded functions. The system stuided in this paper is assumed to have no the…
We consider a stochastic system whose uncontrolled state dynamics are modelled by a general one-dimensional It\^{o} diffusion. The control effort that can be applied to this system takes the form that is associated with the so-called…
This paper considers the control of uncertain systems that are operated under limited resource factors, such as battery life or hardware longevity. We consider here resource-aware self-triggered control techniques that schedule system…
A class of optimal control problems governed by linear fractional diffusion equation with control constraint is considered. We first establish some results on the existence of strong solution to the state equation and the existence of…
This paper studies the time optimal control problem for systems of heat equations coupled by a pair of constant matrices. The control constraint is of the ball-type, while the target is the origin of the state space. We obtain an upper…
In an earlier paper (https://doi.org/10.1137/21M1393315), the Switch Point Algorithm was developed for solving optimal control problems whose solutions are either singular or bang-bang or both singular and bang-bang, and which possess a…
We study a class of ordinary differential equations with a non-Lipschitz point singularity, which admit non-unique solutions through this point. As a selection criterion, we introduce stochastic regularizations depending on the parameter…
This paper focuses on stochastic saddle point problems with decision-dependent distributions. These are problems whose objective is the expected value of a stochastic payoff function and whose data distribution drifts in response to…
In a classical optimal stopping problem the aim is to maximize the expected value of a functional of a diffusion evaluated at a stopping time. This note considers optimal stopping problems beyond this paradigm. We study problems in which…
The hybrid optimal control problem with reach time to a target set is addressed and the continuity and uniqueness of the associated value function is proved. Hybrid systems involves interaction of different types of dynamics: continuous and…