Related papers: Rate-cost tradeoffs in continuous-time control wit…
We study the rate-cost tradeoff in rate-limited control of general stochastic control systems, including nonlinear systems, over a finite horizon. At each time step, an encoder observes the state and transmits a description to a controller,…
Consider a control problem with a communication channel connecting the observer of a linear stochastic system to the controller. The goal of the controller is to minimize a quadratic cost function in the state variables and control signal,…
Designing a protocol to efficiently drive a stochastic system is an active field of research. Here we extend such control theory to an active Ornstein-Uhlenbeck particle (AOUP) in a bistable potential, driven by a harmonic trap. We find…
We consider De Finetti's control problem for absolutely continuous strategies with control rates bounded by a concave function and prove that a generalized mean-reverting strategy is optimal. In order to solve this problem, we need to deal…
Consider the problem of a central bank that wants to manage the exchange rate between its domestic currency and a foreign one. The central bank can purchase and sell the foreign currency, and each intervention on the exchange market leads…
Consider a distributed control problem with a communication channel connecting the observer of a linear stochastic system to the controller. The goal of the controller is to minimize a quadratic cost function in the state variables and…
We consider a continuous-time linear-quadratic Gaussian control problem with partial observations and costly information acquisition. More precisely, we assume the drift of the state process to be governed by an unobservable…
Modern methods of generative modelling and unpaired data translation based on Schr\"odinger bridges and stochastic optimal control theory aim to transform an initial density to a target one in an optimal way. In the present paper, we assume…
We consider a discrete-time approximation of paths of an Ornstein--Uhlenbeck process as a mean for estimation of a price of European call option in the model of financial market with stochastic volatility. The Euler--Maruyama approximation…
We consider an individual or household endowed with an initial capital and an income, modeled as a linear function of time. Assuming that the discount rate evolves as an Ornstein-Uhlenbeck process, we target to find an unrestricted…
Optimal control theory deals with finding protocols to steer a system between assigned initial and final states, such that a trajectory-dependent cost function is minimized. The application of optimal control to stochastic systems is an…
We are concerned with optimal control strategies subject to uncertain demands. An Ornstein-Uhlenbeck process describes the uncertain demand. The transport within the supply system is modeled by the linear advection equation. We consider…
We focus our attention on the most common scenario in networked control systems where the measured output from the observer is transmitted via a communication channel to the controller. Using information theoretic results, we studied the…
The assessing resources dynamics problem, in the context of an economic system with Gaussian consumption and deterministic productivity, is considered in this paper. Basically it is presented a discrete time recursive equation that supports…
When stock prices are observed at high frequencies, more information can be utilized in estimation of parameters of the price process. However, high-frequency data are contaminated by the market microstructure noise which causes significant…
An $N$-particle system with stochastic interactions is considered. Interactions are driven by a Brownian noise term and total energy conservation is imposed. The evolution of the system, in velocity space, is a diffusion on a…
In this paper, we analyze the use of the Ornstein-Uhlenbeck process to model dynamical systems subjected to bounded noisy perturbations. In order to discuss the main characteristics of this new approach we consider some basic models in…
The infinite source Poisson arrival model with heavy-tailed workload distributions has attracted much attention, especially in the modeling of data packet traffic in communication networks. In particular, it is well known that under…
In this paper we study the pricing of exchange options under a dynamic described by stochastic correlation with random jumps. In particular, we consider a Ornstein-Uhlenbeck covariance model with Levy Background Noise Process driven by…
We consider the control of semilinear stochastic partial differential equations (SPDEs) via deterministic controls. In the case of multiplicative noise, existence of optimal controls and necessary conditions for optimality are derived. In…