Related papers: Rate-cost tradeoffs in continuous-time control wit…
In this paper we propose a data-driven distributionally robust Model Predictive Control framework for constrained stochastic systems with unbounded additive disturbances. Recursive feasibility is ensured by optimizing over an linearly…
The survival probability for a periodic non-autonomous Ornstein-Uhlenbeck process is calculated analytically using two different methods. The first uses an asymptotic approach. We treat the associated Kolmogorov Backward Equation with an…
We propose a non-Gaussian operator-valued extension of the Barndorff-Nielsen and Shephard stochastic volatility dynamics, defined as the square-root of an operator-valued Ornstein-Uhlenbeck process with Levy noise and bounded drift. We…
In this paper we present a hierarchical multi-rate control architecture for nonlinear autonomous systems operating in partially observable environments. Control objectives are expressed using syntactically co-safe Linear Temporal Logic…
This paper proposes a target zones exchange rate model with a terminal condition of entering a currency zone. It is assumed that the exchange rate is a function of the fundamental and time. Another essential assumptions of the model is that…
This paper considers a Markovian model of a limit order book where time-dependent rates are allowed. With the objective of understanding the mechanisms through which a microscopic model of an orderbook can converge to more general diffusion…
Motivated by the modeling of the temporal structure of the velocity field in a highly turbulent flow, we propose and study a linear stochastic differential equation that involves the ingredients of a Ornstein-Uhlenbeck process, supplemented…
This paper investigates the optimal control problem for a class of discrete-time stochastic systems subject to additive and multiplicative noises. A stochastic Lyapunov equation and a stochastic algebra Riccati equation are established for…
Traditional solvable optimal control theory predominantly focuses on quadratic costs due to their analytical tractability, yet they often fail to capture critical non-linearities inherent in real-world systems including water, energy,…
We conduct modeling of the price dynamics following order flow imbalance in market microstructure and apply the model to the analysis of Chinese CSI 300 Index Futures. There are three findings. The first is that the order flow imbalance is…
We refer by threshold Ornstein-Uhlenbeck to a continuous-time threshold autoregressive process. It follows the Ornstein-Uhlenbeck dynamics when above or below a fixed level, yet at this level (threshold) its coefficients can be…
Stochastic fluctuations of molecular abundances are a ubiquitous feature of cellular processes and lead to significant cell-to-cell variability. Recent theoretical work established lower bounds for stochastic fluctuations in cells for broad…
Optimal control of interacting particles governed by stochastic evolution equations in Hilbert spaces is an open area of research. Such systems naturally arise in formulations where each particle is modeled by stochastic partial…
A general scheme is presented for controlling quantum systems using evolution driven by non-selective von Neumann measurements, with or without an additional tailored electromagnetic field. As an example, a 2-level quantum system controlled…
This paper studies the problem of trading futures with transaction costs when the underlying spot price is mean-reverting. Specifically, we model the spot dynamics by the Ornstein-Uhlenbeck (OU), Cox-Ingersoll-Ross (CIR), or exponential…
A new method for stochastic control based on neural networks and using randomisation of discrete random variables is proposed and applied to optimal stopping time problems. The method models directly the policy and does not need the…
Cellular responses to death-promoting stimuli typically proceed through a differentiated multistage process, involving a lag phase, extensive death, and potential adaptation. Deregulation of this chain of events is at the root of many…
Change of measures has been an effective method in stochastic control and analysis; in continuous-time control this follows Girsanov's theorem applied to both fully observed and partially observed models, in decentralized stochastic control…
In this paper, we study the regularity of the value function associated with a stochastic control problem where two controls act simultaneously on a modulated multidimensional diffusion process. The first is a switching control modelling a…
In Stochastic Optimal Control (SOC) one minimizes the average cost-to-go, that consists of the cost-of-control (amount of efforts), cost-of-space (where one wants the system to be) and the target cost (where one wants the system to arrive),…