Related papers: Modeling and Stabilizing Financial Systemic Risk U…
This paper is concerned with cost optimization of an insurance company. The surplus of the insurance company is modeled by a controlled regime switching diffusion, where the regime switching mechanism provides the fluctuations of the random…
The recent financial crisis have generated renewed interests in fragilities of global financial networks among economists and regulatory authorities. In particular, a potential vulnerability of the financial networks is the "financial…
We consider a class of stochastic control problems which has been widely used in optimal foraging theory. The state processes have two distinct dynamics, characterized by two pairs of drift and diffusion coefficients, depending on whether…
This paper develops a unified methodology for probabilistic analysis and optimal control design for jump diffusion processes defined by polynomials. For such systems, the evolution of the moments of the state can be described via a system…
A strategy is proposed for adaptive stabilization of linear systems, depending on an uncertain parameter. Offline, the Riccati stabilizing feedback input control operators, corresponding to parameters in a finite training set of chosen…
This paper is concerned with a kind of risk-sensitive optimal control problem for fully coupled forward-backward stochastic systems. The control variable enters the diffusion term of the state equation and the control domain is not…
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…
The Turing instability is a paradigmatic route to patterns formation in reaction-diffusion systems. Following a diffusion-driven instability, homogeneous fixed points can become unstable when subject to external perturbation. As a…
Stability and control of a non-linear system represent an important system configuration that frequently arises in practical engineering. Stability covers a vast range of systems that do not obey the superposition principle and applies to…
This paper considers the problem of optimal liquidation of a position in a risky security in a financial market, where price evolution are risky and trades have an impact on price as well as uncertainty in the filling orders. The problem is…
By treating the financial market as a thermodynamic system, we establish a one-to-one correspondence between thermodynamic variables and economic quantities. Measured by the expected loss under the worst-case scenario, financial risk caused…
We present a formulation of an optimal control problem for a two-dimensional diffusion process governed by a Fokker-Planck equation to achieve a nonequilibrium steady state with a desired circulation while accelerating convergence toward…
Constraint tightening to non-conservatively guarantee recursive feasibility and stability in Stochastic Model Predictive Control is addressed. Stability and feasibility requirements are considered separately, highlighting the difference…
This paper addresses the problem of finite horizon constrained robust optimal control for nonlinear systems subject to norm-bounded disturbances. To this end, the underlying uncertain nonlinear system is decomposed based on a first-order…
This paper presents a novel framework for stabilizing nonlinear systems represented in state-dependent form. We first reformulate the nonlinear dynamics as a state-dependent parameter-varying model and synthesize a stabilizing controller…
Simultaneous stabilization problem arises in various systems and control applications. This paper introduces a new approach to addressing this problem in the multivariable scenario, building upon our previous findings in the scalar case.…
This paper analyzes the stability of a reactiondiffusion equation coupled with a finite-dimensional controller through Dirichlet boundary input and Neumann boundary output. Going against the flow, we intend to propose numerical certificates…
Due to delays in the adaptation of production or delivery rates, supply chains can be dynamically unstable with respect to perturbations in the consumption rate, which is known as "bull-whip effect". Here, we study several conceivable…
We develop a robust linear-quadratic mean-field control framework for systemic risk under model uncertainty, in which a central bank jointly optimizes interest rate policy and supervisory monitoring intensity against adversarial…
There is by now a large consensus in modern monetary policy. This consensus has been built upon a dynamic general equilibrium model of optimal monetary policy as developed by, e.g., Goodfriend and King (1997), Clarida et al. (1999),…