Related papers: Optimal response for stochastic differential equat…
We consider optimal control problems for discrete-time random dynamical systems, finding unique perturbations that provoke maximal responses of statistical properties of the system. We treat systems whose transfer operator has an $L^2$…
It is well known that an Anosov diffeomorphism $T$ enjoys linear response of its SRB measure with respect to infinitesimal perturbations $\dot{T}$. For a fixed observation function $c$, we develop a theory to optimise the response of the…
We consider the problem of optimal linear response for deterministic expanding maps of the circle. To each infinitesimal perturbation $\dot{T}$ of a circle map $T$ we consider (i) the response of the expectation of an observation function…
We consider a random dynamical system on $\mathbb{R}^d$, whose dynamics is defined by a stochastic differential equation. The annealed transfer operator associated with such systems is a kernel operator. Given a set of feasible…
In a uniformly hyperbolic system, we consider the problem of finding the optimal infinitesimal perturbation to apply to the system, from a certain set $P$ of feasible ones, to maximally increase the expectation of a given observation…
We prove existence and uniqueness of solutions to a nonlinear stochastic evolution equation on the $d$-dimensional torus with singular $p$-Laplace-type or total variation flow-type drift with general sublinear doubling nonlinearities and…
We consider a linear stochastic differential equation with stochastic drift and multiplicative noise. We study the problem of approximating its solution with the process that solves the equation where the possibly stochastic drift is…
Inferring a diffusion equation from discretely-observed measurements is a statistical challenge of significant importance in a variety of fields, from single-molecule tracking in biophysical systems to modeling financial instruments.…
In this study, we develop a stochastic optimal control approach with reinforcement learning structure to learn the unknown parameters appeared in the drift and diffusion terms of the stochastic differential equation. By choosing an…
We consider the problem of minimizing a convex function that is evolving according to unknown and possibly stochastic dynamics, which may depend jointly on time and on the decision variable itself. Such problems abound in the machine…
We consider non-reversible perturbations of reversible diffusions that do not alter the invariant distribution and we ask whether there exists an optimal perturbation such that the rate of convergence to equilibrium is maximized. We solve…
We consider a process given as the solution of a stochastic differential equation with irregular, path dependent and time-inhomogeneous drift coefficient and additive noise. Explicit and optimal bounds for the Lebesgue density of that…
We study the estimation of time-homogeneous drift functions in multivariate stochastic differential equations with known diffusion coefficient, from multiple trajectories observed at high frequency over a fixed time horizon. We formulate…
We consider linear, time-dependent and skew-adjoint perturbations of periodic transport equations on the one-dimensional torus. We describe the long-time behavior of solutions for all non-degenerate perturbations in resonant regime, proving…
The study of optimal control problems under uncertainty plays an important role in scientific numerical simulations. This class of optimization problems is strongly utilized in engineering, biology and finance. In this paper, a stochastic…
In this paper, we investigate the stochastic differential equation on $\mathbb{R}^d,d\geq2$: \begin{align*} \dif X_t&=v(t,X_t)\dif t+\sqrt{2} \dif W_t. \end{align*} For any finite collection of initial probability measures…
We consider a stochastic transportation problem between two prescribed probability distributions (a source and a target) over processes with general drift dependence and with free end times. First, and in order to establish a dual…
The transient growth of disturbances made possible by the non-normality of the linearized Navier-Stokes equations plays an important role in bypass transition for many shear flows. Transient growth is typically quantified by the maximum…
We consider a d-dimensional stochastic differential equation with additive noise and a drift coefficient which is assumed only to be a bounded Borel function. We show that, for almost all choices of the driving Brownian path, the equation…
This paper is concerned with solutions to a one dimensional linear diffusion equation and their relation to some problems in stochastic control theory. A stochastic variational formula is obtained for the logarithm of the solution to the…