Related papers: Analytical Approach to Continuous-Time Causal Opti…
We consider the fundamental problem of sampling the optimal transport coupling between given source and target distributions. In certain cases, the optimal transport plan takes the form of a one-to-one mapping from the source support to the…
We tackle a nonlinear optimal control problem for a stochastic differential equation in Euclidean space and its state-linear counterpart for the Fokker-Planck-Kolmogorov equation in the space of probabilities. Our approach is founded on a…
In this work, we study the real-time tracking and reconstruction of an information source with the purpose of actuation. A device monitors the state of the information source and transmits status updates to a receiver over a wireless…
This paper presents a new condition for the existence of optimal stationary policies in average-cost continuous-time Markov decision processes with unbounded cost and transition rates, arising from controlled queueing systems. This…
A continuous-time Markowitz's mean-variance portfolio selection problem is studied in a market with one stock, one bond, and proportional transaction costs. This is a singular stochastic control problem,inherently in a finite time horizon.…
We develop a model-free approach to optimally control stochastic, Markovian systems subject to a reach-avoid constraint. Specifically, the state trajectory must remain within a safe set while reaching a target set within a finite time…
We introduce and study a multi-marginal optimal partial transport problem. Under a natural and sharp condition on the dominating marginals, we establish uniqueness of the optimal plan. Our strategy of proof establishes and exploits a…
We consider a class of exit time stochastic control problems for diffusion processes with discounted criterion, where the controller can utilize a given amount of resource, called "fuel". In contrast to the vast majority of existing…
We study optimal control problems in infinite horizon when the dynamics belong to a specific class of piecewise deterministic Markov processes constrained to star-shaped networks (inspired by traffic models). We adapt the results in [H. M.…
We study a finite-dimensional continuous-time optimal control problem on finite horizon for a controlled diffusion driven by Brownian motion, in the linear-quadratic case. We admit stochastic coefficients, possibly depending on an…
This paper is addressed to studying the exact controllability for stochastic transport equations by two controls: one is a boundary control imposed on the drift term and the other is an internal control imposed on the diffusion term. By…
An optimal control problem driven by an ordinary differential equation under continuous state constraints is considered in this study. From an operational point of view, we introduce a discrete state constraints optimal control problem and…
This paper studies continuous-time Markov decision processes under the risk-sensitive average cost criterion. The state space is a finite set, the action space is a Borel space, the cost and transition rates are bounded, and the…
We first show that the discounted cost, cost up to an exit time, and ergodic cost involving controlled non-degenerate diffusions are continuous on the space of stationary control policies when the policies are given a topology introduced by…
The convex analytic method has proved to be a very versatile method for the study of infinite horizon average cost optimal stochastic control problems. In this paper, we revisit the convex analytic method and make three primary…
As is well known, average-cost optimality inequalities imply the existence of stationary optimal policies for Markov Decision Processes with average costs per unit time, and these inequalities hold under broad natural conditions. This paper…
This paper is devoted to an optimal control problem of fully coupled forward-backward stochastic differential equations driven by sub-diffusion, whose solutions are not Markov processes. The stochastic maximum principle is obtained, where…
We present a theory of frequency-dependent counting statistics of electron transport through nanostructures within the framework of Markovian quantum master equations. Our method allows the calculation of finite-frequency current cumulants…
In this paper we study continuous-time stochastic control problems with both monotone and classical controls motivated by the so-called public good contribution problem. That is the problem of n economic agents aiming to maximize their…
We study a stochastic control problem for continuous multidimensional martingales with fixed quadratic variation. In a radially symmetric environment, we are able to find an explicit solution to the control problem and find an optimal…