Related papers: Controlled diffusion processes
The smoothing distribution is the conditional distribution of the diffusion process in the space of trajectories given noisy observations made continuously in time. It is generally difficult to sample from this distribution. We use the…
We consider a classical stochastic control problem in which a diffusion process is controlled by a withdrawal process up to a termination time. The objective is to maximize the expected discounted value of the withdrawals until the…
This paper deals with the optimal control of systems governed by nonlinear systems of conservation laws at junctions. The applications considered range from gas compressors in pipelines to open channels management. The existence of an…
This paper studies an optimal control problem related to membrane filtration processes. A simple mathematical model of membrane fouling is used to capture the dynamic behavior of the filtration process which consists in the attachment of…
We prove the dynamic programming principle for a class of diffusion processes controlled up to the time of exit from a cylindrical region $[0,T)\times G$. It is assumed that the functional to be maximized is in the Lagrange form with…
Guidance is a cornerstone of modern diffusion models, playing a pivotal role in conditional generation and enhancing the quality of unconditional samples. However, current approaches to guidance scheduling--determining the appropriate…
We present a novel particle filtering framework for continuous-time dynamical systems with continuous-time measurements. Our approach is based on the duality between estimation and optimal control, which allows reformulating the estimation…
In this paper, we obtain the maximum principle for optimal controls of stochastic systems with jumps by introducing a new method of variation. The control is allowed to enter both diffusion and jump term and the control domain need not to…
We consider optimal control problems for diffusion processes, where the objective functional is defined by a time-consistent dynamic risk measure. We focus on coherent risk measures defined by $g$-evaluations. For such problems, we…
This paper studies the dynamic programming principle using the measurable selection method for stochastic control of continuous processes. The novelty of this work is to incorporate intermediate expectation constraints on the canonical…
Simulating the conditioned dynamics of diffusion processes, given their initial and terminal states, is an important but challenging problem in the sciences. The difficulty is particularly pronounced for rare events, for which the…
Reaction-diffusion systems offer a powerful framework for understanding self-organized patterns in biological systems, yet controlling these patterns remains a significant challenge. As a consequence, we present a rigorous framework of…
This paper presents a systematic approach to the advanced control of continuous crystallization processes using model predictive control. We provide a tutorial introduction to controlling complex particle size distributions by integrating…
The optimal control of epidemic-like stochastic processes is important both historically and for emerging applications today, where it can be especially important to include time-varying parameters that impact viral epidemic-like…
In this paper, we consider the stochastic optimal control problem for the interacting particle system. We obtain the stochastic maximum principle of the optimal control system by introducing a generalized backward stochastic differential…
We consider a controlled-diffusion process pertaining to a chain of distributed systems with random perturbations that satisfies a weak H\"ormander type condition. In particular, we consider a stochastic control problem with the following…
The focus of this article is studying an optimal control problem for branching diffusion processes. Initially, we introduce the problem in its strong formulation and expand it to include linearly growing drifts. Then, we present a relaxed…
We prove maximum principles for the problem of optimal control for a jump diffusion with infinite horizon and partial information. The results are applied to partial information optimal consumption and portfolio problems in infinite…
The article is devoted to the problem of applying the maximum principle for finding optimal control parameters in simulation tasks of interest for a variety of engineering and industrial systems and processes. Especially important is the…
Microfluidics, the study of fluids in microscopic channels, has led to important advances in fields as diverse as microelectronics, biotechnology and chemistry. Microfluidic research is primarily based on the use of microfluidic chips,…