Related papers: Controlled diffusion processes
A particle filter is introduced to numerically approximate a solution of the global optimization problem. The theoretical significance of this work comes from its variational aspects: (i) the proposed particle filter is a controlled…
A new formulation of the particle filter for nonlinear filtering is presented, based on concepts from optimal control, and from the mean-field game theory. The optimal control is chosen so that the posterior distribution of a particle…
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…
We investigate a control process described by a linear system of ordinary differential equations with a noise of special type acting to the control parameter. As the cost functional the probability of the final state vector to enter to a…
We consider distributed-order non-local fractional optimal control problems with controls taking values on a closed set and prove a strong necessary optimality condition of Pontryagin type. The possibility that admissible controls are…
A solution to the optimal problem for determining vector fields which maximize (resp. minimize) the transition probabilities from one location to another for a class of reflecting diffusion processes is obtained in the present paper. The…
We develop a principled framework for analyzing and designing noise schedules in diffusion models. We show that one can recast this design problem as an optimal control problem, whose state is the Fisher information of the diffusion process…
In this paper we study the stochastic control problem of partially observed (multi-dimensional) stochastic system driven by both Brownian motions and fractional Brownian motions. In the absence of the powerful tool of Girsanov…
We propose a new method for the problem of controlling linear dynamical systems under partial observation and adversarial disturbances. Our new algorithm, Double Spectral Control (DSC), matches the best known regret guarantees while…
We a controlled system driven by a coupled forward-backward stochastic differential equation (FBSDE) with a non degenerate diffusion matrix. The cost functional is defined by the solution of the controlled backward stochastic differential…
Traveling localized spots represent an important class of self-organized two-dimensional patterns in reaction-diffusion systems. We study open-loop control intended to guide a stable spot along a desired trajectory with desired velocity.…
We consider the drift and diffusion properties of periodically driven renewal processes. These processes are defined by a periodically time dependent waiting time distribution, which governs the interval between subsequent events. We show…
Controllable diffusion generation often relies on various heuristics that are seemingly disconnected without a unified understanding. We bridge this gap with Diffusion Controller (DiffCon), a unified control-theoretic view that casts…
Ensemble control offers rich and diverse opportunities in mathematical systems theory. In this paper, we present a new paradigm of ensemble control, referred to as distributional control, for ensemble systems. We shift the focus from…
We consider stochastic impulse control problems where the process is driven by a general one-dimensional diffusion. We shall show a new mathematical characterization of the value function as a linear function in a certain transformed space.…
In this paper, we study the asymptotic of exit problem for controlled Markov diffusion processes with random jumps and vanishing diffusion terms, where the random jumps are introduced in order to modify the evolution of the controlled…
In this paper, we consider the problem of optimizing the worst-case behavior of a partially observed system. All uncontrolled disturbances are modeled as finite-valued uncertain variables. Using the theory of cost distributions, we present…
In this paper, we consider a risk-averse control problem for diffusion processes, in which there is a partition of the admissible control strategy into two decision-making groups (namely, the {\it leader} and {\it follower}) with different…
Reflected diffusions naturally arise in many problems from applications ranging from economics and mathematical biology to queueing theory. In this paper we consider a class of infinite time-horizon singular stochastic control problems for…
In this paper, we consider the problem of controlling a diffusion process pertaining to an opioid epidemic dynamical model with random perturbation so as to prevent it from leaving a given bounded open domain. Here, we assume that the…