Related papers: Diffusion approximations for controlled stochastic…

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…

In the classical quickest detection problem, one must detect as quickly as possible when a Brownian motion without drift "changes" into a Brownian motion with positive drift. The change occurs at an unknown "disorder" time with exponential…

This paper investigates the robustness of stochastic optimal control for controlled regime switching diffusions. We consider systems driven by both continuous fluctuations and discrete regime changes, allowing for model misspecification in…

We study a controlled version of the Bayesian sequential testing problem for the drift of a Wiener process, in which the observer exercises discretion over the signal intensity. This control incurs a running cost that reflects the resource…

We study optimal investment problem for a diffusion market consisting of a finite number of risky assets (for example, bonds, stocks and options). Risky assets evolution is described by Ito's equation, and the number of risky assets can be…

We consider open multi-class queueing networks with general arrival processes, general processing time sequences and Bernoulli routing. The network is assumed to be operating under an arbitrary work-conserving scheduling policy that makes…

This paper is concerned with a discounted stochastic optimal control problem for regime switching diffusion in an infinite horizon. First, as a preliminary with particular interests in its own right, the global well-posedness of infinite…

The purpose of this article is to study a stochastic control problem on a junction, with control at the junction point. The problem of control is formulated in the weak sense, using a relaxed control, namely a control which takes values in…

Many important complex networks, including critical infrastructure and emerging industrial automation systems, are becoming increasingly intricate webs of interacting feedback control loops. A fundamental concern is to quantify the control…

We consider the problem of minimizing the asymptotic exit rate with which the controlled-diffusion process of a stochastically perturbed multi-channel dynamical system exits from a given bounded open domain. In particular, for a class of…

We provide an overview on how to use the measurable selection techniques to derive the dynamic programming principle for a general stochastic optimal control/stopping problem. By considering its martingale problem formulation on the…

We introduce a methodology for efficiently computing a lower bound to empowerment, allowing it to be used as an unsupervised cost function for policy learning in real-time control. Empowerment, being the channel capacity between actions and…

In this paper, a stochastic control problem under model uncertainty with general penalty term is studied. Two types of penalties are considered. The first one is of type f-divergence penalty treated in the general framework of a continuous…

We consider a data-driven formulation of the classical discrete-time stochastic control problem. Our approach exploits the natural structure of many such problems, in which significant portions of the system are uncontrolled. Employing the…

We consider a control problem where the state must reach asymptotically a target while paying an integral payoff with a non-negative Lagrangian. The dynamics is just continuous, and no assumptions are made on the zero level set of the…

The weak noise limit of dissipative dynamical systems is often the most fascinating one. In such a case fluctuations can interact with a rich complexity frequently hidden in deterministic systems to give rise of completely new phenomena…

We consider an arbitrary network of $M/M/\infty$ queues with controlled transitions between queues. We consider optimal control problems where the costs are linear functions of the state and inputs over a finite or infinite horizon. We…

This paper investigates the near optimal control for a kind of linear stochastic control systems governed by the forward backward stochastic differential equations, where both the drift and diffusion terms are allowed to depend on controls…

We consider a class of optimal control problems, with finite or infinite horizon, for a continuous-time Markov chain with finite state space. In this case, the control process affects the transition rates. We suppose that the controlled…

For a class of Bellman equations in bounded domains we prove that sub- and supersolutions whose growth at the boundary is suitably controlled must be constant. The ellipticity of the operator is assumed to degenerate at the boundary and a…