Related papers: Diffusion approximations for controlled stochastic…

This paper discusses the approximate controllability of a fractional differential control problem driven by a nonlinear hemivariational inequality in a Hilbert space. First, we prove the existence of a mild solution for a fractional control…

In this paper, we study the well-posedness and approximate controllability of a class of network systems having delays and controls at the boundary conditions. The particularity of this work is that the network system is defined on infinite…

We consider a long-term optimal investment problem where an investor tries to minimize the probability of falling below a target growth rate. From a mathematical viewpoint, this is a large deviation control problem. This problem will be…

This paper proposes a model predictive controller for discrete-time linear systems with additive, possibly unbounded, stochastic disturbances and subject to chance constraints. By computing a polytopic probabilistic positively invariant set…

This study investigates a stochastic production planning problem with a running cost composed of quadratic production costs and inventory-dependent costs. The objective is to minimize the expected cost until production stops when inventory…

We study the large-time behaviour of Brownian particles moving through a viscous medium in a confined potential, and which are further subjected to position-dependent driving forces that are periodic in time. We focus on the case where…

Encounter-based models of diffusion provide a probabilistic framework for analyzing the effects of a partially absorbing reactive surface, in which the probability of absorption depends upon the amount of surface-particle contact time.…

We consider the problem of making a set of states invariant for a network of controlled systems. We assume that the subsystems, initially uncoupled, must be interconnected through controllers to be designed with a constraint on the data…

This paper considers time-inconsistent problems when control and stopping strategies are required to be made simultaneously (called stopping control problems by us). We first formulate the timeinconsistent stopping control problems under…

In this paper, we equip the conventional discrete-time queueing network with a Markovian input process, that, in addition to the usual short-term stochastics, governs the mid- to long-term behavior of the links between the network nodes.…

This paper considers risk-sensitive model predictive control for stochastic systems with a decision-dependent distribution. This class of systems is commonly found in human-robot interaction scenarios. We derive computationally tractable…

We study an optimal investment control problem for an insurance company. The surplus process follows the Cramer-Lundberg process with perturbation of a Brownian motion. The company can invest its surplus into a risk free asset and a…

Diffusion with stochastic resetting has recently emerged as a powerful modeling tool with a myriad of potential applications. Here, we study local time in this model, covering situations of free and biased diffusion with, and without, the…

This paper presents a Distributed Stochastic Model Predictive Control algorithm for networks of linear systems with multiplicative uncertainties and local chance constraints on the states and control inputs. The chance constraints are…

This paper studies regularity property of the value function for an infinite-horizon discounted cost impulse control problem, where the underlying controlled process is a multidimensional jump diffusion with possibly `infinite-activity'…

Voltage control plays an important role in the operation of electricity distribution networks, especially with high penetration of distributed energy resources. These resources introduce significant and fast varying uncertainties. In this…

This paper studies a 2-class, 2-server parallel server system under the recently introduced extended heavy traffic condition, which states that the underlying 'static allocation' linear program (LP) is critical, but does not require that it…

In this article, we study the existence of insensitizing controls for a nonlinear reaction-diffusion equation with dynamic boundary conditions. Here, we have a partially unknown data of the system, and the problem consists in finding…

We study the Bayesian problems of detecting a change in the drift rate of an observable diffusion process with linear and exponential penalty costs for a detection delay. The optimal times of alarms are found as the first times at which the…

We present a stochastic optimal control problem for a tree network. The dynamics of the network are governed by transport equations with a special emphasis on the non-linear damping function. Demand profiles at the network sinks are…