相关论文: Ergodic Risk-sensitive control -- A survey

We consider a class of diffusions controlled through the drift and jump size, and driven by a jump L\'evy process and a nondegenerate Wiener process, and we study infinite horizon (ergodic) risk-sensitive control problem for this model. We…

This paper addresses the problem of computing optimal impedance schedules for legged locomotion tasks involving complex contact interactions. We formulate the problem of impedance regulation as a trade-off between disturbance rejection and…

A view on the physical meaning of the so called ergodic hypothesis: its role on the foundations of equilibrium statistical mechanics in mid '800, its interpretations and hints at its relevance for modern nonequilibrium statistical…

We investigate ergodic theory of Poisson suspensions. In the process, we establish close connections between finite and infinite measure preserving ergodic theory. Poisson suspensions thus provide a new approach to infinite measure…

The importance of feedback control is being increasingly appreciated in quantum physics and applications. This paper describes the use of optimal control methods in the design of quantum feedback control systems, and in particular the paper…

We study the optimal scheduling problem for a Markovian multiclass queueing network with abandonment in the Halfin--Whitt regime, under the long run average (ergodic) risk sensitive cost criterion. The objective is to prove asymptotic…

In this paper, we concern with the ergodic linear-quadratic closed-loop optimal control problems, in which the state equation is the mean-field stochastic differential equation with periodic coefficients. We first study the asymptotic…

In ergodic singular stochastic control problems, a decision-maker can instantaneously adjust the evolution of a state variable using a control of bounded variation, with the goal of minimizing a long-term average cost functional. The cost…

The purpose of this paper is to study the time average behavior of Markov chains with transition probabilities being kernels of completely continuous operators, and therefore to provide a sufficient condition for a class of Markov chains…

In ergodic physical systems, time-averaged quantities converge (for large times) to their ensemble-averaged values. Large deviation theory describes rare events where these time averages differ significantly from the corresponding ensemble…

Financial markets have developed a lot of strategies to control risks induced by market fluctuations. Mathematics has emerged as the leading discipline to address fundamental questions in finance as asset pricing model and hedging…

Since the latest financial crisis, the idea of systemic risk has received considerable interest. In particular, contagion effects arising from cross-holdings between interconnected financial firms have been studied extensively. Drawing…

We introduce a novel framework to account for sensitivity to rewards uncertainty in sequential decision-making problems. While risk-sensitive formulations for Markov decision processes studied so far focus on the distribution of the…

The sensitivity properties of intermittent control are analysed and the conditions for a limit cycle derived theoretically and verified by simulation.

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…

Control science is a core representative of the third industrial revolution and is so important to modern civilization. Control systems are the main subject of control science and may involve many aspects of consideration, such as hardware…

This paper is concerned with a kind of risk-sensitive optimal control problem for fully coupled forward-backward stochastic systems. The control variable enters the diffusion term of the state equation and the control domain is not…

The purpose of this research article is to discover how the econophysics analysis can complement the econometrics models in application to the risk management in the central banks and financial institutions, operating within the nonlinear…

We introduce the concept of a heterodimensional cycle of hyperbolic ergodic measures and a special type of them that we call rich. Within a partially hyperbolic context, we prove that if two measures are related by a rich heterodimensional…

The global estimation problem of the drift function is considered for a large class of ergodic diffusion processes. The unknown drift $S(\cdot)$ is supposed to belong to a nonparametric class of smooth functions of order $k\geq1$, but the…