相关论文: Drift rate control of a Brownian processing system

This paper focuses on rate-limited control of the generalized Ornstein-Uhlenbeck process where the control action can be either multiplicative or additive, and the noise variance can depend on the control action. We derive a lower bound on…

We study the problem of optimal dividend payout from a surplus process governed by Brownian motion with drift under the additional constraint of ratcheting, i.e. the dividend rate can never decrease. We solve the resulting two-dimensional…

The paper studies approximations and control of a processor sharing (PS) server where the service rate depends on the number of jobs occupying the server. The control of such a system is implemented by imposing a limit on the number of jobs…

We consider the estimation of the drift and the level sets of the stationary distri- bution of a Brownian motion with drift, reflected in the boundary of a compact set $S\subset R^d$ , departing from the observation of a trajectory of this…

In systems possessing a spatial or dynamical symmetry breaking thermal Brownian motion combined with unbiased, non-equilibrium noise gives rise to a channelling of chance that can be used to exercise control over systems at the micro- and…

Sticky Brownian motion is the simplest example of a diffusion process that can spend finite time both in the interior of a domain and on its boundary. It arises in various applications such as in biology, materials science, and finance.…

We address the problem of minimizing the expected first-passage time of a Brownian motion with Poissonian resetting, with respect to the resetting rate $r.$ We consider both the one-boundary and the two-boundary cases.We investigate the…

This paper establishes conditions for optimality of an $(s,S)$ ordering policy for the minimization of the long-term average cost of one-dimensional diffusion inventory models. The class of such models under consideration have general drift…

In this work, we focus on the behavior of a single passive Brownian particle in a suspension of passive particles with short-range repulsive interactions and a larger self-diffusion coefficient. While the forces affecting the…

We study the maximum likelihood estimator of the drift parameters of a stochastic differential equation, with both drift and diffusion coefficients constant on the positive and negative axis, yet discontinuous at zero. This threshold…

This paper studies the intermediate time behaviour of a small random perturbation of a periodic cellular flow. Our main result shows that on time scales shorter than the diffusive time scale, the limiting behaviour of trajectories that…

In this work we study drawdowns and drawups of general diffusion processes. The drawdown process is defined as the current drop of the process from its running maximum, while the drawup process is defined as the current increase over its…

We study exclusion processes on the integer lattice in which particles change their velocities due to stickiness. Specifically, whenever two or more particles occupy adjacent sites, they stick together for an extended period of time, and…

We study the asymptotic relations between certain singular and constrained control problems for one-dimensional diffusions with both discounted and ergodic objectives. By constrained control problems we mean that controlling is allowed only…

We study the optimal control of mean-field systems with heterogeneous and asymmetric interactions. This leads to considering a family of controlled Brownian diffusion processes with dynamics depending on the whole collection of marginal…

We address the variational formulation of the risk-sensitive reward problem for non-degenerate diffusions on $\mathbb{R}^d$ controlled through the drift. We establish a variational formula on the whole space and also show that the…

We prove convergence of the proximal policy gradient method for a class of constrained stochastic control problems with control in both the drift and diffusion of the state process. The problem requires either the running or terminal cost…

We discuss equivalent formulations of the control of conditional processes introduced by Lions. In this problem, a controlled diffusion process is killed once it hits the boundary of a given domain and the controller's reward is computed…

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…

The strategy of stochastic resetting is known to expedite the first passage to a target, in diffusive systems. Consequently, the mean first passage time is minimized at an optimal resetting parameter. With Poisson resetting, vanishing…