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

Diffusion Policy has shown great performance in robotic manipulation tasks under stochastic perturbations, due to its ability to model multimodal action distributions. Nonetheless, its reliance on a computationally expensive reverse-time…

We solve optimal stopping problems for an oscillating Brownian motion, i.e. a diffusion with positive piecewise constant volatility changing at the point $x=0$. Let $\sigma_1$ and $\sigma_2$ denote the volatilities on the negative and…

We extend a generalized integral fluctuation relation in diffusion processes that we obtained previously to the situation with feedback control. The general relation not only covers existing results but also predicts other unnoticed…

This paper studies a diffusion model that arises as the limit of a queueing system scheduling problem in the asymptotic heavy traffic regime of Halfin and Whitt. The queueing system consists of several customer classes and many servers…

This article studies the joint problem of uplink-downlink scheduling and power allocation for controlling a large number of actuators that upload their states to remote controllers and download control actions over wireless links. To…

Dunkl processes are generalizations of Brownian motion obtained by using the differential-difference operators known as Dunkl operators as a replacement of spatial partial derivatives in the heat equation. Special cases of these processes…

Barrier crossing is a widespread phenomenon across natural and engineering systems. While an abundant cross-disciplinary literature on the topic has emerged over the years, the stochastic underpinnings of the process are yet to be linked…

We consider a general class of dynamic resource allocation problems within a stochastic optimal control framework. This class of problems arises in a wide variety of applications, each of which intrinsically involves resources of different…

Drifting is a complicated task for autonomous vehicle control. Most traditional methods in this area are based on motion equations derived by the understanding of vehicle dynamics, which is difficult to be modeled precisely. We propose a…

We presented a methodology to approximate the entropy production for Brownian motion in a tilted periodic potential. The approximation stems from the well known thermodynamic uncertainty relation. By applying a virial-like expansion, we…

In the paper "On Truncated Variation of Brownian Motion with Drift" (Bull. Pol. Acad. Sci. Math. 56 (2008), no.4, 267 - 281) we defined truncated variation of Brownian motion with drift, $W_t = B_t + \mu t, t\geq 0,$ where $(B_t)$ is a…

We consider a mean-field optimal control problem for stochastic differential equations with delay driven by fractional Brownian motion with Hurst parameter greater than one half. Stochastic optimal control problems driven by fractional…

Circular Dyson Brownian motion describes the Brownian dynamics of particles on a circle (periodic boundary conditions), interacting through a logarithmic, long-range two-body potential. Within the log-gas picture of random matrix theory, it…

Zuckermann [10] considers the problem of optimal control of a finite dam assuming that the input process is Wiener with positive drift term \mu \geq 0. Lam and Lou [7] treat the case where the input is a Wiener process with a reflecting…

We have realized real-time steering of the directed transport in a Brownian motor based on cold atoms in optical lattices, and demonstrate drifts along pre-designed paths. The transport is induced by spatiotemporal asymmetries in the…

We consider a singular control problem that aims to maximize the expected cumulative rewards, where the instantaneous returns depend on the state of a controlled process. The contributions of this paper are twofold. Firstly, to establish…

Data stream mining extracts information from large quantities of data flowing fast and continuously (data streams). They are usually affected by changes in the data distribution, giving rise to a phenomenon referred to as concept drift.…

In this paper we resolve an open problem proposed by Lai, Poor, Xin, and Georgiadis (2011, IEEE Transactions on Information Theory). Consider a sequence of Brownian Motions with unknown drift equal to one or zero, which we may be observed…

We consider, through PDE methods, branching Brownian motion with drift and absorption. It is well know that there exists a critical drift which separates those processes which die out almost surely and those which survive with positive…

We consider a diffusion process $X$ in a random potential $\V$ of the form $\V_x = \S_x -\delta x$ where $\delta$ is a positive drift and $\S$ is a strictly stable process of index $\alpha\in (1,2)$ with positive jumps. Then the diffusion…