Found 1,452 Documents (Results 1–100)
Lower error bounds and optimality of approximation for jump-diffusion SDEs with discontinuous drift. (English) Zbl 07925925
Controlled stochastic systems. (English. Ukrainian original) Zbl 07918610
Cybern. Syst. Anal. 60, No. 4, 525-540 (2024); translation from Kibern. Sist. Anal. 60, No. 4, 19-35 (2024).
Stochastic maximum principle for fully coupled forward-backward stochastic differential equations driven by subdiffusion. (English) Zbl 07916657
Linear-quadratic Pareto cooperative game for mean-field backward stochastic system. (English) Zbl 07903341
Stabilization and optimal control for discrete-time Markov jump linear system with multiplicative noises and input delays: a complete solution. (English) Zbl 07897773
On locally concave functions on simplest nonconvex domains. (English. Russian original) Zbl 1542.42010
J. Math. Sci., New York 282, No. 4, 482-510 (2024); translation from Zap. Nauchn. Semin. POMI 512, 40-87 (2022).
Testing for practically significant dependencies in high dimensions via bootstrapping maxima of \(U\)-statistics. (English) Zbl 1539.62150
Risk-sensitive discounted Markov decision processes with unbounded reward functions and Borel spaces. (English) Zbl 07860051
Optimal and instance-dependent guarantees for Markovian linear stochastic approximation. (English) Zbl 07854615
Optimal control of stochastic delay differential equations and applications to path-dependent financial and economic models. (English) Zbl 07854558
Reviewer: Lisa Morhaim (Paris)
Deterministic optimal control on Riemannian manifolds under probability knowledge of the initial condition. (English) Zbl 1539.49022
Controlling a nonlinear Fokker-Planck equation via inputs with nonlocal action. (English) Zbl 1540.35398
Corrigendum to: “Applications of Strassen’s theorem and Choquet theory to optimal transport problems, to uniformly convex functions and to uniformly smooth functions”. (English) Zbl 07846395
Solutions for Poissonian stopping problems of linear diffusions via extremal processes. (English) Zbl 07842660
Reviewer: Krzysztof J. Szajowski (Wrocław)
Continuity of cost in Borkar control topology and implications on discrete space and time approximations for controlled diffusions under several criteria. (English) Zbl 1536.93989
Simple form control policies for resource sharing networks with HGI performance. (English) Zbl 1534.60126
Randomized Milstein algorithm for approximation of solutions of jump-diffusion SDEs. (English) Zbl 07829102
The relaxed stochastic maximum principle in singular optimal control of jump diffusions. (English) Zbl 1530.49017
Approximate optimal control of fractional impulsive partial stochastic differential inclusions driven by Rosenblatt process. (English) Zbl 1528.49023
On the uniqueness of the optimal control for 2-dimensional second grade fluids. arXiv:2409.00537
Preprint, arXiv:2409.00537 [math.AP] (2024).
Optimal control of Newtonian fluids in a stochastic environment. arXiv:2409.00479
Preprint, arXiv:2409.00479 [math.PR] (2024).
Occasionally Observed Piecewise-deterministic Markov Processes. arXiv:2408.01335
Preprint, arXiv:2408.01335 [math.OC] (2024).
Generalizing Super/Sub MOT using weak \(L^1\) transport. arXiv:2407.13002
Preprint, arXiv:2407.13002 [math.PR] (2024).
A General Maximum Principle for Progressive Optimal Control of Fully Coupled Forward-Backward Stochastic Systems with Jumps. arXiv:2407.04201
Preprint, arXiv:2407.04201 [math.OC] (2024).
Linear-Quadratic Mean Field Stackelberg Stochastic Differential Game with Partial Information and Common Noise. arXiv:2405.03102
Preprint, arXiv:2405.03102 [math.OC] (2024).
Direct Approach of Indefinite Linear-Quadratic Mean Field Games. arXiv:2404.05166
Preprint, arXiv:2404.05166 [math.OC] (2024).
Direct Approach of Linear-Quadratic Stackelberg Mean Field Games of Backward-Forward Stochastic Systems. arXiv:2401.15835
Preprint, arXiv:2401.15835 [math.OC] (2024).
Mean-Field Games with common Poissonian noise: a Maximum Principle approach. arXiv:2401.10952
Preprint, arXiv:2401.10952 [math.OC] (2024).
An overlapping information linear-quadratic Stackelberg stochastic differential game with two leaders and two followers. arXiv:2401.08112
Preprint, arXiv:2401.08112 [math.OC] (2024).
Control theory of stochastic distributed parameter systems: recent progress and open problems. (English) Zbl 1533.93068
Beliaev, Dmitry (ed.) et al., International congress of mathematicians 2022, ICM 2022, Helsinki, Finland, virtual, July 6–14, 2022. Volume 7. Sections 15–20. Berlin: European Mathematical Society (EMS). 5314-5338 (2023).
Identifying stochastic governing equations from data of the most probable transition trajectories. (English) Zbl 1539.37086
Stochastic optimal control for dynamics of forward backward doubly SDEs of mean-field type. (English) Zbl 07805579
\(G\)-stochastic maximum principle for risk-sensitive control problem and its applications. (English) Zbl 1536.49027
The exponential utility optimality for infinite horizon semi-Markov decision processes. (Chinese. English summary) Zbl 1538.90188
Stability of the weak martingale optimal transport problem. (English) Zbl 1532.49041
Reviewer: Alain Brillard (Riedisheim)
Generalized Wasserstein barycenters between probability measures living on different subspaces. (English) Zbl 1538.60002
Time-average stochastic control based on a singular local Lévy model for environmental project planning under habit formation. (English) Zbl 1529.49016
Maximum principle for optimal control of stochastic evolution equations with recursive utilities. (English) Zbl 1530.93545
Linear-quadratic optimal controls for stochastic Volterra integral equations: causal state feedback and path-dependent Riccati equations. (English) Zbl 1520.93617
First-order Pontryagin maximum principle for risk-averse stochastic optimal control problems. (English) Zbl 1539.93198
Stochastic \(H_2/H_{\infty}\) control for mean-field stochastic differential systems with \((x, u, v)\)-dependent noise. (English) Zbl 1518.49022
Stochastic Fokker-Planck equations for conditional McKean-Vlasov jump diffusions and applications to optimal control. (English) Zbl 1517.60109
Averaged turnpike property for differential equations with random constant coefficients. (English) Zbl 1529.60040
Reviewer: Toader Morozan (Bucureşti)
Existence and uniqueness for variational data assimilation in continuous time. (English) Zbl 1516.49018
Applications of Strassen’s theorem and Choquet theory to optimal transport problems, to uniformly convex functions and to uniformly smooth functions. (English) Zbl 1525.46004
Nonlinear Anal., Theory Methods Appl., Ser. A, Theory Methods 232, Article ID 113267, 32 p. (2023); corrigendum ibid. 244, Article ID 113542, 5 p. (2024).
Reviewer: Ioan Raşa (Cluj-Napoca)
Dynamic programming principle for classical and singular stochastic control with discretionary stopping. (English) Zbl 1512.49029
Entropy martingale optimal transport and nonlinear pricing-hedging duality. (English) Zbl 1512.91141
Reviewer: Pavel Stoynov (Sofia)
On optimal linear regulator with polynomial process of external excitations. (English. Russian original) Zbl 1511.93053
Theory Probab. Appl. 67, No. 4, 535-547 (2023); translation from Teor. Veroyatn. Primen. 67, No. 4, 535-547 (2022).
Near-optimal control of a stochastic partial differential equation SEIR epidemic model under economic constraints. (English) Zbl 1507.92124
Intervene in advance or passively? Analysis and application on congestion control of smart grid. (English) Zbl 1506.60072
Mean field portfolio games. (English) Zbl 1505.91059
Stochastic collocation method for stochastic optimal boundary control of the Navier-Stokes equations. (English) Zbl 1502.65229
Optimal controls of stochastic differential equations with jumps and random coefficients: stochastic Hamilton-Jacobi-Bellman equations with jumps. (English) Zbl 1501.49018
Controlled Diffusions under Full, Partial and Decentralized Information: Existence of Optimal Policies and Discrete-Time Approximations. arXiv:2311.03254
Preprint, arXiv:2311.03254 [math.OC] (2023).
Mean field theory for a general class of short-range interaction functionals. arXiv:2310.16488
Preprint, arXiv:2310.16488 [math-ph] (2023).
Stochastic optimal control in Hilbert spaces: \(C^{1,1}\) regularity of the value function and optimal synthesis via viscosity solutions. arXiv:2310.03181
Preprint, arXiv:2310.03181 [math.OC] (2023).
Optimal control of stochastic delay differential equations: Optimal feedback controls. arXiv:2309.05029
Preprint, arXiv:2309.05029 [math.OC] (2023).
Optimal Liquidation with Conditions on Minimum Price. arXiv:2308.02276
Preprint, arXiv:2308.02276 [math.PR] (2023).
Optimal control of third grade fluids with multiplicative noise. arXiv:2306.13231
Preprint, arXiv:2306.13231 [math.OC] (2023).
The isoperimetric problem for convex hulls and the large deviations rate functionals of random walks. arXiv:2306.12359
Preprint, arXiv:2306.12359 [math.PR] (2023).
A BSDE approach to the asymmetric risk-sensitive optimization and its applications. arXiv:2305.09430
Preprint, arXiv:2305.09430 [math.OC] (2023).
Mean Field Type Control Problems, Some Hilbert-space-valued FBSDEs, and Related Equations. arXiv:2305.04019
Preprint, arXiv:2305.04019 [math.OC] (2023).
Solution to forward-backward stochastic differential equations with random coefficients and application to deterministic optimal control. (English) Zbl 07742184
Mixed social optima and Nash equilibrium in linear-quadratic-Gaussian mean-field system. (English) Zbl 1541.93387
On optimal uniform approximation of Lévy processes on Banach spaces with finite variation processes. (English) Zbl 1523.60087
A numerical method for solving stochastic linear quadratic problem with a finance application. (English) Zbl 1538.65007
An optimal control problem for a linear SPDE driven by a multiplicative multifractional Brownian motion. (English) Zbl 1514.60075
Reviewer: Nikos Kavallaris (Karlstad)
Stability estimation of some Markov controlled processes. (English) Zbl 1506.49017
Reviewer: Sam Olesker-Taylor (Coventry)
Sup-norm adaptive drift estimation for multivariate nonreversible diffusions. (English) Zbl 1539.62253
Inverse problem for stochastic differential equations on Hilbert spaces driven by Lévy processes. (English) Zbl 1504.49054
Dynamic optimal mean-variance portfolio selection with stochastic volatility and stochastic interest rate. (English) Zbl 1505.91356
Optimal continuous-singular control of stochastic McKean-Vlasov system in Wasserstein space of probability measures. (English) Zbl 1502.49020
Some multidimensional stochastic models of inventory control with a separable cost function. (English. Ukrainian original) Zbl 1503.90009
Cybern. Syst. Anal. 58, No. 4, 523-529 (2022); translation from Kibern. Sist. Anal. 58, No. 4, 38-45 (2022).
Optimization of stochastic jump diffusion systems nonlinear in the control. (English. Russian original) Zbl 1501.93163
Autom. Remote Control 83, No. 9, 1433-1451 (2022); translation from Avtom. Telemekh. 2022, No. 9, 128-149 (2022).
Optimal redundancy allocation in coherent systems with heterogeneous dependent components. (English) Zbl 1502.90061
Linear-quadratic optimal control problems for mean-field stochastic differential equation with Lévy process. (English) Zbl 1524.49064
Near optimality of stochastic control for singularly perturbed McKean-Vlasov systems. (English) Zbl 1500.93147
Inverse problem for nonlinear stochastic systems and necessary conditions for optimal choice of drift and diffusion vector fields. (English) Zbl 1513.49079
Maximum principle for optimal control of SPDEs with locally monotone coefficients. (English) Zbl 1500.93143
Optimal retirement under partial information. (English) Zbl 1509.60098
Reviewer: Krzysztof J. Szajowski (Wrocław)
Singular controls in quasilinear stochastic Goursat-Darboux systems. (Russian. English summary) Zbl 1503.49024
Reviewer: Yuliya S. Mishura (Kyïv)
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