Results 1 to 10 of about 457,792 (68)
Abstract and Applied Analysis, 2012 In this paper, we study the optimal control problem of a controlled time-symmetric forward-backward doubly stochastic differential equation with initial-terminal sate constraints.
Ji, Shaolin +2 more
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Singularly perturbed forward-backward stochastic differential equations: application to the optimal control of bilinear systems [PDF]
Computation, 2018 We study linear-quadratic stochastic optimal control problems with bilinear state dependence for which the underlying stochastic differential equation (SDE) consists of slow and fast degrees of freedom.
Hartmann, Carsten +2 more
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Optimal control in stochastic thermodynamics
Journal of Physics Communications, 2023 We review recent progress in optimal control in stochastic thermodynamics. Theoretical advances provide in-depth insight into minimum-dissipation control with either full or limited (parametric) control, and spanning the limits from slow to fast driving ...
Steven Blaber, David A Sivak
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Minimal Expected Time in Drawdown through Investment for an Insurance Diffusion Model
Risks, 2021 Consider an insurance company whose surplus is modelled by an arithmetic Brownian motion of not necessarily positive drift. Additionally, the insurer has the possibility to invest in a stock modelled by a geometric Brownian motion independent of the ...
Leonie Violetta Brinker
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Resetting in stochastic optimal control
Physical Review Research, 2023 “When in a difficult situation, it is sometimes better to give up and start all over again.” While this empirical truth has been regularly observed in a wide range of circumstances, quantifying the effectiveness of such a heuristic strategy remains an ...
Benjamin De Bruyne, Francesco Mori
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Stochastic optimal control analysis for the hepatitis B epidemic model
Results in Physics, 2021 Mathematical formulation of a stochastic hepatitis B virus (HBV) model with the application of optimal control and randomly noise transmission has been focused in this paper. For the ease of understanding, the model is divided into four different classes
Peijiang Liu +3 more
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STOCHASTIC OPTIMAL CONTROL OF A TWO-DIMENSIONAL DYNAMICAL SYSTEM [PDF]
Journal of Engineering Science (Chişinău), 2020 In this paper, we considered the problem of optimally controlling a twodimensional dynamical system until it reaches either of two boundaries. We consider a controlled dynamical system (X(t), Y(t)) which is a generalization of the classic twodimensional ...
Lefebvre, Mario
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Computational and Mathematical Biophysics, 2023 This article consists of a detailed and novel stochastic optimal control analysis of a coupled non-linear dynamical system. The state equations are modelled as an additional food-provided prey–predator system with Holling type III functional response for
Prakash Daliparthi Bhanu +1 more
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Stochastic Optimization Theory of Backward Stochastic Differential Equations Driven by G-Brownian Motion [PDF]
, 2013 In this paper, we consider the stochastic optimal control problems under G-expectation. Based on the theory of backward stochastic differential equations driven by G-Brownian motion, which was introduced in [10.11], we can investigate the more general ...
Bi, Xiuchun +2 more
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Partially Observed Non-linear Risk-sensitive Optimal Stopping Control for Non-linear Discrete-time Systems [PDF]
, 2006 In this paper we introduce and solve the partially observed optimal stopping non-linear risk-sensitive stochastic control problem for discrete-time non-linear systems.
Ford, Jason
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