We consider stochastic impulse control problems where the process is driven by one-dimensional diffusions. Impulse control problems are widely applied to financial engineering and...
We introduce a new class of control problems in which the gain depends on the solution of a stochastic differential equation reflected at the boundary of a bounded domain, along d...
In this paper we propose and analyze a Stochastic-Collocation method to solve elliptic Partial Differential Equations with random coefficients and forcing terms (input data of the...
Abstract. In this paper, we study the problem of controlling the expected exit time from a region for a class of stochastic hybrid systems. That is, we find the least costly feedb...
Evolutionary Algorithms (EAs) have been largely applied to optimisation and synthesis of controllers. In spite of several successful applications and competitive solutions, the st...