Bounded Variation Control of Itô Diffusions with Exogenously Restricted Intervention Times

Exit times of Diffusions with Incompressible Drifts

Abstract. Let Ω ⊂ R be a bounded domain and for x ∈ Ω let τ(x) be the expected exit time from Ω of a diffusing particle starting at x and advected by an incompressible flow u. We are interested in the question which flows maximize ‖τ‖L∞(Ω), that is, they are most efficient in the creation of hotspots inside Ω. Surprisingly, among all simply connected domains in two dimensions, the discs are the...

p-Lambda-bounded variation

A characteriation of continuity of the $p$-$Lambda$-variation function is given and the Helly's selection principle for $Lambda BV^{(p)}$ functions is established. A characterization of the inclusion of Waterman-Shiba classes into classes of functions with given integral modulus of continuity is given. A useful estimate on modulus of variation of functions of class $Lambda BV^{(p)}$ is found.

Exit Times of Diffusions with Incompressible Drift

Abstract. Let Ω ⊂ R be a bounded domain and for x ∈ Ω let τ(x) be the expected exit time from Ω of a diffusing particle starting at x and advected by an incompressible flow u. We are interested in the question which flows maximize ‖τ‖L∞(Ω), that is, they are most efficient in the creation of hotspots inside Ω. Surprisingly, among all simply connected domains in two dimensions, the discs are the...

Some Control Problems with Random Intervention Times

We consider the problem of optimally tracking a Brownian motion by a sequence of impulse controls, in such a way to minimize the total expected cost that consists of a quadratic deviation cost and a proportional control cost. The main feature of our model is that the control can only be exerted at the arrival times of an exogenous uncontrolled Poisson process (signal). In other words, the set o...

On first range times of linear diffusions