[PDF] Top 20 A GUARANTEED CONTROL PROBLEM FOR A LINEAR STOCHASTIC DIFFERENTIAL EQUATION

... A problem of guaranteed closed-loop control under incomplete information is considered for a linear stochastic differential equation (SDE) from the viewpoint of the method ... See full document

... for stochastic systems, which means the optimal preview controller of the original stochastic system is ...the stochastic augmented error system, the conclusion in the infinite horizon cannot be ... See full document

... In this paper, the mathematical formulation for a quadratic optimal control problem governed by a linear hyperbolic integro-differential equation is established. We first show the existence and ... See full document

... The Linear Quadratic (LQ) problem was mathematically formulated and solved, as well as the filtering one, in the s by Kalman ...state control and the optimal cost value through the Riccati ... See full document

... adjoint equation of the time-delayed BSDE via duality relation is an anticipated ...optimal control process can be solved by the obtained optimal terminal ...the stochastic delayed linear ... See full document

... ing problem, in particular in the setting of power plant ...related equation was solved by Hu and Tang [14] using the penalty method, and by Hamad`ene and Zhang [13] using the iterated optimal stopping time ... See full document

... discrete-time control problem, it is better to compare the above stochastic feedback control with the deterministic feedback ...multi-dimensional linear system x(t) = ˙ ...feedback ... See full document

... non-linear stochastic ordi- nary differential equation model was used to simu- late malaria transmission in Mpumalanga and Maputo so that Individual-Based Modelling techniques may be used to ... See full document

... It has been recognized for some time that the demand for some items may be proportional to the inventory on display. Baker and Urban [1] argued that the demand rate of an item is of a polynomial functional form, ... See full document

... for stochastic LQ problems (Sun and Yong ...for stochastic LQ problem on finite time ...forward-backward stochastic differential equation (FBSDE, for short), and the closed-loop ... See full document

... optimization problem with ...Cox-Ingersoll-Ross stochastic volatility ...by stochastic delay differential ...a linear combina- tion of the terminal wealth and the average ... See full document

... the guaranteed cost control problem for differ- ential repetitive processes in the presence of norm-bounded un- certainty has been ...performance control problems where performance is measured ... See full document

... mean-field linear-quadratic (LQ) games with major and minor agents in a backward-forward ...LQ problem by minimizing the initial ...ward stochastic differential equation (BSDE) while ... See full document

... type stochastic control problem where the dynamics is governed by a forward and backward stochastic differential equation (SDE) driven by Lévy processes and the information ... See full document

... The modified Adomian decomposition method (MADM) provides a scheme that can be used for solving initial value problems or integral equations. This method solves any problem by finding successive approximations to ... See full document

... This problem looks very similar to the problem stated and solved in Cvitanic and Karatzas [2] , but there is some differences between them, although the value function is as same as that we ... See full document

... Involving the constants of integration. The integration constants involved in the solution of homo- geneous equation (5.4) are to be determined by the initial or boundary condition, since the problem is an ... See full document

... Saeid Moloudzadeh was born in the Naghadeh-Iran in 1976. He re- ceived B.Sc degree in mathematics and M.Sc degree in applied mathe- matics from Payam-e-Noor Univer- sity of Naghadeh, science and re- search Branch, IAU to ... See full document

... perturbed stochastic Volterra Equations with noise terms driven by series of inde- pendent scalar Wiener processes are ...perturbed stochastic Volterra Equations of convolution type are ... See full document

... This paper investigates the optimal portfolio selection for insurers with stochastic liabilities. The model considers characteristics of the insurers balance sheet and the de- pendence on control variables ... See full document