SIAMCO
2002
13 years 11 months ago
2002
Abstract. We analyze nonlinear cascades in which the driven subsystem is integral input-tostate stable (ISS), and we characterize the admissible integral ISS gains for stability. T...
SIAMCO
2002
13 years 11 months ago
2002
This paper concerns the filtering problem for a class of stochastic nonlinear systems where the drift term may depend either on some external function (open-loop system) or on the ...
SIAMCO
2002
13 years 11 months ago
2002
We consider a market model with one riskfree and one risky asset, in which the dynamics of the risky asset is governed by a geometric Brownian motion. In this market we consider a...
SIAMCO
2002
13 years 11 months ago
2002
An optimal stochastic control problem is considered for systems with unbounded controls satisfying an integral constraint. It is shown that there exists an optimal control within t...
SIAMCO
2002
13 years 11 months ago
2002
This paper deals with linear shift-invariant distributed systems. By this we mean systems described by constant coefficient linear partial differential equations. We define dissipa...
SIAMCO
2002
13 years 11 months ago
2002
A new approach to two-player zero-sum differential games with convex-concave cost function is presented. It employs the tools of convex and variational analysis. A necessary and s...
SIAMCO
2002
13 years 11 months ago
2002
There is a large literature on the rate of convergence problem for general unconstrained stochastic approximations. Typically, one centers the iterate n about the limit point then...