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    SIAMCO
    2008
    72views more  SIAMCO 2008»
    Mesh Independence of Kleinman--Newton Iterations for Riccati Equations in Hilbert Space
    14 years 11 days ago
    Mesh Independence of Kleinman--Newton Iterations for Riccati Equations in Hilbert Space
    Download  www.math.vt.edu
    In this paper we consider the convergence of the infinite dimensional version of the Kleinman
    John A. Burns, Ekkehard W. Sachs, Lizette Zietsman
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    SIAMCO
    2008
    116views more  SIAMCO 2008»
    Optimal Reflection of Diffusions and Barrier Options Pricing under Constraints
    14 years 11 days ago
    Optimal Reflection of Diffusions and Barrier Options Pricing under Constraints
    Download  www.ceremade.dauphine.fr
    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...
    Bruno Bouchard
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    SIAMCO
    2008
    73views more  SIAMCO 2008»
    On the Optimal Stochastic Impulse Control of Linear Diffusions
    14 years 11 days ago
    On the Optimal Stochastic Impulse Control of Linear Diffusions
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    Luis H. R. Alvarez, Jukka Lempa
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    SIAMCO
    2008
    60views more  SIAMCO 2008»
    An Inverse Problem for a Parabolic Variational Inequality with an Integro-Differential Operator
    14 years 11 days ago
    An Inverse Problem for a Parabolic Variational Inequality with an Integro-Differential Operator
    Download  www.ann.jussieu.fr
    We consider the calibration of a L
    Yves Achdou
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    SIAMCO
    2008
    93views more  SIAMCO 2008»
    Dissipative Boundary Conditions for One-Dimensional Nonlinear Hyperbolic Systems
    14 years 11 days ago
    Dissipative Boundary Conditions for One-Dimensional Nonlinear Hyperbolic Systems
    Download  www.ann.jussieu.fr
    We give a new sufficient condition on the boundary conditions for the exponential stability of one-dimensional nonlinear hyperbolic systems on a bounded interval. Our proof relies ...
    Jean-Michel Coron, Georges Bastin, Brigitte d'Andr...
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    SIAMCO
    2008
    121views more  SIAMCO 2008»
    Numerical Verification of Optimality Conditions
    14 years 11 days ago
    Numerical Verification of Optimality Conditions
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    A class of optimal control problem for a semilinear elliptic partial differential equation with control constraints is considered. It is well known that sufficient second-order con...
    Arnd Rösch, Daniel Wachsmuth
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