SIAMCO
2011
13 years 2 months ago
2011
Abstract. We prove a weak version of the dynamic programming principle for standard stochastic control problems and mixed control-stopping problems, which avoids the technical diļ¬...
SIAMCO
2011
13 years 6 months ago
2011
Given a nominal plant, together with a ļ¬xed neighborhood of this plant, the problem of robust stabilization is to ļ¬nd a controller that stabilizes all plants in that neighborh...
SIAMCO
2011
13 years 6 months ago
2011
In this paper optimal control problems governed by the wave equation with control constraints are analyzed. Three types of control action are considered: distributed control, Neuma...
SIAMCO
2011
13 years 6 months ago
2011
Abstract. We consider switched systems on Banach and Hilbert spaces governed by strongly continuous one-parameter semigroups of linear evolution operators. We provide necessary and...
SIAMCO
2011
13 years 6 months ago
2011
Abstract. A framework is introduced for the identiļ¬cation of controls for single-class timevarying queueing networks that are asymptotically optimal in the so-called uniform acce...
SIAMCO
2011
13 years 6 months ago
2011
We study properties of solutions to fully nonlinear versions of the standard Blackā Scholes partial diļ¬erential equation. These equations have been introduced in ļ¬nancial mat...
SIAMCO
2011
13 years 6 months ago
2011
Let R be a commutative complex Banach algebra with the involution Ā·ā and suppose that A ā RnĆn , B ā RnĆm , C ā RpĆn . The question of when the Riccati equation PBBā ...
SIAMCO
2011
13 years 6 months ago
2011
We consider Bayesian information collection, in which a measurement policy collects information to support a future decision. This framework includes ranking and selection, continu...
SIAMCO
2011
13 years 6 months ago
2011
One shows that the Navier-Stokes equation in OāRd, d = 2, 3, around an unstable equilibrium solution is exponentially stabilizable in probability by an internal noise controller...
SIAMCO
2011
13 years 6 months ago
2011
The choice of admissible trading strategies in mathematical modelling of ļ¬nancial markets is a delicate issue, going back to Harrison and Kreps [HK79]. In the context of optimal...