摘要:

The aim of this paper is to combine two ways for representing uncertainty through stochastic differential inclusions:a “stochastic uncertainty”, driven by a Wiener process, and a “contingent uncertainty”, driven by a set-valued map, as well as to consider stochastic control problems with continuous dynamir and st.ate dependent controls.

ISSN:0736-2994    

DOI:10.1080/07362999808809512

出版商:Marcel Dekker, Inc.    

年代:1998

数据来源: Taylor

摘要:

This paper deals with output regulation and stabilization of nonlinear control stochastic systems using Lyapunov-based methods. Sufficient conditions for global output regulation and stabilization using locally bounded state feedback are obtained. The approach used here is motivated by the work of Zhang and Hirschorn [9] in the deterministic case, that we generalize when the equation is corrupted by a multiplicative noise

ISSN:0736-2994    

DOI:10.1080/07362999808809513

出版商:Marcel Dekker, Inc.    

年代:1998

数据来源: Taylor

摘要:

Consider the stochastic differential equationwith initial conditionX(0) (B(t) the standard Brownian motion), where the functionsare analytic with the global Lipschitz constantLderive an algorithm to transform the non-linear equation into a system of linear stochastic differential equations that can be solved recursively.

ISSN:0736-2994    

DOI:10.1080/07362999808809514

出版商:Marcel Dekker, Inc.    

年代:1998

数据来源: Taylor

摘要:

In this paper, we provide a formula for a stabilizing feedback law for control stochastic differential equations. This result extends Jurdjevic-Quinn's theorem to nonlinear control systems corrupted by noise

ISSN:0736-2994    

DOI:10.1080/07362999808809515

出版商:Marcel Dekker, Inc.    

年代:1998

数据来源: Taylor

摘要:

In this paper we develop a criterion for decision making when the process being observed is a Markov chain having fuzzy states. That is, due to imprecision in the data and/or the reporting mechanism, the decision maker is not certain of the current state of the process. An application to the problem of policy selection illustrates this approach to decision making

ISSN:0736-2994    

DOI:10.1080/07362999808809516

出版商:Marcel Dekker, Inc.    

年代:1998

数据来源: Taylor

摘要:

By means of the local time method and the monotone iterative technique, we construct the minimal and maximal solutions of onedimensional Itô stochastic differential equations which have discontinuous and degenerate coefficients

ISSN:0736-2994    

DOI:10.1080/07362999808809517

出版商:Marcel Dekker, Inc.    

年代:1998

数据来源: Taylor

摘要:

A finite state Markov random field on a lattice is noisily observed via a second finite state process. The problem of estimating the most likely signal given the observations is treated in a relaxed form by introducing probabilities over the possible signals

ISSN:0736-2994    

DOI:10.1080/07362999808809518

出版商:Marcel Dekker, Inc.    

年代:1998

数据来源: Taylor

摘要:

We have studied two person stochastic differential games with multiple modes. For the zero-sum game we have established the existence of optimal strategies for both players. For the non zerosum case we have proved the existence of a Nash equilibrium

ISSN:0736-2994    

DOI:10.1080/07362999808809519

出版商:Marcel Dekker, Inc.    

年代:1998

数据来源: Taylor

摘要:

In this paper we obtain maximum principle for a stochastic control problem with restrictions. We employ a minimizing sequence approach due to Sumin [1] which uses Ekeland's variational principle [2] to establish a separation theorem that is the basis of the maximum principle. If the inflmum of the cost is not attained it is shown that corresponding to any minimizing sequence there is a sequence of an accompanying set of optimality conditions

ISSN:0736-2994    

DOI:10.1080/07362999808809520

出版商:Marcel Dekker, Inc.    

年代:1998

数据来源: Taylor

摘要:

We give anLpstability result for the random matrix solutionZnofwhere ønis an unbounded regressor having a Markovian representation

ISSN:0736-2994    

DOI:10.1080/07362999808809521

出版商:Marcel Dekker, Inc.    

年代:1998

数据来源: Taylor