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SIAMCO
2002
13 years 5 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 5 months ago
2002
Abstract. We formulate a robust optimal control problem for a general nonlinear system with finitely many admissible control settings and with costs assigned to switching of contro...
SIAMCO
2002
13 years 5 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 5 months ago
2002
The paper introduces a new detectability concept for continuous-time Markov jump linear systems with finite Markov space that generalizes previous concepts found in the literature....
SIAMCO
2002
13 years 5 months ago
2002
In this paper we give sufficient conditions for a bang-bang regular extremal to be a strong local optimum for a control problem in the Mayer form; strong means that we consider the...