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SIAMCO
2011
9 years 4 months ago
Weak Dynamic Programming Principle for Viscosity Solutions
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 di...
Bruno Bouchard, Nizar Touzi
SIAMCO
2011
9 years 8 months ago
Optimal Robust Stabilization and Dissipativity Synthesis by Behavioral Interconnection
Given a nominal plant, together with a fixed neighborhood of this plant, the problem of robust stabilization is to find a controller that stabilizes all plants in that neighborh...
Harry L. Trentelman, Shaik Fiaz, Kiyotsugu Takaba
SIAMCO
2011
9 years 8 months ago
Semismooth Newton Methods for Optimal Control of the Wave Equation with Control Constraints
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...
Axel Kröner, Karl Kunisch, Boris Vexler
SIAMCO
2011
9 years 8 months ago
Converse Lyapunov Theorems for Switched Systems in Banach and Hilbert Spaces
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...
Falk M. Hante, Mario Sigalotti
SIAMCO
2011
9 years 8 months ago
Asymptotically Optimal Controls for Time-Inhomogeneous Networks
Abstract. A framework is introduced for the identification of controls for single-class timevarying queueing networks that are asymptotically optimal in the so-called uniform acce...
Milica Cudina, Kavita Ramanan
SIAMCO
2011
9 years 8 months ago
Nonlinear Black-Scholes Equations in Finance: Associated Control Problems and Properties of Solutions
We study properties of solutions to fully nonlinear versions of the standard Black– Scholes partial differential equation. These equations have been introduced in financial mat...
Rüdiger Frey, Ulrike Polte
SIAMCO
2011
9 years 8 months ago
On Riccati Equations in Banach Algebras
Let R be a commutative complex Banach algebra with the involution ·⋆ and suppose that A ∈ Rn×n , B ∈ Rn×m , C ∈ Rp×n . The question of when the Riccati equation PBB⋆ ...
Ruth Curtain, Amol Sasane
SIAMCO
2011
9 years 8 months ago
Consistency of Sequential Bayesian Sampling Policies
We consider Bayesian information collection, in which a measurement policy collects information to support a future decision. This framework includes ranking and selection, continu...
Peter Frazier, Warren B. Powell
SIAMCO
2011
9 years 8 months ago
Internal Stabilization by Noise of the Navier--Stokes Equation
One shows that the Navier-Stokes equation in O⊂Rd, d = 2, 3, around an unstable equilibrium solution is exponentially stabilizable in probability by an internal noise controller...
Viorel Barbu, Giuseppe Da Prato
SIAMCO
2011
9 years 8 months ago
Admissible Strategies in Semimartingale Portfolio Selection
The choice of admissible trading strategies in mathematical modelling of financial markets is a delicate issue, going back to Harrison and Kreps [HK79]. In the context of optimal...
Sara Biagini, Ales Cerný
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