SIAMCO
2011
12 years 7 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
12 years 11 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
12 years 11 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
12 years 11 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
12 years 11 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
12 years 11 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
12 years 11 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
12 years 11 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
12 years 11 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
12 years 11 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...