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SIAMCO
2008
116views more  SIAMCO 2008»
13 years 6 months ago
Optimal Reflection of Diffusions and Barrier Options Pricing under Constraints
We introduce a new class of control problems in which the gain depends on the solution of a stochastic differential equation reflected at the boundary of a bounded domain, along d...
Bruno Bouchard
SIAMCO
2000
110views more  SIAMCO 2000»
13 years 6 months ago
On the Minimizing Property of a Second Order Dissipative System in Hilbert Spaces
We study the asymptotic behavior at infinity of solutions of a second order evolution equation with linear damping and convex potential. The differential system is defined in a rea...
Felipe Alvarez
SIAMCO
2000
75views more  SIAMCO 2000»
13 years 6 months ago
Generic Simplicity of the Spectrum and Stabilization for a Plate Equation
In this work we prove the generic simplicity of the spectrum of the clamped plate equation in a bounded regular domain of Rd. That is, given Rd, we show that there exists an arbi...
Jaime H. Ortega, Enrique Zuazua
SIAMCO
2000
83views more  SIAMCO 2000»
13 years 6 months ago
Maximally Robust Controllers for Multivariable Systems
The set of all optimal controllers which maximize a robust stability radius for unstructured additive perturbations may be obtained using standard Hankel-norm approximation methods...
S. K. Gungah, G. D. Halikias, Imad M. Jaimoukha
SIAMCO
2000
71views more  SIAMCO 2000»
13 years 6 months ago
On a Perturbation Approach for the Analysis of Stochastic Tracking Algorithms
In this paper, a perturbation expansion technique is introduced to decompose the tracking error of a general adaptive tracking algorithm in a linear regression model. This method ...
Rafik Aguech, Eric Moulines, Pierre Priouret