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SIAMCO
2008
116views more  SIAMCO 2008»
14 years 11 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»
14 years 11 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»
14 years 11 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»
14 years 11 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»
14 years 11 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