Found 293 Documents (Results 1–100)
Stochastic interconnected hybrid dynamic modeling for time-to-event processes. (English) Zbl 07775332
Approximate controllability for Hilfer fractional stochastic evolution inclusion with nonlocal conditions. (English) Zbl 1520.93052
Input-to-state stability for large-scale stochastic impulsive systems with state delay. (English) Zbl 1514.34132
Existence of relaxed stochastic optimal control for \(G\)-SDEs with controlled jumps. (English) Zbl 1507.93253
Approximate controllability of stochastic differential system with non-Lipschitz conditions. (English) Zbl 1497.34093
Adaptive output feedback regulation for a class of uncertain feedforward stochastic nonlinear systems. (English) Zbl 1485.93645
Stochastic near-optimal control for drug therapy in a random viral model with cellular immune response. (English) Zbl 1481.92061
Controllability for nonlocal stochastic integrodifferential evolution equations with the lack of compactness. (English) Zbl 1482.93079
Approximate controllability of second-order non-autonomous stochastic impulsive differential systems. (English) Zbl 1466.34058
Stability of the optimal filter in continuous time: beyond the Beneš filter. (English) Zbl 1470.93155
Optimal proportional reinsurance policies for stochastic models. (English) Zbl 1451.91168
Reviewer: Alexandra Rodkina (College Station)
Approximate controllability of a fractional stochastic partial integro-differential systems via noncompact operators. (English) Zbl 1416.34056
Quantized stabilization of stochastic systems with multiplicative noise under Markovian switching. (English) Zbl 1426.60100
Model uncertainty stochastic mean-field control. (English) Zbl 1432.93377
Reviewer: Andrzej Świerniak (Gliwice)
Almost sure exponential stability of large-scale stochastic nonlinear systems. (English) Zbl 1407.93408
The maximum principles for partially observed risk-sensitive optimal controls of Markov regime-switching jump-diffusion system. (English) Zbl 1407.93434
Almost sure exponential stabilization by stochastic feedback control based on discrete-time observations. (English) Zbl 1397.93216
Approximate controllability of fractional neutral stochastic evolution equations in Hilbert spaces with fractional Brownian motion. (English) Zbl 1385.93010
The asymptotic behavior for neutral stochastic partial functional differential equations. (English) Zbl 1380.93226
An integration by parts formula in a Markovian regime switching model and application to sensitivity analysis. (English) Zbl 1373.60079
On \(p\)th moment stabilization of hybrid systems by discrete-time feedback control. (English) Zbl 1373.93362
A Nash equilibrium filter. (English) Zbl 1370.93272
A convex duality approach for pricing contingent claims under partial information and short selling constraints. (English) Zbl 1365.49033
Reviewer: Karel Zimmermann (Praha)
Approximate filter for a two-dimensional nonlinear diffusion observed in a correlated low noise channel. (English) Zbl 1359.93482
Approximate controllability of impulsive semilinear stochastic system with delay in state. (English) Zbl 1348.93047
Dynamic programming principle for stochastic control problems driven by general Lévy noise. (English) Zbl 1350.49030
Optimal insider control and semimartingale decompositions under enlargement of filtration. (English) Zbl 1350.60065
Finite-dimensional filter for a class of nonlinear systems with correlated noises. (English) Zbl 1346.93376
Zero-sum risk-sensitive stochastic games for continuous time Markov chains. (English) Zbl 1346.93397
MSC:
93E20
60J75
Local asymptotic normality and estimation via Kalman-Bucy filter for linear systems driven by fractional Brownian motions. (English) Zbl 1342.62154
Local risk minimization for vulnerable European contingent claims on nontradable assets under regime switching models. (English) Zbl 1344.49031
Controllability of neutral stochastic functional integro-differential equations driven by fractional Brownian motion. (English) Zbl 1342.60098
A universal design of Freeman’s formula for the stabilization of stochastic systems. (English) Zbl 1335.60088
Exact finite-dimensional filter for exponential functionals of the state of Beneš systems. (English) Zbl 1331.93200
Risk-sensitive ergodic control of continuous time Markov processes with denumerable state space. (English) Zbl 1327.93417
Mode dependent \(H_{\infty}\) filtering for discrete-time networked systems with random measurement missing and delays. (English) Zbl 1371.37105
On Yosida approximations of McKean-Vlasov type stochastic evolution equations. (English) Zbl 1316.60094
Stochastic stability analysis for switched genetic regulatory networks with interval time-varying delays based on average Dwell time approach. (English) Zbl 1307.34116
Sufficient stochastic maximum principle for the optimal control of semi-Markov modulated jump-diffusion with application to financial optimization. (English) Zbl 1302.93237
An \(H_{2}\)-type norm of a discrete-time linear stochastic system with periodic coefficients simultaneously affected by an infinite Markov chain and multiplicative white noise perturbations. (English) Zbl 1302.93246
A free boundary problem arising from a stochastic optimal control model with bounded dividend rate. (English) Zbl 1302.35462
Discrete-time BSDEs with random terminal horizon. (English) Zbl 1308.60073
Reviewer: Romeo Negrea (Timişoara)
General linear quadratic optimal stochastic control problem driven by a Brownian motion and a Poisson random martingale measure with random coefficients. (English) Zbl 1292.93154
Practical asymptotic stability of nonlinear stochastic evolution equations. (English) Zbl 1287.93104
Asymptotic properties of maximum likelihood estimation: parameterized diffusion in a manifold. (English) Zbl 1285.93093
Hybrid impulsive control of stochastic systems with multiplicative noise under Markovian switching. (English) Zbl 1272.93124
Optimal guaranteed cost control of stochastic discrete-time systems with states and input dependent noise under Markovian switching. (English) Zbl 1272.93132
Robust stability and stabilization of a class of nonlinear Itô-type stochastic systems via linear matrix inequalities. (English) Zbl 1261.93088
Non-stationary semi-Markov decision processes on a finite horizon. (English) Zbl 1260.93174
MSC:
93E20
60J75
Linear backward stochastic differential equations of descriptor type: regular systems. (English) Zbl 1260.93148
Robust control of Markovian switching stochastic systems with noise dependent states and inputs. (English) Zbl 1260.93170
A BSDE approach to optimal investment of an insurer with hidden regime switching. (English) Zbl 1267.91087
Viscosity solution of optimal stopping problem for stochastic systems with bounded memory. (English) Zbl 1268.60052
Reviewer: Pavel Gapeev (London)
Maximum principle for risk-sensitive stochastic optimal control problem and applications to finance. (English) Zbl 1252.49040
Quantile hedging for guaranteed minimum death benefits with regime switching. (English) Zbl 1251.91041
The behavior of an SIR epidemic model with stochastic perturbation. (English) Zbl 1272.60035
Reviewer: Leslaw Socha (Warsaw)
Discrete approximations of controlled stochastic systems with memory: a survey. (English) Zbl 1246.93124
Impulse stochastic control for the optimization of the dividend payments of the compound Poisson risk model perturbed by diffusion. (English) Zbl 1246.91158
Delay range-dependent stability analysis for Markovian jumping stochastic systems with nonlinear perturbations. (English) Zbl 1387.34104
The improved LaSalle-type theorems for stochastic differential delay equations. (English) Zbl 1248.60065
An infinite-dimensional fractional linear quadratic regulator problem. (English) Zbl 1245.60066
Reviewer: Constantin Vârsan (Bucureşti)
Design of robust stochastic controller for stabilizing queues of TCP/AQM system. (English) Zbl 1234.68045
Numerical method for reflected backward stochastic differential equations. (English) Zbl 1243.60050
Reviewer: Melvin D. Lax (Long Beach)
On the stability and the approximation of branching distribution flows, with applications to nonlinear multiple target filtering. (English) Zbl 1232.93083
Itô-type stochastic parabolic partial differential equations in Hilbert spaces: stability and convergence results via Lyapunov-like functions. (English) Zbl 1228.93126
Portfolio optimization with stochastic volatilities: a backward approach. (English) Zbl 1244.91086
Reviewer: Stefan Tappe (Hannover)
Continuity of the filter with unbounded observation coefficients. (English) Zbl 1231.60035
Reviewer: Vjatscheslav Vasiliev (Tomsk)
Regularity of backward stochastic Volterra integral equations in Hilbert spaces. (English) Zbl 1223.60046
Reviewer: Jordan M. Stoyanov (Newcastle upon Tyne)
Optimal management of a variable annuity invested in a Black-Scholes market driven by a multidimensional fractional Brownian motion. (English) Zbl 1209.93164
Optimal reinsurance and dividend strategies under the Markov-modulated insurance risk model. (English) Zbl 1219.93148
The filtering equations of forward-backward stochastic systems with random jumps and applications to partial information stochastic optimal control. (English) Zbl 1205.60117
Estimate on the pathwise Lyapunov exponent of linear stochastic differential equations with constant coefficients. (English) Zbl 1197.93160
Exercise boundary near maturity for an American option on several assets. (English) Zbl 1198.91205
Reviewer: Vangelis Grigoroudis (Chania)
Approximate controllability of neutral stochastic functional differential systems with infinite delay. (English) Zbl 1186.93014
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