Grochulska, Zofia; Łasica, Michał Local estimates for vectorial Rudin-Osher-Fatemi type problems in one dimension. (English) Zbl 07810321 ESAIM, Control Optim. Calc. Var. 30, Paper No. 8, 39 p. (2024). Reviewer: Savin Treanţă (Bucureşti) MSC: 49N60 35B65 35K59 94A12 PDFBibTeX XMLCite \textit{Z. Grochulska} and \textit{M. Łasica}, ESAIM, Control Optim. Calc. Var. 30, Paper No. 8, 39 p. (2024; Zbl 07810321) Full Text: DOI arXiv
Armstrong, John; Brigo, Damiano; Hanzon, Bernard Optimal projection filters with information geometry. (English) Zbl 07789565 Inf. Geom. 7, Suppl. 1, 525-540 (2024). MSC: 62M20 93E11 60G35 62B10 58J65 60H10 65D18 58A20 PDFBibTeX XMLCite \textit{J. Armstrong} et al., Inf. Geom. 7, 525--540 (2024; Zbl 07789565) Full Text: DOI OA License
Rached, Nadhir Ben; von Schwerin, Erik; Shaimerdenova, Gaukhar; Tempone, Raul Importance sampling for rare event tracking within the ensemble Kalman filtering framework. arXiv:2403.12793 Preprint, arXiv:2403.12793 [math.NA] (2024). MSC: 35Q93 60G35 60H35 65C05 93E20 BibTeX Cite \textit{N. B. Rached} et al., ``Importance sampling for rare event tracking within the ensemble Kalman filtering framework'', Preprint, arXiv:2403.12793 [math.NA] (2024) Full Text: arXiv OA License
Hajrajabi, A.; Nabati, P. Optimal filtering equations in state space model of the two factors mean reverting Ornstein-Uhlenbeck process. (Optimal filtering equations in state space model of the two factors mean reverting Ornstein-Uhlenbech process.) (English) Zbl 07736156 Commun. Stat., Theory Methods 52, No. 20, 7532-7542 (2023). MSC: 62-XX PDFBibTeX XMLCite \textit{A. Hajrajabi} and \textit{P. Nabati}, Commun. Stat., Theory Methods 52, No. 20, 7532--7542 (2023; Zbl 07736156) Full Text: DOI
Wickman, Clare; Okoudjou, Kasso A. Gradient flows for probabilistic frame potentials in the Wasserstein space. (English) Zbl 1518.42045 SIAM J. Math. Anal. 55, No. 3, 2324-2346 (2023). MSC: 42C15 60D05 94A12 35Q82 35R60 PDFBibTeX XMLCite \textit{C. Wickman} and \textit{K. A. Okoudjou}, SIAM J. Math. Anal. 55, No. 3, 2324--2346 (2023; Zbl 1518.42045) Full Text: DOI arXiv
Archibald, Richard; Bao, Feng; Yong, Jiongmin A sample-wise data driven control solver for the stochastic optimal control problem with unknown model parameters. (English) Zbl 1520.93605 Commun. Comput. Phys. 33, No. 4, 1132-1163 (2023). MSC: 93E20 93E11 93C57 65K10 PDFBibTeX XMLCite \textit{R. Archibald} et al., Commun. Comput. Phys. 33, No. 4, 1132--1163 (2023; Zbl 1520.93605) Full Text: DOI
Archibald, Richard; Bao, Feng; Yong, Jiongmin A stochastic maximum principle approach for reinforcement learning with parameterized environment. (English) Zbl 07696994 J. Comput. Phys. 488, Article ID 112238, 23 p. (2023). MSC: 60Hxx 65Cxx 68Txx PDFBibTeX XMLCite \textit{R. Archibald} et al., J. Comput. Phys. 488, Article ID 112238, 23 p. (2023; Zbl 07696994) Full Text: DOI arXiv
Zheng, Yueyang; Shi, Jingtao The global maximum principle for progressive optimal control of partially observed forward-backward stochastic systems with random jumps. (English) Zbl 1518.93159 SIAM J. Control Optim. 61, No. 3, 1063-1094 (2023). Reviewer: Kai Wang (Bengbu) MSC: 93E20 93E11 60H10 PDFBibTeX XMLCite \textit{Y. Zheng} and \textit{J. Shi}, SIAM J. Control Optim. 61, No. 3, 1063--1094 (2023; Zbl 1518.93159) Full Text: DOI arXiv
Abada, Nour El Houda; Hafayed, Mokhtar; Meherrem, Shahlar On partially observed optimal singular control of McKean-Vlasov stochastic systems: maximum principle approach. (English) Zbl 07781434 Math. Methods Appl. Sci. 45, No. 16, 10363-10383 (2022). MSC: 93E20 60H10 PDFBibTeX XMLCite \textit{N. E. H. Abada} et al., Math. Methods Appl. Sci. 45, No. 16, 10363--10383 (2022; Zbl 07781434) Full Text: DOI
Yang, Yue; Yu, Xiang Optimal entry and consumption under habit formation. (English) Zbl 1489.91243 Adv. Appl. Probab. 54, No. 2, 433-459 (2022). MSC: 91G10 49L25 93E11 93E20 49L20 PDFBibTeX XMLCite \textit{Y. Yang} and \textit{X. Yu}, Adv. Appl. Probab. 54, No. 2, 433--459 (2022; Zbl 1489.91243) Full Text: DOI arXiv
Sharrock, Louis; Kantas, Nikolas Joint online parameter estimation and optimal sensor placement for the partially observed stochastic advection-diffusion equation. (English) Zbl 1484.35423 SIAM/ASA J. Uncertain. Quantif. 10, 55-95 (2022). MSC: 35R60 35K57 60-08 60G35 60H15 62M20 93E12 93E20 PDFBibTeX XMLCite \textit{L. Sharrock} and \textit{N. Kantas}, SIAM/ASA J. Uncertain. Quantif. 10, 55--95 (2022; Zbl 1484.35423) Full Text: DOI arXiv
Zheng, Yueyang; Shi, Jingtao A linear-quadratic partially observed Stackelberg stochastic differential game with application. (English) Zbl 1510.91052 Appl. Math. Comput. 420, Article ID 126819, 22 p. (2022). MSC: 91A25 91A65 49K45 49N10 49N70 60H10 93E20 PDFBibTeX XMLCite \textit{Y. Zheng} and \textit{J. Shi}, Appl. Math. Comput. 420, Article ID 126819, 22 p. (2022; Zbl 1510.91052) Full Text: DOI arXiv
Dong, Gang; Wu, Boying A class of singular diffusion equations based on the convex-nonconvex variation model for noise removal. (English) Zbl 1486.94012 Bound. Value Probl. 2021, Paper No. 8, 39 p. (2021). MSC: 94A08 94A12 68U10 65K10 35K65 49J45 49N10 65D18 PDFBibTeX XMLCite \textit{G. Dong} and \textit{B. Wu}, Bound. Value Probl. 2021, Paper No. 8, 39 p. (2021; Zbl 1486.94012) Full Text: DOI
Gapeev, Pavel V.; Jeanblanc, Monique; Wu, Dongli Projections of martingales in enlargements of Brownian filtrations under Jacod’s equivalence hypothesis. (English) Zbl 1497.60066 Electron. J. Probab. 26, Paper No. 136, 24 p. (2021). Reviewer: Christos E. Kountzakis (Karlovassi) MSC: 60G44 60J65 60G40 60G35 60H10 91G40 PDFBibTeX XMLCite \textit{P. V. Gapeev} et al., Electron. J. Probab. 26, Paper No. 136, 24 p. (2021; Zbl 1497.60066) Full Text: DOI
Gapeev, Pavel V.; Rodosthenous, Neofytos Optimal stopping games in models with various information flows. (English) Zbl 1490.60098 Stochastic Anal. Appl. 39, No. 6, 1050-1094 (2021). Reviewer: Krzysztof J. Szajowski (Wrocław) MSC: 60G40 91G20 34K10 60J60 60J27 62M20 PDFBibTeX XMLCite \textit{P. V. Gapeev} and \textit{N. Rodosthenous}, Stochastic Anal. Appl. 39, No. 6, 1050--1094 (2021; Zbl 1490.60098) Full Text: DOI Link
Darbon, Jérôme; Langlois, Gabriel P. On Bayesian posterior mean estimators in imaging sciences and Hamilton-Jacobi partial differential equations. (English) Zbl 1525.94008 J. Math. Imaging Vis. 63, No. 7, 821-854 (2021). MSC: 94A08 94A12 49N45 62F15 35F21 35F25 68U10 PDFBibTeX XMLCite \textit{J. Darbon} and \textit{G. P. Langlois}, J. Math. Imaging Vis. 63, No. 7, 821--854 (2021; Zbl 1525.94008) Full Text: DOI arXiv
Gologush, T. S.; Ostapenko, V. V.; Cherevko, A. A. Mathematical modeling of embolization of arteriovenous malformations with overflows on the basis of the two-phase filtering. (English. Russian original) Zbl 1475.92062 Comput. Math. Math. Phys. 61, No. 9, 1546-1558 (2021); translation from Zh. Vychisl. Mat. Mat. Fiz. 61, No. 9, 1571-1584 (2021). MSC: 92C35 92C32 76Z05 49J15 PDFBibTeX XMLCite \textit{T. S. Gologush} et al., Comput. Math. Math. Phys. 61, No. 9, 1546--1558 (2021; Zbl 1475.92062); translation from Zh. Vychisl. Mat. Mat. Fiz. 61, No. 9, 1571--1584 (2021) Full Text: DOI
Wang, Guangchen; Wang, Wencan; Yan, Zhiguo Linear quadratic control of backward stochastic differential equation with partial information. (English) Zbl 1510.93372 Appl. Math. Comput. 403, Article ID 126164, 16 p. (2021). MSC: 93E20 49N10 60H10 PDFBibTeX XMLCite \textit{G. Wang} et al., Appl. Math. Comput. 403, Article ID 126164, 16 p. (2021; Zbl 1510.93372) Full Text: DOI arXiv
Amat, Sergio; Ruiz-Álvarez, Juan; Shu, Chi-Wang; Yáñez, Dionisio F. Cell-average WENO with progressive order of accuracy close to discontinuities with applications to signal processing. (English) Zbl 1510.65319 Appl. Math. Comput. 403, Article ID 126131, 25 p. (2021). MSC: 65Q10 94A12 PDFBibTeX XMLCite \textit{S. Amat} et al., Appl. Math. Comput. 403, Article ID 126131, 25 p. (2021; Zbl 1510.65319) Full Text: DOI arXiv
Bensoussan, Alain; Yam, Sheung Chi Phillip Mean field approach to stochastic control with partial information. (English) Zbl 1476.93156 ESAIM, Control Optim. Calc. Var. 27, Paper No. 89, 27 p. (2021). Reviewer: Hector Jasso (Ciudad de México) MSC: 93E20 49N80 49N30 60H30 93C05 PDFBibTeX XMLCite \textit{A. Bensoussan} and \textit{S. C. P. Yam}, ESAIM, Control Optim. Calc. Var. 27, Paper No. 89, 27 p. (2021; Zbl 1476.93156) Full Text: DOI arXiv
Li, Yuanxin; Ma, Cong; Chen, Yuxin; Chi, Yuejie Nonconvex matrix factorization from rank-one measurements. (English) Zbl 1473.65050 IEEE Trans. Inf. Theory 67, No. 3, 1928-1950 (2021). MSC: 65F45 94A12 PDFBibTeX XMLCite \textit{Y. Li} et al., IEEE Trans. Inf. Theory 67, No. 3, 1928--1950 (2021; Zbl 1473.65050) Full Text: DOI arXiv
Allan, Andrew L. Robust filtering and propagation of uncertainty in hidden Markov models. (English) Zbl 1484.60049 Electron. J. Probab. 26, Paper No. 73, 37 p. (2021). Reviewer: Mikhail P. Moklyachuk (Kyïv) MSC: 60G35 60L50 60H10 60J10 93E20 49K45 PDFBibTeX XMLCite \textit{A. L. Allan}, Electron. J. Probab. 26, Paper No. 73, 37 p. (2021; Zbl 1484.60049) Full Text: DOI arXiv
Hao, Zhonghua; Ma, Shiwei; Chen, Hui; Liu, Jingjing Dataset denoising based on manifold assumption. (English) Zbl 1512.94023 Math. Probl. Eng. 2021, Article ID 6432929, 14 p. (2021). MSC: 94A12 49K10 49M25 49N45 65R32 PDFBibTeX XMLCite \textit{Z. Hao} et al., Math. Probl. Eng. 2021, Article ID 6432929, 14 p. (2021; Zbl 1512.94023) Full Text: DOI
Keller, Alevtina Viktorovna Optimal dynamic measurement method using the Savitsky-Golay digital filter. (English) Zbl 1462.94014 Differ. Uravn. Protsessy Upr. 2021, No. 1, 1-15 (2021). MSC: 94A12 49K15 49N90 93E11 PDFBibTeX XMLCite \textit{A. V. Keller}, Differ. Uravn. Protsessy Upr. 2021, No. 1, 1--15 (2021; Zbl 1462.94014) Full Text: Link
Tadić, Vladislav Z. B.; Doucet, Arnaud Bias of particle approximations to optimal filter derivative. (English) Zbl 1456.93006 SIAM J. Control Optim. 59, No. 1, 727-748 (2021). MSC: 93E11 93C20 PDFBibTeX XMLCite \textit{V. Z. B. Tadić} and \textit{A. Doucet}, SIAM J. Control Optim. 59, No. 1, 727--748 (2021; Zbl 1456.93006) Full Text: DOI arXiv
Bao, Feng; Cao, Yanzhao; Han, Xiaoying Forward backward doubly stochastic differential equations and the optimal filtering of diffusion processes. (English) Zbl 1458.60067 Commun. Math. Sci. 18, No. 3, 635-661 (2020). MSC: 60H10 60H30 PDFBibTeX XMLCite \textit{F. Bao} et al., Commun. Math. Sci. 18, No. 3, 635--661 (2020; Zbl 1458.60067) Full Text: DOI arXiv
Shi, Jingtao; Wang, Guangchen; Xiong, Jie Stochastic linear quadratic Stackelberg differential game with overlapping information. (English) Zbl 1461.91032 ESAIM, Control Optim. Calc. Var. 26, Paper No. 83, 38 p. (2020). MSC: 91A15 91A65 93E20 49N10 49N70 60H10 60G35 PDFBibTeX XMLCite \textit{J. Shi} et al., ESAIM, Control Optim. Calc. Var. 26, Paper No. 83, 38 p. (2020; Zbl 1461.91032) Full Text: DOI arXiv
Bosov, A. V. Application of conditional-optimal filter for synthesis of suboptimal control in the problem of optimizing the output of a nonlinear differential stochastic system. (English. Russian original) Zbl 1457.93076 Autom. Remote Control 81, No. 11, 1963-1973 (2020); translation from Avtom. Telemekh. 2020, No. 11, 32-45 (2020). MSC: 93E11 93C10 60H10 PDFBibTeX XMLCite \textit{A. V. Bosov}, Autom. Remote Control 81, No. 11, 1963--1973 (2020; Zbl 1457.93076); translation from Avtom. Telemekh. 2020, No. 11, 32--45 (2020) Full Text: DOI
Vlasenko, L. A.; Rutkas, A. G.; Semenets, V. V.; Chikrii, A. A. Stochastic optimal control of a descriptor system. (English. Russian original) Zbl 1454.93296 Cybern. Syst. Anal. 56, No. 2, 204-212 (2020); translation from Kibern. Sist. Anal. 2020, No. 2, 42-52 (2020). MSC: 93E20 93E11 93C15 60H10 PDFBibTeX XMLCite \textit{L. A. Vlasenko} et al., Cybern. Syst. Anal. 56, No. 2, 204--212 (2020; Zbl 1454.93296); translation from Kibern. Sist. Anal. 2020, No. 2, 42--52 (2020) Full Text: DOI
Brachetta, Matteo; Ceci, C. A BSDE-based approach for the optimal reinsurance problem under partial information. (English) Zbl 1452.91264 Insur. Math. Econ. 95, 1-16 (2020). MSC: 91G05 93E20 60G35 60H10 PDFBibTeX XMLCite \textit{M. Brachetta} and \textit{C. Ceci}, Insur. Math. Econ. 95, 1--16 (2020; Zbl 1452.91264) Full Text: DOI arXiv
Kim, Jin Won; Mehta, Prashant G. An optimal control derivation of nonlinear smoothing equations. (English) Zbl 1454.49029 Junge, Oliver (ed.) et al., Advances in dynamics, optimization and computation. A volume dedicated to Michael Dellnitz on the occasion of his 60th birthday. Cham: Springer. Stud. Syst. Decis. Control 304, 295-311 (2020). MSC: 49K20 49N80 35Q89 91A16 60E05 60J25 49Q22 PDFBibTeX XMLCite \textit{J. W. Kim} and \textit{P. G. Mehta}, Stud. Syst. Decis. Control 304, 295--311 (2020; Zbl 1454.49029) Full Text: DOI arXiv
Xiong, Xiangtuan; Bai, Enpeng An optimal filtering method for the sideways fractional heat equation. (Chinese. English summary) Zbl 1463.65351 J. Northwest Norm. Univ., Nat. Sci. 56, No. 3, 14-16, 47 (2020). MSC: 65N20 65N15 65T50 35R11 35K05 35B65 PDFBibTeX XMLCite \textit{X. Xiong} and \textit{E. Bai}, J. Northwest Norm. Univ., Nat. Sci. 56, No. 3, 14--16, 47 (2020; Zbl 1463.65351) Full Text: DOI
Li, Na; Wang, Guangchen; Wu, Zhen Linear-quadratic optimal control for time-delay stochastic system with recursive utility under full and partial information. (English) Zbl 1448.93348 Automatica 121, Article ID 109169, 9 p. (2020). MSC: 93E20 49N10 93C43 93C23 34K50 PDFBibTeX XMLCite \textit{N. Li} et al., Automatica 121, Article ID 109169, 9 p. (2020; Zbl 1448.93348) Full Text: DOI
Lemaire, Vincent; Montes, Thibaut; Pagès, Gilles New weak error bounds and expansions for optimal quantization. (English) Zbl 1493.65012 J. Comput. Appl. Math. 371, Article ID 112670, 25 p. (2020). MSC: 65C05 60E99 60-08 60G35 65C30 PDFBibTeX XMLCite \textit{V. Lemaire} et al., J. Comput. Appl. Math. 371, Article ID 112670, 25 p. (2020; Zbl 1493.65012) Full Text: DOI arXiv
Palczewski, Jan Book review of: A. Bensoussan, Estimation and control of dynamical systems. (English) Zbl 1431.00016 SIAM Rev. 62, No. 1, 290-293 (2020). MSC: 00A17 37-02 37N35 37N40 49N05 91A23 91G80 93C15 93E10 93E11 93E12 93E20 PDFBibTeX XMLCite \textit{J. Palczewski}, SIAM Rev. 62, No. 1, 290--293 (2020; Zbl 1431.00016) Full Text: DOI
Afraites, L.; Hadri, A.; Laghrib, A. A denoising model adapted for impulse and Gaussian noises using a constrained-PDE. (English) Zbl 1507.49018 Inverse Probl. 36, No. 2, Article ID 025006, 40 p. (2020). MSC: 49K20 49N25 94A12 PDFBibTeX XMLCite \textit{L. Afraites} et al., Inverse Probl. 36, No. 2, Article ID 025006, 40 p. (2020; Zbl 1507.49018) Full Text: DOI
Uilhoorn, Ferdinand Evert A multiobjective optimization approach to filter tuning applied to coupled hyperbolic PDEs describing gas flow dynamics. (English) Zbl 1425.93288 Optim. Control Appl. Methods 40, No. 4, 750-763 (2019). MSC: 93E11 93C20 49J20 76N25 PDFBibTeX XMLCite \textit{F. E. Uilhoorn}, Optim. Control Appl. Methods 40, No. 4, 750--763 (2019; Zbl 1425.93288) Full Text: DOI
Xiong, Jie; Zhang, Shuaiqi; Zhuang, Yi A partially observed non-zero sum differential game of forward-backward stochastic differential equations and its application in finance. (English) Zbl 1426.49041 Math. Control Relat. Fields 9, No. 2, 257-276 (2019). MSC: 49N70 93C20 93E11 91A15 91A23 49N90 93E20 PDFBibTeX XMLCite \textit{J. Xiong} et al., Math. Control Relat. Fields 9, No. 2, 257--276 (2019; Zbl 1426.49041) Full Text: DOI arXiv
Ostalczyk, Piotr; Sankowski, Dominik; Bąkała, Marcin; Nowakowski, Jacek Fractional-order value identification of the discrete integrator from a noised signal. I. (English) Zbl 1439.93010 Fract. Calc. Appl. Anal. 22, No. 1, 217-235 (2019). MSC: 93C55 94A12 37N35 49M25 65D30 65Q10 PDFBibTeX XMLCite \textit{P. Ostalczyk} et al., Fract. Calc. Appl. Anal. 22, No. 1, 217--235 (2019; Zbl 1439.93010) Full Text: DOI
Li, Ruijing; Fu, Fengyun The maximum principle for partially observed optimal control problems of mean-field FBSDEs. (English) Zbl 1423.93418 Int. J. Control 92, No. 10, 2463-2472 (2019). MSC: 93E20 49J15 93C15 60H10 93E11 49N10 PDFBibTeX XMLCite \textit{R. Li} and \textit{F. Fu}, Int. J. Control 92, No. 10, 2463--2472 (2019; Zbl 1423.93418) Full Text: DOI
Şen, Nevroz; Caines, Peter E. Mean field games with partial observation. (English) Zbl 1428.35645 SIAM J. Control Optim. 57, No. 3, 2064-2091 (2019). MSC: 35Q93 35R60 60G35 91A10 91A23 93A14 93E20 PDFBibTeX XMLCite \textit{N. Şen} and \textit{P. E. Caines}, SIAM J. Control Optim. 57, No. 3, 2064--2091 (2019; Zbl 1428.35645) Full Text: DOI arXiv
Allan, Andrew L.; Cohen, Samuel N. Parameter uncertainty in the Kalman-Bucy filter. (English) Zbl 1420.62407 SIAM J. Control Optim. 57, No. 3, 1646-1671 (2019). MSC: 62M20 60G35 93E11 62F86 49L25 PDFBibTeX XMLCite \textit{A. L. Allan} and \textit{S. N. Cohen}, SIAM J. Control Optim. 57, No. 3, 1646--1671 (2019; Zbl 1420.62407) Full Text: DOI arXiv
Clairon, Quentin; Brunel, Nicolas J.-B. Tracking for parameter and state estimation in possibly misspecified partially observed linear ordinary differential equations. (English) Zbl 1421.62020 J. Stat. Plann. Inference 199, 188-206 (2019). MSC: 62F10 34A30 93C05 PDFBibTeX XMLCite \textit{Q. Clairon} and \textit{N. J. B. Brunel}, J. Stat. Plann. Inference 199, 188--206 (2019; Zbl 1421.62020) Full Text: DOI
Cayero, Julián; Rotondo, Damiano; Morcego, Bernardo; Puig, Vicenç Optimal state observation using quadratic boundedness: application to UAV disturbance estimation. (English) Zbl 1416.93191 Int. J. Appl. Math. Comput. Sci. 29, No. 1, 99-109 (2019). MSC: 93E10 93C85 93C15 93C41 93C05 PDFBibTeX XMLCite \textit{J. Cayero} et al., Int. J. Appl. Math. Comput. Sci. 29, No. 1, 99--109 (2019; Zbl 1416.93191) Full Text: DOI
Zhang, Haiyan An optimal control problem for linear SDE of mean-field type with terminal constraint and partial information. (English) Zbl 1459.93194 Adv. Difference Equ. 2019, Paper No. 160, 17 p. (2019). MSC: 93E20 93E11 49K45 60H10 49N10 PDFBibTeX XMLCite \textit{H. Zhang}, Adv. Difference Equ. 2019, Paper No. 160, 17 p. (2019; Zbl 1459.93194) Full Text: DOI
Giacomelli, Lorenzo; Łasica, Michał A local estimate for vectorial total variation minimization in one dimension. (English) Zbl 1422.49005 Nonlinear Anal., Theory Methods Appl., Ser. A, Theory Methods 181, 141-146 (2019). Reviewer: Elvira Mascolo (Firenze) MSC: 49J20 49N60 35A23 35K51 35K92 94A12 PDFBibTeX XMLCite \textit{L. Giacomelli} and \textit{M. Łasica}, Nonlinear Anal., Theory Methods Appl., Ser. A, Theory Methods 181, 141--146 (2019; Zbl 1422.49005) Full Text: DOI arXiv
Ha, Jung-Su; Choi, Han-Lim On periodic optimal solutions of persistent sensor planning for continuous-time linear systems. (English) Zbl 1406.93064 Automatica 99, 138-148 (2019). MSC: 93B07 49N90 93C05 93C41 93B05 93E11 93C15 PDFBibTeX XMLCite \textit{J.-S. Ha} and \textit{H.-L. Choi}, Automatica 99, 138--148 (2019; Zbl 1406.93064) Full Text: DOI
Bandini, Elena; Cosso, Andrea; Fuhrman, Marco; Pham, Huyên Randomized filtering and Bellman equation in Wasserstein space for partial observation control problem. (English) Zbl 1405.93229 Stochastic Processes Appl. 129, No. 2, 674-711 (2019). MSC: 93E20 60G35 60H30 93C20 90C39 49L25 49N10 PDFBibTeX XMLCite \textit{E. Bandini} et al., Stochastic Processes Appl. 129, No. 2, 674--711 (2019; Zbl 1405.93229) Full Text: DOI arXiv
Batenkov, Dmitry; Demanet, Laurent; Mhaskar, Hrushikesh N. Stable soft extrapolation of entire functions. (English) Zbl 1421.65032 Inverse Probl. 35, No. 1, Article ID 015011, 29 p. (2019). MSC: 65R32 30D15 94A12 PDFBibTeX XMLCite \textit{D. Batenkov} et al., Inverse Probl. 35, No. 1, Article ID 015011, 29 p. (2019; Zbl 1421.65032) Full Text: DOI arXiv Link
Hijab, Omar The Adaptive LQ Regulator. arXiv:1901.04574 Preprint, arXiv:1901.04574 [math.OC] (2019). MSC: 93E20 60G35 93E35 34H15 49L25 BibTeX Cite \textit{O. Hijab}, ``The Adaptive LQ Regulator'', Preprint, arXiv:1901.04574 [math.OC] (2019) Full Text: arXiv OA License
Wu, Zhen; Zhuang, Yi Linear-quadratic partially observed forward-backward stochastic differential games and its application in finance. (English) Zbl 1427.91028 Appl. Math. Comput. 321, 577-592 (2018). MSC: 91A15 93E20 60H10 91G80 93E11 PDFBibTeX XMLCite \textit{Z. Wu} and \textit{Y. Zhuang}, Appl. Math. Comput. 321, 577--592 (2018; Zbl 1427.91028) Full Text: DOI
Nguyen, van Tri; Georges, Didier; Besançon, Gildas Calculus of variations approach for state and parameter estimation in switched 1D hyperbolic PDEs. (English) Zbl 1396.93116 Optim. Control Appl. Methods 39, No. 3, 1182-1201 (2018). MSC: 93E10 93C20 93C30 35L99 PDFBibTeX XMLCite \textit{v. T. Nguyen} et al., Optim. Control Appl. Methods 39, No. 3, 1182--1201 (2018; Zbl 1396.93116) Full Text: DOI
Bania, Piotr; Baranowski, Jerzy Approximation of optimal filter for Ornstein-Uhlenbeck process with quantised discrete-time observation. (English) Zbl 1390.93745 Int. J. Control 91, No. 2, 411-419 (2018). MSC: 93E10 93E11 35Q84 93C62 PDFBibTeX XMLCite \textit{P. Bania} and \textit{J. Baranowski}, Int. J. Control 91, No. 2, 411--419 (2018; Zbl 1390.93745) Full Text: DOI
Ma, Jin; Sun, Rentao; Zhou, Yonghui Kyle-Back equilibrium models and linear conditional mean-field SDEs. (English) Zbl 1390.60216 SIAM J. Control Optim. 56, No. 2, 1154-1180 (2018). MSC: 60H10 91G80 60G35 93E11 PDFBibTeX XMLCite \textit{J. Ma} et al., SIAM J. Control Optim. 56, No. 2, 1154--1180 (2018; Zbl 1390.60216) Full Text: DOI arXiv
Bensoussan, Alain Estimation and control of dynamical systems. (English) Zbl 1401.37001 Interdisciplinary Applied Mathematics 48. Cham: Springer (ISBN 978-3-319-75455-0/hbk; 978-3-319-75456-7/ebook). xii, 547 p. (2018). Reviewer: Vjacheslav Vasiliev (Tomsk) MSC: 37-02 37N35 37N40 49N05 91A23 91G80 93C15 93E10 93E11 93E12 93E20 PDFBibTeX XMLCite \textit{A. Bensoussan}, Estimation and control of dynamical systems. Cham: Springer (2018; Zbl 1401.37001) Full Text: DOI
Baradel, Nicolas; Bouchard, Bruno; Dang, Ngoc Minh Optimal control under uncertainty and Bayesian parameters adjustments. (English) Zbl 1386.49039 SIAM J. Control Optim. 56, No. 2, 1038-1057 (2018). MSC: 49L20 49L25 PDFBibTeX XMLCite \textit{N. Baradel} et al., SIAM J. Control Optim. 56, No. 2, 1038--1057 (2018; Zbl 1386.49039) Full Text: DOI arXiv
Pagès, Gilles; Sagna, Abass Improved error bounds for quantization based numerical schemes for BSDE and nonlinear filtering. (English) Zbl 1390.60152 Stochastic Processes Appl. 128, No. 3, 847-883 (2018). MSC: 60G35 60H10 PDFBibTeX XMLCite \textit{G. Pagès} and \textit{A. Sagna}, Stochastic Processes Appl. 128, No. 3, 847--883 (2018; Zbl 1390.60152) Full Text: DOI arXiv
Ma, Heping; Liu, Bin Infinite horizon optimal control problem of mean-field backward stochastic delay differential equation under partial information. (English) Zbl 1506.93102 Eur. J. Control 36, 43-50 (2017). MSC: 93E20 34K50 60H10 93E11 PDFBibTeX XMLCite \textit{H. Ma} and \textit{B. Liu}, Eur. J. Control 36, 43--50 (2017; Zbl 1506.93102) Full Text: DOI
Averina, Tatyana A.; Rybakov, Konstantin A. Statistical prediction algorithms for nonlinear stochastic jump-diffusion systems. (Russian. English summary) Zbl 06892595 Differ. Uravn. Protsessy Upr. 2017, No. 2, 130-152 (2017). MSC: 60H10 93E11 93E03 65C05 PDFBibTeX XMLCite \textit{T. A. Averina} and \textit{K. A. Rybakov}, Differ. Uravn. Protsessy Upr. 2017, No. 2, 130--152 (2017; Zbl 06892595) Full Text: Link
Buckdahn, Rainer; Li, Juan; Ma, Jin A mean-field stochastic control problem with partial observations. (English) Zbl 1380.93282 Ann. Appl. Probab. 27, No. 5, 3201-3245 (2017). MSC: 93E20 49K45 93E11 60H10 60H30 49K35 47N70 PDFBibTeX XMLCite \textit{R. Buckdahn} et al., Ann. Appl. Probab. 27, No. 5, 3201--3245 (2017; Zbl 1380.93282) Full Text: DOI arXiv Euclid
Malozemov, V. N.; Tamasyan, G. Sh. Synthesis of a rational filter in the presence of complete alternance. (English. Russian original) Zbl 1376.93039 Comput. Math. Math. Phys. 57, No. 6, 919-930 (2017); translation from Zh. Vychisl. Mat. Mat. Fiz. 57, No. 6, 921-933 (2017). MSC: 93B50 49N90 PDFBibTeX XMLCite \textit{V. N. Malozemov} and \textit{G. Sh. Tamasyan}, Comput. Math. Math. Phys. 57, No. 6, 919--930 (2017; Zbl 1376.93039); translation from Zh. Vychisl. Mat. Mat. Fiz. 57, No. 6, 921--933 (2017) Full Text: DOI
Wang, Guangchen; Xiao, Hua; Xing, Guojing An optimal control problem for mean-field forward-backward stochastic differential equation with noisy observation. (English) Zbl 1375.93143 Automatica 86, 104-109 (2017). MSC: 93E20 49K45 60H10 93E11 49N10 PDFBibTeX XMLCite \textit{G. Wang} et al., Automatica 86, 104--109 (2017; Zbl 1375.93143) Full Text: DOI arXiv
Chau, M. H. M.; Lai, Y.; Yam, S. C. P. Discrete-time mean field partially observable controlled systems subject to common noise. (English) Zbl 1378.49013 Appl. Math. Optim. 76, No. 1, 59-91 (2017). MSC: 49J55 93E20 93C55 93E11 93E10 39A50 60G15 49M25 PDFBibTeX XMLCite \textit{M. H. M. Chau} et al., Appl. Math. Optim. 76, No. 1, 59--91 (2017; Zbl 1378.49013) Full Text: DOI
Luiz do Valle Costa, Oswaldo; Figueiredo, Danilo Zucolli Filtering \(\mathcal{S}\)-coupled algebraic Riccati equations for discrete-time Markov jump systems. (English) Zbl 1373.93349 Automatica 83, 47-57 (2017). MSC: 93E11 93E10 93C55 60J75 60J10 PDFBibTeX XMLCite \textit{O. Luiz do Valle Costa} and \textit{D. Z. Figueiredo}, Automatica 83, 47--57 (2017; Zbl 1373.93349) Full Text: DOI
Wu, Shuang; Shu, Lan Partially observed linear quadratic control problem with delay via backward separation method. (English) Zbl 1373.93387 Optim. Control Appl. Methods 38, No. 5, 814-828 (2017). MSC: 93E20 49N10 93E03 60H10 93C05 PDFBibTeX XMLCite \textit{S. Wu} and \textit{L. Shu}, Optim. Control Appl. Methods 38, No. 5, 814--828 (2017; Zbl 1373.93387) Full Text: DOI
Arabi, Sara Hatamzadeh; Merrikh-Bayat, Farshad A practical method for designing linear quadratic regulator for commensurate fractional-order systems. (English) Zbl 1378.49035 J. Optim. Theory Appl. 174, No. 2, 550-566 (2017). MSC: 49N10 93E11 93E10 34A08 PDFBibTeX XMLCite \textit{S. H. Arabi} and \textit{F. Merrikh-Bayat}, J. Optim. Theory Appl. 174, No. 2, 550--566 (2017; Zbl 1378.49035) Full Text: DOI
Elliott, Robert J. A Nash equilibrium filter. (English) Zbl 1370.93272 Stochastic Anal. Appl. 35, No. 4, 633-644 (2017). MSC: 93E11 93E20 60H15 PDFBibTeX XMLCite \textit{R. J. Elliott}, Stochastic Anal. Appl. 35, No. 4, 633--644 (2017; Zbl 1370.93272) Full Text: DOI
Afanas’ev, V. N.; Kaperko, A. F.; Kulagin, V. P.; Kolyubin, V. A. Method of adaptive filtering in the problem of restoring parameters of cosmic radiation. (English. Russian original) Zbl 1368.93699 Autom. Remote Control 78, No. 3, 397-411 (2017); translation from Avtom. Telemekh. 2017, No. 3, 15-33 (2017). MSC: 93E11 93C40 93E10 93E20 93C15 70P05 PDFBibTeX XMLCite \textit{V. N. Afanas'ev} et al., Autom. Remote Control 78, No. 3, 397--411 (2017; Zbl 1368.93699); translation from Avtom. Telemekh. 2017, No. 3, 15--33 (2017) Full Text: DOI
Abdelkhalik, O.; Zou, S.; Robinett, R.; Bacelli, G.; Wilson, D. Estimation of excitation forces for wave energy converters control using pressure measurements. (English) Zbl 1368.93671 Int. J. Control 90, No. 8, 1793-1805 (2017). MSC: 93E10 93E20 93E11 93C15 93B52 PDFBibTeX XMLCite \textit{O. Abdelkhalik} et al., Int. J. Control 90, No. 8, 1793--1805 (2017; Zbl 1368.93671) Full Text: DOI
Averina, T. A.; Rybakov, K. A. Solving approximately a prediction problem for stochastic jump-diffusion systems. (Russian, English) Zbl 1374.93321 Sib. Zh. Vychisl. Mat. 20, No. 1, 1-13 (2017); translation in Numer. Analysis Appl. 10, No. 1, 1-10 (2017). MSC: 93E03 93E25 93E11 93E10 60H10 PDFBibTeX XMLCite \textit{T. A. Averina} and \textit{K. A. Rybakov}, Sib. Zh. Vychisl. Mat. 20, No. 1, 1--13 (2017; Zbl 1374.93321); translation in Numer. Analysis Appl. 10, No. 1, 1--10 (2017) Full Text: DOI
Chui, Charles K.; Chen, Guanrong Kalman filtering. With real-time applications. 5th edition. (English) Zbl 1416.93001 Cham: Springer (ISBN 978-3-319-47610-0/hbk; 978-3-319-47612-4/ebook). xviii, 247 p. (2017). Reviewer: Mikhail P. Moklyachuk (Kyïv) MSC: 93-02 93E11 93E12 93E20 PDFBibTeX XMLCite \textit{C. K. Chui} and \textit{G. Chen}, Kalman filtering. With real-time applications. 5th edition. Cham: Springer (2017; Zbl 1416.93001) Full Text: DOI
Bayer, Christian; Oberhauser, Harald Splitting methods for SPDEs: from robustness to financial engineering, optimal control, and nonlinear filtering. (English) Zbl 1372.65014 Glowinski, Roland (ed.) et al., Splitting methods in communication and imaging, science, and engineering. Cham: Springer (ISBN 978-3-319-41587-1/hbk; 978-3-319-41589-5/ebook). Scientific Computation, 499-539 (2016). MSC: 65C30 60H15 60H35 35R60 91G60 65K10 PDFBibTeX XMLCite \textit{C. Bayer} and \textit{H. Oberhauser}, in: Splitting methods in communication and imaging, science, and engineering. Cham: Springer. 499--539 (2016; Zbl 1372.65014) Full Text: DOI Link
Zhang, Haiyan A necessary condition for mean-field type stochastic differential equations with correlated state and observation noises. (English) Zbl 1364.93819 J. Ind. Manag. Optim. 12, No. 4, 1287-1301 (2016). MSC: 93E11 93E20 60H10 PDFBibTeX XMLCite \textit{H. Zhang}, J. Ind. Manag. Optim. 12, No. 4, 1287--1301 (2016; Zbl 1364.93819) Full Text: DOI
Şen, Nevroz; Caines, Peter E. Mean field game theory with a partially observed major agent. (English) Zbl 1358.35195 SIAM J. Control Optim. 54, No. 6, 3174-3224 (2016). Reviewer: Valery V. Karachik (Chelyabinsk) MSC: 35Q83 35R60 35Q91 60H15 91A10 91A23 93A14 93E20 60G35 35Q93 35F21 PDFBibTeX XMLCite \textit{N. Şen} and \textit{P. E. Caines}, SIAM J. Control Optim. 54, No. 6, 3174--3224 (2016; Zbl 1358.35195) Full Text: DOI
Kulikova, Mariya V.; Kulikov, Gennadiy Yu. Numerical methods for nonlinear filtering of signals and measurements. (Russian. English summary) Zbl 1348.93255 Vychisl. Tekhnol. 21, No. 4, 64-98 (2016). MSC: 93E11 93E10 60H10 93C10 PDFBibTeX XMLCite \textit{M. V. Kulikova} and \textit{G. Yu. Kulikov}, Vychisl. Tekhnol. 21, No. 4, 64--98 (2016; Zbl 1348.93255) Full Text: Link
Guo, Bao-Zhu; Yu, Huaiqiang Optimal state estimation for non-time invertible evolutionary systems. (English) Zbl 1350.93086 SIAM J. Control Optim. 54, No. 5, 2754-2786 (2016). MSC: 93E10 93E11 49N10 49J20 93B52 PDFBibTeX XMLCite \textit{B.-Z. Guo} and \textit{H. Yu}, SIAM J. Control Optim. 54, No. 5, 2754--2786 (2016; Zbl 1350.93086) Full Text: DOI
He, Fenghua; Ma, Longbiao; Yao, Yu; Hong, Yiguang A guidance law design approach of the multi-stage cooperative interception problem. (English) Zbl 1363.93003 J. Syst. Sci. Math. Sci. 36, No. 3, 399-412 (2016). MSC: 93A14 93E20 93E11 93E10 49J20 93C20 PDFBibTeX XMLCite \textit{F. He} et al., J. Syst. Sci. Math. Sci. 36, No. 3, 399--412 (2016; Zbl 1363.93003)
Wang, Guangchen; Xiong, Jie; Zhang, Shuaiqi Partially observable stochastic optimal control. (English) Zbl 1344.93002 Int. J. Numer. Anal. Model. 13, No. 4, 493-512 (2016). MSC: 93-02 93E20 60-02 49K45 49J55 60H10 60G35 93E11 60H35 60J80 60K35 65C30 PDFBibTeX XMLCite \textit{G. Wang} et al., Int. J. Numer. Anal. Model. 13, No. 4, 493--512 (2016; Zbl 1344.93002) Full Text: Link
Dihlmann, Markus; Haasdonk, Bernard A reduced basis Kalman filter for parametrized partial differential equations. (English) Zbl 1346.35245 ESAIM, Control Optim. Calc. Var. 22, No. 3, 625-669 (2016). Reviewer: Guy Jumarie (Montréal) MSC: 35R60 93E11 60G35 65G99 PDFBibTeX XMLCite \textit{M. Dihlmann} and \textit{B. Haasdonk}, ESAIM, Control Optim. Calc. Var. 22, No. 3, 625--669 (2016; Zbl 1346.35245) Full Text: DOI
Veremey, Evgeny I. Optimization of filtering correctors for autopilot control laws with special structures. (English) Zbl 1336.93175 Optim. Control Appl. Methods 37, No. 2, 323-339 (2016). MSC: 93E20 93E11 93C95 93C15 PDFBibTeX XMLCite \textit{E. I. Veremey}, Optim. Control Appl. Methods 37, No. 2, 323--339 (2016; Zbl 1336.93175) Full Text: DOI
Dai, Min; Yang, Zhou; Zhang, Qing; Zhu, Qiji Jim Optimal trend following trading rules. (English) Zbl 1336.91063 Math. Oper. Res. 41, No. 2, 626-642 (2016). MSC: 91G10 91G80 93E11 93E20 PDFBibTeX XMLCite \textit{M. Dai} et al., Math. Oper. Res. 41, No. 2, 626--642 (2016; Zbl 1336.91063) Full Text: DOI Link
do Valle Costa, Oswaldo Luiz; Figueiredo, Danilo Zucolli Quadratic control with partial information for discrete-time jump systems with the Markov chain in a general Borel space. (English) Zbl 1335.93148 Automatica 66, 73-84 (2016). MSC: 93E20 93E11 60J75 93C55 93C05 PDFBibTeX XMLCite \textit{O. L. do Valle Costa} and \textit{D. Z. Figueiredo}, Automatica 66, 73--84 (2016; Zbl 1335.93148) Full Text: DOI
Vladimirov, Igor G.; Petersen, Ian R. Directly Coupled Observers for Quantum Harmonic Oscillators with Discounted Mean Square Cost Functionals and Penalized Back-action. arXiv:1602.06498 Preprint, arXiv:1602.06498 [cs.SY] (2016). MSC: 81Q93 93E11 49K15 49N10 BibTeX Cite \textit{I. G. Vladimirov} and \textit{I. R. Petersen}, ``Directly Coupled Observers for Quantum Harmonic Oscillators with Discounted Mean Square Cost Functionals and Penalized Back-action'', Preprint, arXiv:1602.06498 [cs.SY] (2016) Full Text: DOI arXiv OA License
Berger, Johannes; Neufeld, Andreas; Becker, Florian; Lenzen, Frank; Schnörr, Christoph Second order minimum energy filtering on \(\mathrm{SE}_3\) with nonlinear measurement equations. (English) Zbl 1444.68258 Aujol, Jean-François (ed.) et al., Scale space and variational methods in computer vision. 5th international conference, SSVM 2015, Lège-Cap Ferret, France, May 31 – June 4, 2015. Proceedings. Cham: Springer. Lect. Notes Comput. Sci. 9087, 397-409 (2015). MSC: 68T45 49K15 49M05 49M25 93E11 PDFBibTeX XMLCite \textit{J. Berger} et al., Lect. Notes Comput. Sci. 9087, 397--409 (2015; Zbl 1444.68258) Full Text: DOI arXiv
Shu, Huisheng; Yang, Hua; Wang, Zidong; Alsaadi, Fuad E.; Hayat, Tasawar Almost sure \(H_\infty\) filtering for nonlinear hybrid stochastic systems with mode-dependent interval delays. (English) Zbl 1395.93547 J. Franklin Inst. 352, No. 11, 4758-4775 (2015). MSC: 93E11 93B36 93C10 93C30 93E03 60G40 60G44 PDFBibTeX XMLCite \textit{H. Shu} et al., J. Franklin Inst. 352, No. 11, 4758--4775 (2015; Zbl 1395.93547) Full Text: DOI
Liu, R. H.; Nguyen, D. A tree approach to options pricing under regime-switching jump diffusion models. (English) Zbl 1335.91106 Int. J. Comput. Math. 92, No. 12, 2575-2595 (2015). MSC: 91G60 60J75 60H30 60H35 91B70 91G20 91G80 93E11 93E20 PDFBibTeX XMLCite \textit{R. H. Liu} and \textit{D. Nguyen}, Int. J. Comput. Math. 92, No. 12, 2575--2595 (2015; Zbl 1335.91106) Full Text: DOI
Wu, Shuang; Wang, Guangchen Optimal control problem of backward stochastic differential delay equation under partial information. (English) Zbl 1327.93422 Syst. Control Lett. 82, 71-78 (2015). MSC: 93E20 60H10 49K45 49N10 PDFBibTeX XMLCite \textit{S. Wu} and \textit{G. Wang}, Syst. Control Lett. 82, 71--78 (2015; Zbl 1327.93422) Full Text: DOI
Dragan, Vasile; Morozan, Toader; Stoica, Adrian-Mihail Output-based \(H_2\) optimal controllers for a class of discrete-time stochastic linear systems with periodic coefficients. (English) Zbl 1328.93280 Int. J. Robust Nonlinear Control 25, No. 13, 1897-1926 (2015). MSC: 93E20 93C05 60H40 93C55 PDFBibTeX XMLCite \textit{V. Dragan} et al., Int. J. Robust Nonlinear Control 25, No. 13, 1897--1926 (2015; Zbl 1328.93280) Full Text: DOI
Tardelli, P. Partially informed investors: hedging in an incomplete market with default. (English) Zbl 1345.49045 J. Appl. Probab. 52, No. 3, 718-735 (2015). MSC: 49N30 60H30 60H10 49J55 49L20 60G55 93E20 91G80 93E11 93E03 90C39 PDFBibTeX XMLCite \textit{P. Tardelli}, J. Appl. Probab. 52, No. 3, 718--735 (2015; Zbl 1345.49045) Full Text: DOI Euclid
Borisov, A.; Miller, B.; Semenikhin, K. Filtering of the Markov jump process given the observations of multivariate point process. (English. Russian original) Zbl 1322.93100 Autom. Remote Control 76, No. 2, 219-240 (2015); translation from Avtom. Telemekh. 2015, No. 2, 34-60 (2015). MSC: 93E11 93E10 60J75 93B07 60H10 PDFBibTeX XMLCite \textit{A. Borisov} et al., Autom. Remote Control 76, No. 2, 219--240 (2015; Zbl 1322.93100); translation from Avtom. Telemekh. 2015, No. 2, 34--60 (2015) Full Text: DOI
Burns, John A.; Rautenberg, Carlos N. Solutions and approximations to the Riccati integral equation with values in a space of compact operators. (English) Zbl 1321.47164 SIAM J. Control Optim. 53, No. 5, 2846-2877 (2015). MSC: 47N30 47J05 60G35 PDFBibTeX XMLCite \textit{J. A. Burns} and \textit{C. N. Rautenberg}, SIAM J. Control Optim. 53, No. 5, 2846--2877 (2015; Zbl 1321.47164) Full Text: DOI
Li, Kai; Nyström, Kaj; Olofsson, Marcus Optimal switching problems under partial information. (English) Zbl 1327.60034 Monte Carlo Methods Appl. 21, No. 2, 91-120 (2015). MSC: 60C05 60F25 60G35 60G40 60H35 62J02 PDFBibTeX XMLCite \textit{K. Li} et al., Monte Carlo Methods Appl. 21, No. 2, 91--120 (2015; Zbl 1327.60034) Full Text: DOI arXiv
Abbas-Turki, Lokman A.; Karatzas, Ioannis; Li, Qinghua Impulse control of a diffusion with a change point. (English) Zbl 1339.60113 Stochastics 87, No. 3, 382-408 (2015). MSC: 60J60 60G40 49N25 93E20 49L25 60G35 35K87 PDFBibTeX XMLCite \textit{L. A. Abbas-Turki} et al., Stochastics 87, No. 3, 382--408 (2015; Zbl 1339.60113) Full Text: DOI arXiv
Watanabe, Yûsuke Study of a degenerate elliptic equation in an optimal consumption problem under partial information. (English) Zbl 1320.91138 Japan J. Ind. Appl. Math. 32, No. 1, 157-185 (2015). MSC: 91G10 91G80 35J70 35Q91 93E11 93E20 PDFBibTeX XMLCite \textit{Y. Watanabe}, Japan J. Ind. Appl. Math. 32, No. 1, 157--185 (2015; Zbl 1320.91138) Full Text: DOI
Cohen, Samuel N.; Elliott, Robert J. Stochastic calculus and applications. 2nd revised and expanded edition. (English) Zbl 1338.60001 Probability and Its Applications. New York, NY: Birkhäuser/Springer (ISBN 978-1-4939-2866-8/hbk; 978-1-4939-2867-5/ebook). xxiii, 666 p. (2015). Reviewer: Jordan M. Stoyanov (Ljubljana) MSC: 60-01 60H05 60H10 60G07 60G42 60G44 60G40 60G48 60G57 93E11 93E20 PDFBibTeX XMLCite \textit{S. N. Cohen} and \textit{R. J. Elliott}, Stochastic calculus and applications. 2nd revised and expanded edition. New York, NY: Birkhäuser/Springer (2015; Zbl 1338.60001) Full Text: DOI Backlinks: MO
Wang, Guangchen; Xiao, Hua Arrow sufficient conditions for optimality of fully coupled forward-backward stochastic differential equations with applications to finance. (English) Zbl 1312.93106 J. Optim. Theory Appl. 165, No. 2, 639-656 (2015). MSC: 93E11 93E20 60H10 PDFBibTeX XMLCite \textit{G. Wang} and \textit{H. Xiao}, J. Optim. Theory Appl. 165, No. 2, 639--656 (2015; Zbl 1312.93106) Full Text: DOI
Dalang, Robert C.; Shiryaev, Albert N. A quickest detection problem with an observation cost. (English) Zbl 1326.60052 Ann. Appl. Probab. 25, No. 3, 1475-1512 (2015). MSC: 60G35 60G40 93E11 93E20 60J65 60H10 94A13 PDFBibTeX XMLCite \textit{R. C. Dalang} and \textit{A. N. Shiryaev}, Ann. Appl. Probab. 25, No. 3, 1475--1512 (2015; Zbl 1326.60052) Full Text: DOI arXiv Euclid
Burns, John A.; Rautenberg, Carlos N. The infinite-dimensional optimal filtering problem with mobile and stationary sensor networks. (English) Zbl 1316.47024 Numer. Funct. Anal. Optim. 36, No. 2, 181-224 (2015). Reviewer: Gheorghe Aniculăesei (Iaşi) MSC: 47B10 45G15 93B07 47N70 PDFBibTeX XMLCite \textit{J. A. Burns} and \textit{C. N. Rautenberg}, Numer. Funct. Anal. Optim. 36, No. 2, 181--224 (2015; Zbl 1316.47024) Full Text: DOI
Osintsev, M. S.; Sobolev, V. A. Reduction of dimension of optimal estimation problems for dynamical systems with singular perturbations. (Russian, English) Zbl 1313.34169 Zh. Vychisl. Mat. Mat. Fiz. 54, No. 1, 50-64 (2014); translation in Comput. Math. Math. Phys. 54, No. 1, 45-58 (2014). MSC: 34E15 34C45 93E11 PDFBibTeX XMLCite \textit{M. S. Osintsev} and \textit{V. A. Sobolev}, Zh. Vychisl. Mat. Mat. Fiz. 54, No. 1, 50--64 (2014; Zbl 1313.34169); translation in Comput. Math. Math. Phys. 54, No. 1, 45--58 (2014) Full Text: DOI
Peskir, Goran Quickest detection of a hidden target and extremal surfaces. (English) Zbl 1338.60115 Ann. Appl. Probab. 24, No. 6, 2340-2370 (2014). MSC: 60G35 60G40 60J60 60G70 34A34 35R35 PDFBibTeX XMLCite \textit{G. Peskir}, Ann. Appl. Probab. 24, No. 6, 2340--2370 (2014; Zbl 1338.60115) Full Text: DOI arXiv Euclid