## Found 243 Documents (Results 1–100)

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### Existence and uniqueness for non-Markovian triangular quadratic BSDEs. (English)Zbl 07543534

MSC:  60H10 93E20 60H30
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### Dissipative control for uncertain singular Markovian jump systems via hybrid impulsive control. (English)Zbl 1479.60173

MSC:  60J74 49N25 49N35
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### The set stabilization problem for Markovian jump Boolean control networks: an average optimal control approach. (English)Zbl 07423588

MSC:  93Dxx 93Cxx 93Bxx
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### Non-zero sum differential game for stochastic Markovian jump systems with partially unknown transition probabilities. (English)Zbl 1472.93203

MSC:  93E20 91A23 49N70
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### Discrete-time optimal execution under a generalized price impact model with markovian exogenous orders. (English)Zbl 1471.91537

MSC:  91G15 93E20
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### Open-loop and closed-loop solvabilities for stochastic linear quadratic optimal control problems of Markovian regime switching system. (English)Zbl 1473.49040

MSC:  49N10 93E20 49K45
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### Optimal retirement in a general market environment. (English)Zbl 1470.91253

MSC:  91G10 93E20 60H15
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### Weak closed-loop solvability of stochastic linear quadratic optimal control problems of Markovian regime switching system. (English)Zbl 1476.93164

MSC:  93E20 49N10 49N35
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### The link between stochastic differential equations with non-Markovian coefficients and backward stochastic partial differential equations. (English)Zbl 1480.60165

MSC:  60H10 60H15 93E20
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### Optimal Markovian coupling and exponential convergence rate for the TCP process. (English)Zbl 1480.60212

MSC:  60J25 60K30
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### Markowitz portfolio selection for multivariate affine and quadratic Volterra models. (English)Zbl 1460.91243

MSC:  91G10 93E20 60H10
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### Equilibrium investment and risk control for an insurer with non-Markovian regime-switching and no-shorting constraints. (English)Zbl 1484.91407

MSC:  91G05 60H30 93E20
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### Linear quadratic optimal control for a class of continuous-time nonhomogeneous Markovian jump linear systems in infinite time horizon. (English)Zbl 1448.93343

MSC:  93E20 49N10 93C05
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### Optimization of admission control in tandem queue with heterogeneous customers and pre-service. (English)Zbl 1433.90050

MSC:  90B22 90B06 60K25
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### Recursive linear optimal filter for Markovian jump linear systems with multi-step correlated noises and multiplicative random parameters. (English)Zbl 1482.93641

MSC:  93E11 93C05 93C55
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### Stochastic model predictive control for probabilistically constrained Markovian jump linear systems with additive disturbance. (English)Zbl 1426.93369

MSC:  93E20 93B45 93B52 60J75 93C05
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### A state estimation $$H_\infty$$ issue for discrete-time stochastic impulsive genetic regulatory networks in the presence of leakage, multiple delays and Markovian jumping parameters. (English)Zbl 1393.93145

MSC:  93E20 93B36 93C55 60J75 93A15 93D30
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### Model predictive control of constrained Markovian jump nonlinear stochastic systems and portfolio optimization under market frictions. (English)Zbl 1378.93143

MSC:  93E20 60J75 91G10 93C10 93E03
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### Dynamic programming approach to principal-agent problems. (English)Zbl 1391.91116

MSC:  91B40 60H10 93E20
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### Optimal control for a singularly perturbed linear stochastic system with multiplicative white noise perturbations and Markovian jumping. (English)Zbl 1362.93164

MSC:  93E20 93C70 93C05 60J75 49N10
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### Finite-time guaranteed cost control for Itô stochastic Markovian jump systems with incomplete transition rates. (English)Zbl 1353.93119

MSC:  93E20 93E03 60J75 60H10
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### Dynamic optimization. Deterministic and stochastic models. (English)Zbl 1365.90002

Universitext. Cham: Springer (ISBN 978-3-319-48813-4/pbk; 978-3-319-48814-1/ebook). xxii, 527 p. (2016).
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### Optimization of the service strategy in a queueing system with energy harvesting and customers’ impatience. (English)Zbl 1347.93269

MSC:  93E20 90B22 60J10
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### A functional Itô’s calculus approach to convex risk measures with jump diffusion. (English)Zbl 1346.91272

MSC:  91G80 60H30 60G57 91B30 93E20
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### A Markov decision problem in a risk model with interest rate and Markovian environment. (English)Zbl 1343.60108

MSC:  60J20 60J10 90C40 60G51 49J55 93E20 91B30
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### New unified matrix upper bound on the solution of the continuous coupled algebraic Riccati equation. (English)Zbl 1336.93176

MSC:  93E20 60J75 15A24
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### Time consistent policy of multi-period mean-variance. (English)Zbl 1318.91178

MSC:  91G10 49N10 93E20
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### Efficiency of quantum controlled non-Markovian thermalization. (English)Zbl 1452.81125

MSC:  81Q93 82C10 81S22
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### Robust optimal consensus of uncertain discrete-time multi-agent systems under Markovian swicthing topology. (Chinese. English summary)Zbl 1349.93015

MSC:  93A14 93E20 93C55 93D09 68T42 60J75

### Existence of exponential $$p$$-stability nonconstant equilibrium of Markovian jumping nonlinear diffusion equations via Ekeland variational principle. (English)Zbl 1336.93174

MSC:  93E20 60J75 93C42 35Q93 93C20
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### A maximum principle via Malliavin calculus for combined stochastic control and impulse control of forward-backward systems. (English)Zbl 1333.93267

MSC:  93E20 49K45 60H10
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### Characterization of optimality for controlled Markovian jump diffusion processes. (English)Zbl 1327.93411

MSC:  93E20 60H30
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### Randomized and backward SDE representation for optimal control of non-Markovian SDEs. (English)Zbl 1322.60087

MSC:  60H10 93E20
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### Finite-dimensional representations for controlled diffusions with delay. (English)Zbl 1310.60078

MSC:  60H10 60G40 93E20
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### Optimal control of uncertain stochastic systems with Markovian switching and its applications to portfolio decisions. (English)Zbl 1331.93224

MSC:  93E20 91G10 60H10
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### Optimal consumption and portfolio with ambiguity to Markovian switching. (Chinese. English summary)Zbl 1313.91160

MSC:  91G10 62P05 60G48 60J75 93E20
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### An inverse optimal gain assignment control for a class of stochastic nonlinear systems with Markovian jump parameters. (Chinese. English summary)Zbl 1313.93207

MSC:  93E20 93E15 93C10 60J75

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### Stochastic model predictive control for constrained discrete-time Markovian switching systems. (English)Zbl 1301.93173

MSC:  93E20 93E25 60J75 93C05 90C39
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### Optimal guaranteed cost control of a class of hybrid systems with mode-dependent mixed time delays. (English)Zbl 1290.93208

MSC:  93E20 60J75 93D30 60J10
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### Optimal finite-time passive controller design for uncertain nonlinear Markovian jumping systems. (English)Zbl 1290.93207

MSC:  93E20 60J75 93C42 93C10
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### Optimal filtering for networked systems with Markovian communication delays. (English)Zbl 1358.93174

MSC:  93E11 93E15 60J10
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### Optimal structure of continuous nonlinear reduced-order Pugachev filter. (English. Russian original)Zbl 1307.93429

J. Comput. Syst. Sci. Int. 52, No. 6, 866-892 (2013); translation from Izv. Ross. Akad. Nauk, Teor. Sist. Upravl. 2013, No. 6, 25-51 (2013).
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### Optimal investment strategy for the DC plan with the return of premiums clauses in a mean-variance framework. (English)Zbl 1290.91147

MSC:  91G10 91B30 93E20
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### Optimal consumption and portfolio under inflation and Markovian switching. (English)Zbl 1285.91117

MSC:  91G10 60H10 93E20
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### The American Put with an Ornstein-Uhlenbeck model under Markovian switching. (English)Zbl 1291.60083

MSC:  60G40 91G20 93E20

### Inverse optimal gain assignment control for Markovian jump nonlinear systems. (Chinese. English summary)Zbl 1289.93146

MSC:  93E12 60J75 93B51 93C10
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### Near-optimal harvesting control problem of a stochastic predator-prey system of two species with Markovian switchings. (Chinese. English summary)Zbl 1289.92088

MSC:  92D40 60H15 60J75

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### Guaranteed cost control for uncertain stochastic hybrid complex delayed networks. (English)Zbl 1273.93146

MSC:  93E03 60J75 93C55 93E15 93E20
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### Exponential stability for delayed stochastic bidirectional associative memory neural networks with Markovian jumping and impulses. (English)Zbl 1298.93350

MSC:  93E15 93D20 93E20 92B20 60J75
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### A BSDE approach to optimal investment of an insurer with hidden regime switching. (English)Zbl 1267.91087

MSC:  91G80 93E11 93E20
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### Expected power-utility maximization under incomplete information and with Cox-process observations. (English)Zbl 1259.93133

MSC:  93E20 91G10 93C41
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### Accelerated LMI solvers for the maximal solution to a set of discrete-time algebraic Riccati equations. (English)Zbl 1287.65033

MSC:  65F30 15A24 93C55 65K10 91G60
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### Gradient projection-based performance improvement for JLQ problems. (English)Zbl 1282.93273

MSC:  93E20 60J75 93C05
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### Optimal state estimation in MAP event flows with unextendable dead time. (English. Russian original)Zbl 1268.93136

Autom. Remote Control 73, No. 8, 1316-1326 (2012); translation from Avtom. Telemekh. 2012, No. 8, 49-63 (2012).
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### Optimal stopping with information constraint. (English)Zbl 1269.93134

MSC:  93E20 49L20 91G10
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### BSDE approach to non-zero-sum stochastic differential games of control and stopping. (English)Zbl 1310.91026

Cohen, Samuel N. (ed.) et al., Stochastic processes, finance and control. A Festschrift in honor of Robert J. Elliott. Hackensack, NJ: World Scientific (ISBN 978-981-4383-30-1/hbk). Advances in Statistics, Probability and Actuarial Science 1, 105-153 (2012).

### Optimal time-weighted $$H_2$$ model reduction for Markovian jump systems. (English)Zbl 1256.93120

MSC:  93E20 60J75 49K45 60H10
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### Sampled-data predictive control for uncertain jump systems with partly unknown jump rates and time-varying delay. (English)Zbl 1254.93110

MSC:  93C57 93E20 60J75 93E25 90C22
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### Delay-dependent exponential stability for uncertain neutral stochastic systems with mixed delays and Markovian jumping parameters. (English)Zbl 1244.93118

MSC:  93D05 93C95 93E20
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### A quasi-sure approach to the control of non-Markovian stochastic differential equations. (English)Zbl 1244.93176

MSC:  93E20 49L20 60H10 60G44 91B30
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### Exponential stability for delayed stochastic bidirectional associative memory neural networks with Markovian jumping and impulses. (English)Zbl 1226.93134

MSC:  93E15 93D20 93E20 92B20 60J75
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### Minimax estimation in systems of observation with Markovian chains by integral criterion. (English. Russian original)Zbl 1231.93109

Autom. Remote Control 72, No. 2, 255-268 (2011); translation from Avtom. Telemekh. 2011, No. 2, 41-55 (2011).
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### Decentralized output feedback guaranteed cost control of uncertain Markovian jump large-scale systems: local mode dependent control approach. (English)Zbl 1237.93010

Mohammadpour, Javad (ed.) et al., Efficient modeling and control of large-scale systems. New York, NY: Springer (ISBN 978-1-4419-5756-6/hbk; 978-1-4419-5757-3/ebook). 167-196 (2010).
MSC:  93A15 93A14 60J75 93D15 49N10
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### Delay-dependent guaranteed cost control for uncertain discrete-time Markovian jump linear systems with mode-dependent time-delays. (English)Zbl 1240.93366

MSC:  93E20 60J75 49N10 93B52

### A NARMAX model-based state-space self-tuning control for nonlinear stochastic hybrid systems. (English)Zbl 1201.93079

MSC:  93C83 62M09 93E12
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### Portfolio selection in the enlarged Markovian regime-switching market. (English)Zbl 1202.91308

MSC:  91G10 91B16 93E20
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### Optimal filtering in discrete-time systems with time delays and Markovian jump parameters. (English)Zbl 1204.93120

MSC:  93E11 60J75 93C05 34K50
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