Stochastic Calculus is the first of a four-volume set of books focusing on problems and solutions in mathematical finance.This volume introduces the reader to the basic stochastic calculus concepts required for
A special emphasis is put on the regularity issues and, in particular, on the behavior of the value function near the boundary. We then provide a quick review of the main tools from viscosity solutions which allow to overcome all regularity problems. We next address the class of stochastic ...
Engineering applications of stochastic processes: Theory, problems and solutions *1Alexander Zayezdny, Daniel Tabak and Dov Wulich... J Michalek - 《Automatica》 被引量: 0发表: 1991年 Engineering applications of stochastic processes: Theory, problems and solutions: Alexander Zayezdny, Daniel Tabak ...
Uniqueness in Law for Stochastic Boundary Value Problems - Capietto, Priola () Citation Context ...oneering works [3,19] for the existence and uniqueness of solutions, the study of Markov’s property [6,19], and the numerical approximations of [16,25,28], as well as the recent and ...
Discover the latest articles and news from researchers in related subjects, suggested using machine learning. Markov Process Stochastic Systems and Control Stochastic Calculus Stochastic Processes Calculus of Variations and Optimization Probabilistic Methods, Simulation and Stochastic Differential Equations...
47-64 Existence of solutions and controllability of nonlinear integrodifferential systems in Banach spaces Balachandran, KPark, JY 65-79 On the numerical solution of the diffusion equation with a nonlocal boundary condition Dehghan, M 81-92
novel piecewise Lyapunov-Krasovskii functional candidate, discrete-time stochastic exponential stability is studied in “Exponential stability results of discrete-time stochastic neural networks with time-varying delays” by Y. Li. A. Gu obtains the synchronization between two solutions and among different...
Zhang. Necessary conditions for stochastic optimal control problems in infinite dimensions. In ... H Frankowska,X Zhang - 《Stochastic Processes & Their Applications》 被引量: 0发表: 2020年 Convex Analysis in Decentralized Stochastic Control, Strategic Measures and Optimal Solutions but the\nextreme ...
Asymptotic Integration and Stability Analytic Theory of Subnormal Operators The Hyperboloidal Foliation Method What is Calculus? The Selected Works of Roderick S C Wong Geometrical Properties of Differential Equations A Course in Analysis Multiple Solutions of Boundary Value Problems ...
As outlined in the previous chapter, the dynamic programming method is a powerful tool to study stochastic control problems by means of the Hamilton-Jacobi-Bellman equation. However, in the classical approach, the method is used only when it is assumed a priori that the value function is ...