نتایج جستجو برای: stochastic differential equation

تعداد نتایج: 589792  

2017
Jialin HONG Jialin Hong Weidong Zhao Kai Zhang Zhihui Liu Xu Wang

In this talk, we will introduce high accurate numerical schemes for solving forward backward stochastic differential equations (FBSDEs) with jumps. In these schemes, the simplest Euler scheme with only one jump is used to solve the forward stochastic differential equation (SDE), and multistep schemes is used to solve the backward stochastic differential equation (BSDE) with high convergence rat...

Journal: :SIAM J. Control and Optimization 2016
Yoke Peng Leong Matanya B. Horowitz Joel W. Burdick

This paper presents a new method for synthesizing stochastic control Lyapunov functions for a class of nonlinear stochastic control systems. The technique relies on a transformation of the classical nonlinear Hamilton–Jacobi–Bellman partial differential equation to a linear partial differential equation for a class of problems with a particular constraint on the stochastic forcing. This linear ...

2006
Chris Sims

Lagrange multiplier methods are standard fare in elementary calculus courses, and they play a central role in economic applications of calculus because they often turn out to have interpretations as prices or shadow prices. You have seen them generalized to cover dynamic, non-stochastic models as Hamiltonian methods, or as byproducts of using Pontryagin’s maximum principle. In static models Lag...

2002
Chris Sims

Lagrange multiplier methods are standard fare in elementary calculus courses, and they play a central role in economic applications of calculus because they often turn out to have interpretations as prices or shadow prices. You have seen them generalized to cover dynamic, non-stochastic models as Hamiltonian methods, or as byproducts of using Pontryagin’s maximum principle. In static models Lag...

2007
Tibor Krisztin Yuming Chen

A question which has been open in the theory of stochastic equations with delay for around 25 years is: what conditions on the coefficients of a linear stochastic functional differential equations characterise the mean square stability of the solution? In this talk, a simple proof is supplied for a one-dimensional linear Volterra equation. The arguments extend to equations with finite memory or...

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