This paper discusses, in both continuous time and discrete time, the issue of certainty equivalence in two-player zero-sum stochastic differential/dynamic games when the players have access to state information through a common noisy measurement channel. For the discrete-time case, the channel is also allowed to fail sporadically according to an independent Bernoulli process, leading to intermi...

it is known that a stochastic dierential equation (sde) induces two probabilisticobjects, namely a diusion process and a stochastic ow. while the diusion process isdetermined by the innitesimal mean and variance given by the coecients of the sde,this is not the case for the stochastic ow induced by the sde. in order to characterize thestochastic ow uniquely the innitesimal covariance give...

It is known that a stochastic differential equation (SDE) induces two probabilistic objects, namely a difusion process and a stochastic flow. While the diffusion process is determined by the innitesimal mean and variance given by the coefficients of the SDE, this is not the case for the stochastic flow induced by the SDE. In order to characterize the stochastic flow uniquely the innitesimal cov...

The major function of dynamic networks is to sense information from the environment and process the information to the downstream. Therefore how to measure the information transmission ability of a dynamic network is an important topic to evaluate network performance. However, the dynamic behavior of a dynamic network is complex and, despite knowledge of network components, interactions and noi...

We seek to determine the optimal amount of the insurer’s investment in all types of assets for a small and closed economy. The goal is to detect the implications and contributions the risk seeker and risk aversion insurer commonly make and the effectiveness in the investment decision. Also, finding the optimum portfolio for each is the main goal of the present study. To this end, we adopted the...

An original method to compute the extreme value distribution and dynamic reliability of stochastic structures is presented. A virtual stochastic process, related to the extreme value of the dynamic responses of stochastic structures, is constructed firstly, such that the extreme value is the sectioned random variable. A joint probability density equation is then deduced with the probability den...

Initially, process mining focused on discovering models from event data, but in recent years the use and importance of conformance checking has increased. Conformance aims to uncover differences between a model an log. Many techniques measures have been proposed. Typically, these take into account frequencies traces log, do not consider probabilities model. This asymmetry leads various complica...

Stochastic programming and approximate dynamic programming have evolved as competing frameworks for solving sequential stochastic optimization problems, with proponents touting the strengths of their favorite approaches. With less visibility in this particular debate are communities working under names such as reinforcement learning, stochastic control, stochastic search and simulation-optimiza...

In this paper we investigate the problem of optimal real-time power dispatch of an interconnection of conventional power generation plants, renewable resources and energy storage systems. The objective is to minimize imbalance costs and maximize profits whilst satisfying user demand. The managing company is able to trade energy on an electricity market. Energy prices, demand and renewable gener...

We consider a stochastic model for a defined-contribution pension fund in continuous time. In particular, we focus on the portfolio problem of a fund manager who wants to maximize the expected utility of his terminal wealth in a complete financial market. The fund manager must cope with a set of stochastic investment opportunities and with the uncertainty involved by the labor market. After int...