Related papers: On integrability of quadratic harnesses
Necessary optimality conditions and numerical methods for solving an optimal control problem for a linear continuous-time dynanical system with controlled coefficients and quadratic goal functional are discussed.
We propose novel quadratic performance tests for linear discrete-time impulsive systems based on viewing these systems as feedback interconnections of some non-impulsive linear system with an impulsive operator. In order to systematically…
The problem of optimal linear estimation of a linear functional depending on the unknown values of periodically correlated stochastic process from observations of the process with additive noise is considered. Formulas for calculating the…
Free quadratic harness is a Markov process from the class of quadratic harnesses, i.e. processes with linear regressions and quadratic conditional variances. The process has recently been constructed for a restricted range of parameters in…
We determine the variance-optimal hedge when the logarithm of the underlying price follows a process with stationary independent increments in discrete or continuous time. Although the general solution to this problem is known as backward…
A linear control system with quadratic cost functional over infinite time horizon is considered without assuming controllability/stabilizability condition and the global integrability condition for the nonhomogeneous term of the state…
We provide a necessary and sufficient condition for the metastability of a Markov chain, expressed in terms of a property of the solutions of the resolvent equation. As an application of this result, we prove the metastability of…
We give an elementary construction of a time-invertible Markov process which is discrete except at one instance. The process is one of the quadratic harnesses studied in our previous papers and can be regarded as a random joint of two…
How to manage coherence as a continuous variable quantum resource is still an open question. We face this situation from the very definition of incoherent states in quadrature basis. We apply several measures of coherence for some physical…
We consider the estimation of quadratic functionals in a Gaussian sequence model where the eigenvalues are supposed to be unknown and accessible through noisy observations only. Imposing smoothness assumptions both on the signal and the…
We consider a linear time-invariant system in discrete time where the state and input signals satisfy a set of integral quadratic constraints (IQCs). Analogous to the autonomous linear systems case, we define a new notion of spectral radius…
This technical report replies to the comments of [2] in detail, and corrects a possible mis-interpretation of [1] in terms of the conventional robust stability concept. After defining the robust stability and quadratic stability concepts,…
We consider finite element approximations of ill-posed elliptic problems with conditional stability. The notion of {\emph{optimal error estimates}} is defined including both convergence with respect to mesh parameter and perturbations in…
Convergence rates of kernel density estimators for stationary time series are well studied. For invertible linear processes, we construct a new density estimator that converges, in the supremum norm, at the better, parametric, rate…
An input-output approach to stability analysis is explored for networked systems with uncertain link dynamics. The main result consists of a collection of integral quadratic constraints, which together imply robust stability of the…
In this manuscript, we investigate a fractional stochastic neutral differential equation with time delay, which includes both deterministic and stochastic components. Our primary objective is to rigorously prove the existence of a unique…
Determinantal and permanental processes are point processes with a correlation function given by a determinant or a permanent. Their atoms exhibit mutual attraction of repulsion, thus these processes are very far from the uncorrelated…
Reliability of a system is considered where the components' random lifetimes may be dependent. The structure of the system is described by an associated "lattice polynomial" function. Based on that descriptor, general framework formulas are…
We study entropic uncertainty relations by using stepwise linear functions and quadratic functions. Two kinds of improved uncertainty lower bounds are constructed: the state-independent one based on the lower bound of Shannon entropy and…
We investigate how the concepts of optimal control of measurables of a system with a time dependent Hamiltonian may be mixed with the level set technique to keep the desired entity invariant. We derive sets of equations for this purpose and…