Related papers: Stochastic representation under g-expectation and …

In this paper, we prove the existence and uniqueness of the solution for neutral stochastic differential delay equations with locally monotone coefficients by using numerical approximation. An example is provided to illustrate our theory.

In this paper, we study the optimal control of a discrete-time stochastic differential equation (SDE) of mean-field type, where the coefficients can depend on both a function of the law and the state of the process. We establish a new…

This paper continues the study of [11, 13] for stationary solutions of stochastic linear retarded functional differential equations with the emphasis on delays which appear in those terms including spatial partial derivatives. As a…

This article provides quasi-optimal a priori error estimates for an optimal control problem constrained by an elliptic obstacle problem where the finite element discretization is carried out using the symmetric interior penalty…

Based on the classical probability, the stability criteria for stochastic differential delay equations (SDDEs) where their coefficients are either linear or nonlinear but bounded by linear functions have been investigated intensively.…

This paper focuses on optimal control problem for a class of discrete-time nonlinear systems. In practical applications, computation time is a crucial consideration when solving nonlinear optimal control problems, especially under real-time…

We consider a control constrained parabolic optimal control problem and use variational discretization for its time semi-discretization. The state equation is treated with a Petrov-Galerkin scheme using a piecewise constant Ansatz for the…

Gradient Symbolic Computation is proposed as a means of solving discrete global optimization problems using a neurally plausible continuous stochastic dynamical system. Gradient symbolic dynamics involves two free parameters that must be…

In this paper, we propose a new framework for solving a general dynamic optimal stopping problem without time consistency. A sophisticated solution is proposed and is well-defined for any time setting with general flows of objectives. A…

In this note we consider the continuous Galerkin time stepping method of arbitrary order as a possible discretization scheme of nonlinear initial value problems. In addition, we develop and generalize a well known existing result for the…

In this paper, we present approximation algorithms for combinatorial optimization problems under probabilistic constraints. Specifically, we focus on stochastic variants of two important combinatorial optimization problems: the k-center…

In this paper, we solve the existence problem of optimal stopping problem under some kind of nonlinear expectation named g_\Gamma expectation which was recently introduced in Peng, S.G. and Xu, M.Y. [8]. Our method based on our preceding…

We present stability conditions for deterministic time-varying nonlinear discrete-time systems whose inputs aim to minimize an infinite-horizon time-dependent cost. Global asymptotic and exponential stability properties for general…

The aim of this paper is to give a stochastic representation for the solution to a natural extension of the Caputo-type evolution equation. The nonlocal-in-time operator is defined by a hypersingular integral with a (possibly…

This work addresses the optimal covariance control problem for stochastic discrete-time linear time-varying systems subject to chance constraints. Covariance steering is a stochastic control problem to steer the system state Gaussian…

In the G-framework, we establish existence of an optimal stochastic relaxed control for stochastic differential equations driven by a G-Brownian motion.

Continuous time models in the theory of real options give explicit formulas for optimal exercise strategies when options are simple and the price of an underlying asset follows a geometric Brownian motion. This paper suggests a general,…

In this paper, we present a discrete-type approximation scheme to solve continuous-time optimal stopping problems based on fully non-Markovian continuous processes adapted to the Brownian motion filtration. The approximations satisfy…

This article deals with a stochastic control problem for certain fluids of non-Newtonian type. More precisely, the state equation is given by the two-dimensional stochastic second grade fluids perturbed by a multiplicative white noise. The…

This paper presents a Newton-based stochastic extremum-seeking control method for real-time optimization in multi-input systems with distinct input delays. It combines predictor-based feedback and Hessian inverse estimation via stochastic…