相关论文: On integrability of quadratic harnesses

The detection of insufficiently resolved or ill-conditioned integrand structures is critical for the reliability assessment of the quadrature rule outputs. We discuss a method of analysis of the profile of the integrand at the quadrature…

In this paper we assemble some results about the upper-semicontinuity and lower-semicontinuity of the feasible correspondence and the solution correspondence of linear programming problems allowing variability of all parameters of such…

The goal of this paper is to assess the robustness of an uncertain linear time-varying (LTV) system on a finite time horizon. The uncertain system is modeled as a connection of a known LTV system and a perturbation. The input/output…

Our general aim is to give sufficient conditions for robustness behavior and convergence to the equilibrium point of linear time-varying fractional system's solutions. We approach this problem using as a framework a series of recent results…

We obtain variance inequalities for quadratic forms of weakly dependent random variables with bounded fourth moments. We also discuss two application. Namely, we use these inequalities for deriving the limiting spectral distribution of a…

In this paper, we consider the inverse optimal control problem for the discrete-time linear quadratic regulator, over finite-time horizons. Given observations of the optimal trajectories, and optimal control inputs, to a linear…

Quadratic harnesses are time-inhomogeneous Markov polynomial processes with linear conditional expectations and quadratic conditional variances with respect to the past-future filtrations. Typically they are determined by five numerical…

Asymptotic properties of a dimension-robust dependence measure are investigated. It is related to those used in independence tests, but is derivable, thus suitable for independent component analysis. An adjustable kernel allows to…

This paper is a continuation of our previous research on quadratic harnesses, that is, processes with linear regressions and quadratic conditional variances. Our main result is a construction of a Markov process from given orthogonal and…

This paper revisits and extends the convergence and robustness properties of value and policy iteration algorithms for discrete-time linear quadratic regulator problems. In the model-based case, we extend current results concerning the…

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…

We consider the problem of defining quantum integrability in systems with finite number of energy levels starting from commuting matrices and construct new general classes of such matrix models with a given number of commuting partners. We…

Due to their relevance in systems analysis and (robust) controller design, we consider the problem of determining control-theoretic system properties of an a priori unknown system from data only. More specifically, we introduce a necessary…

This work primarily focuses on an operator inference methodology aimed at constructing low-dimensional dynamical models based on a priori hypotheses about their structure, often informed by established physics or expert insights. Stability…

We characterize the existence of the Lebesgue integrable solutions of the truncated problem of moments in several variables on unbounded supports by the existence of some maximum entropy -- type representing densities and discuss a few…

We use generalized beta integrals to construct examples of Markov processes with linear regressions, and quadratic second conditional moments.

We study a fully discrete finite element method for variable-order time-fractional diffusion equations with a time-dependent variable order. Optimal convergence estimates are proved with the first-order accuracy in time (and second order…

We study a quadratic hedging problem for a sequence of contingent claims with random weights in discrete time. We obtain the optimal hedging strategy explicitly in a recursive representation, without imposing the non-degeneracy (ND)…

We use a recently found method to characterise all the invertible fourth-order difference equations linear in the extremal values based on the existence of a discrete Lagrangian. We also give some result on the integrability properties of…

The aim of this paper is to exhibit a necessary and sufficient condition of optimality for functionals depending on fractional integrals and derivatives, on indefinite integrals and on presence of time delay. We exemplify with one example,…