相关论文: On stochastic integrals with controlled growth of …

This paper provides an existence-and-uniqueness theorem characterizing the stochastic integral with respect to a Wiener process. The integral is represented as a mapping from the space of measurable and adapted pathwise locally integrable…

Stochastic quantization in physics has been considered to provide a path integral representation of a probability distribution for Ito processes. It has been indicated that the stochastic quantization can involve a potential term, if the…

The dynamics of interacting quantum systems in the presence of disorder is studied and an exact representation for disorder-averaged quantities via Ito stochastic calculus is obtained. The stochastic integral representation affords many…

This paper is concerned with the deterministic optimal control of Ito stochastic systems with random coefficients. The necessary and sufficient conditions for the unique solvability of the optimal control problem with random coefficients…

The problem of partial stabilization for nonlinear control systems described by the Ito stochastic differential equations is considered. For these systems, we propose a constructive control design method which leads to establishing the…

In this paper, we investigate constrained control of continuous-time linear stochastic systems. We show that for certain system parameter settings, constrained control policies can never achieve stabilization. Specifically, we explore a…

A simple nonlinear integral equation for Ito's map is obtained. Although, it does not include stochastic integrals, it does give causal construction of diffusion processes which can be easily implemented by iteration systems. Applications…

We introduce a Skorokhod type integral and prove an Ito formula for a wide class of Gaussian processes which may exhibit stochastic discontinuities. Our Ito formula unifies and extends the classical one for general (i.e., possibly…

An Ito formula is developed in a context consistent with the development of abstract existence and unique- ness theorems for nonlinear stochastic partial differential equations, which are singular or degenerate. This is a generalization of…

We study the local (in time) expansion of a continuous-time process and its conditional moments, including the process' characteristic function. The expansions are conducted by using the properties of the (time-extended) Ito signature, a…

This paper is concerned with the exact controllability of discrete-time stochastic system which is one of the basic problems of modern control theory. Though the exact controllability of continuous-time system governed by Ito stochastic…

The article is devoted to the integration order replacement technique for iterated Ito stochastic integrals and iterated stochastic integrals with respect to martingales. We consider the class of iterated Ito stochastic integrals, for which…

Transient instability in nonlinear stochastic dynamical systems is a fundamental limitation in safety-critical aerospace applications, particularly during powered descent and landing where failure is driven by finite-time excursions rather…

The objects under investigation are the stochastic integrals with respect to free Levy processes. We define such integrals for square-integrable integrands, as well as for a certain general class of bounded integrands. Using the product…

Ito equations are derived for simple stochastic cellular automaton with parameters and compared with results obtained from the histogram method. Good agreement for various parameters supports wide applicability of the Ito equation as a…

We consider idealized financial markets in which price paths of the traded securities are cadlag functions, imposing mild restrictions on the allowed size of jumps. We prove the existence of quadratic variation for typical price paths,…

We prove constructible sufficient conditions of lack of exit by solutions of stochastic differential Ito's equations from domains with smooth boundaries

The main goal of this paper is to discuss the construction of distributionally robust counterparts of stochastic optimal control problems. Randomized and non-randomized policies are considered. In particular, necessary and sufficient…

We propose a stochastic representation for a simple class of transport PDEs based on Ito representations. We detail an algorithm using an estimator stemming for the representation that, unlike regularization by noise estimators, is…

This article studies optional and predictable projections of integrands and convex-valued stochastic processes. The existence and uniqueness are shown under general conditions that are analogous to those for conditional expectations of…