相关论文: Robust $H_\infty$ Filtering for Nonlinear Discrete…

We consider nonparametric invariant density and drift estimation for a class of multidimensional degenerate resp. hypoelliptic diffusion processes, so-called stochastic damping Hamiltonian systems or kinetic diffusions, under anisotropic…

In this paper, we study a non-linear filtering problem in the presence of signal model uncertainty. The model ambiguity is characterized by a class of probability measures from which the true one is taken. After interchanging the order of…

Contraction theory is a recently developed dynamic analysis and nonlinear control system design tool based on an exact differential analysis of convergence. This paper extends contraction theory to local and global stability analysis of…

We study the verification problem of stochastic systems under signal temporal logic (STL) specifications. We propose a novel approach that enables the verification of the probabilistic satisfaction of STL specifications for nonlinear…

We prove homogenization properties of random Hamilton-Jacobi-Bellman (HJB) equations on continuum percolation clusters, almost surely w.r.t. the law of the environment when the origin belongs to the unbounded component in the continuum.…

We study a class of optimal control problems with state constraints where the state equation is a differential equation with delays. This class includes some problems arising in economics, in particular the so-called models with time to…

Regime-switching models, in particular Hidden Markov Models (HMMs) where the switching is driven by an unobservable Markov chain, are widely-used in financial applications, due to their tractability and good econometric properties. In this…

This paper is concerned with a stochastic recursive optimal control problem with time delay, where the controlled system is described by a stochastic differential delayed equation (SDDE) and the cost functional is formulated as the solution…

We solve explicitly a two-dimensional singular control problem of finite fuel type for infinite time horizon. The problem stems from the optimal liquidation of an asset position in a financial market with multiplicative and transient price…

Spatially localized structures are key components of turbulence and other spatio-temporally chaotic systems. From a dynamical systems viewpoint, it is desirable to obtain corresponding exact solutions, though their existence is not…

A general time-inconsistent optimal control problem is considered for stochastic differential equations with deterministic coefficients. Under suitable conditions, a Hamilton-Jacobi-Bellman type equation is derived for the equilibrium value…

The paper considers a distributed robust estimation problem over a network with directed topology involving continuous time observers. While measurements are available to the observers continuously, the nodes interact according to a…

We study the phenomenon of spatiotemporal stochastic resonance (STSR) in a chain of diffusively coupled bistable oscillators. In particular, we examine the situation in which the \textit{global} STSR response is controlled by a…

We study the dynamics of periodic wave trains in reaction-diffusion systems on the real line under large, fully nonlocalized modulations. We prove that solutions with nearby initial data converge, at an enhanced diffusive rate, to a…

We are concerned with multidimensional stochastic balance laws. We identify a class of nonlinear balance laws for which uniform spatial $BV$ bounds for vanishing viscosity approximations can be achieved. Moreover, we establish temporal…

In this paper we establish periodic homogenization for Hamilton-Jacobi-Bellman (HJB) equations, associated to nonlocal operators of integro-differential type. We consider the case when the fractional diffusion has the same order as the…

This paper presents a new robust fault and state estimation based on recursive least square filter for linear stochastic systems with unknown disturbances. The novel elements of the algorithm are : a simple, easily implementable, square…

Parameter-ellipticity with respect to a closed subsector of the complex plane for pseudodifferential Douglis-Nirenberg systems is discussed and shown to imply the existence of a bounded H_\infty-calculus in suitable scales of Sobolev,…

This paper studies discrete-time two-person nonzero-sum linear quadratic stochastic games with random coefficients. Using convex variational analysis, we derive necessary and sufficient conditions for the existence of open-loop Nash…

This paper presents a novel method to synthesize stochastic control Lyapunov functions for a class of nonlinear, stochastic control systems. In this work, the classical nonlinear Hamilton-Jacobi-Bellman partial differential equation is…