相关论文: Dynamically Consistent Nonlinear Evaluations and E…

We define $g$-expectation of a distribution as the infimum of the $g$-expectations of all the terminal random variables sharing that distribution. We present two special cases for nonlinear $g$ where the $g$-expectation of distributions can…

A robust observer for performing power system dynamic state estimation (DSE) of a synchronous generator is proposed. The observer is developed using the concept of $\mathcal{L}_{\infty}$ stability for uncertain, nonlinear dynamic generator…

This paper investigates the stability of a class of differential systems time-changed by $E_{t}$ which is the inverse of a $\beta$-stable subordinator. In order to explore stability, a time-changed Gronwall's inequality and a generalized…

In this paper we study a family of nonlinear (conditional) expectations that can be understood as a continuous semimartingale with uncertain local characteristics. Here, the differential characteristics are prescribed by a set-valued…

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.…

In stochastic decision problems, one often wants to estimate the underlying probability measure statistically, and then to use this estimate as a basis for decisions. We shall consider how the uncertainty in this estimation can be…

We present an arbitrage free theoretical framework for modeling bid and ask prices of dividend paying securities in a discrete time setup using theory of dynamic acceptability indices. In the first part of the paper we develop the theory of…

This article concerns the estimation of hitting time statistics for potentially non-stationary processes. The main focus is exceedance times of environmental processes. To this end we consider an empirical estimator based on ergodic theory…

We derive sufficient conditions for the convex and monotonic g-stochastic ordering of diffusion processes under nonlinear g-expectations and g-evaluations. Our approach relies on comparison results for forward-backward stochastic…

The development of efficient and robust dynamic models is fundamental in the field of systems and control engineering. In this paper, a new formulation for the dynamic model of nonlinear mechanical systems, that can be applied to different…

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…

In this paper, we investigate risk minimization problem of derivatives based on non-tradable underlyings by means of dynamic g-expectations which are slight different from conditional g-expectations. In this framework, inspired by [1] and…

Traditional statistical estimation, or statistical inference in general, is static, in the sense that the estimate of the quantity of interest does not change the future evolution of the quantity. In some sequential estimation problems…

This paper studies a regression model with functional dependent and explanatory variables, both of which exhibit nonstationary dynamics. The model assumes that the nonstationary stochastic trends of the dependent variable are explained by…

A group of experts, for instance climate scientists, is to choose among two policies $f$ and $g$. Consider the following decision rule. If all experts agree that the expected utility of $f$ is higher than the expected utility of $g$, the…

This paper develops a systematic parametric method for analyzing stochastic systems under volatility uncertainty within the $G$-expectation framework. Leveraging the dual representation of the $G$-expectation as a supremum over a family of…

Modelling is an essential procedure in analyzing and controlling a given logical dynamic system (LDS). It has been proved that deterministic LDS can be modeled as a linear-like system using algebraic state space representation. However, due…

Exponential stability and solution estimates are investigated for a delay system $$ \dot{x}(t) - A(t)\dot{x}(g(t))=\sum_{k=1}^m B_k(t)x(h_k(t)) $$ of a neutral type, where $A$ and $B_k$ are $n\times n$ bounded matrix functions, and $g, h_k$…

We derive sufficient conditions for the solvability of the state estimation problem for a class of nonlinear control time-varying systems which includes those, whose dynamics have triangular structure. The state estimation is exhibited by…

This paper proposes a unified approach for studying global exponential stability of a general class of switched systems described by time-varying nonlinear functional differential equations. Some new delay-independent criteria of global…