Mean-Variance Hedging and Forward-Backward Stochastic Differential Filtering Equations
Abstract and Applied Analysis, 2011 This paper is concerned with a mean-variance hedging problem with partial information, where the initial endowment of an agent may be a decision and the contingent claim is a random variable.
Guangchen Wang, Zhen Wu
doaj +1 more source
Robust observer for uncertain linear quantum systems [PDF]
, 2006 In the theory of quantum dynamical filtering, one of the biggest issues is that the underlying system dynamics represented by a quantum stochastic differential equation must be known exactly in order that the corresponding filter provides an optimal ...
I. R. Petersen +4 more
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Robust H∞ filtering for a class of nonlinear networked systems with multiple stochastic communication delays and packet dropouts [PDF]
, 2010 Copyright [2010] IEEE. This material is posted here with permission of the IEEE. Such permission of the IEEE does not in any way imply IEEE endorsement of any of Brunel University's products or services.
Dong, H, Gao, H, Wang, Z
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Extended Kalman filtering with stochastic nonlinearities and multiple missing measurements [PDF]
, 2012 Copyright @ 2012 ElsevierIn this paper, the extended Kalman filtering problem is investigated for a class of nonlinear systems with multiple missing measurements over a finite horizon.
Basin +38 more
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Mathematical control of complex systems [PDF]
, 2013 Copyright © 2013 ZidongWang et al.This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly ...
Hu, J, Karimi, HR, Shen, B, Wang, Z
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Robust H∞ filtering for markovian jump systems with randomly occurring nonlinearities and sensor saturation: The finite-horizon case [PDF]
, 2011 This article is posted with the permission of IEEE - Copyright @ 2011 IEEEThis paper addresses the robust H∞ filtering problem for a class of discrete time-varying Markovian jump systems with randomly occurring nonlinearities and sensor saturation.
Daniel W. C. Ho +6 more
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Variance-constrained H∞ filtering for a class of nonlinear time-varying systems with multiple missing measurements: The finite-horizon case [PDF]
, 2010 Copyright [2010] IEEE. This material is posted here with permission of the IEEE. Such permission of the IEEE does not in any way imply IEEE endorsement of any of Brunel University's products or services.
Dong, H, Gao, H, Ho, DWC, Wang, Z
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Robust filtering under randomly varying sensor delay with variance constraints [PDF]
, 2004 Copyright [2004] IEEE. This material is posted here with permission of the IEEE. Such permission of the IEEE does not in any way imply IEEE endorsement of any of Brunel University's products or services.
Ho, DWC, Liu, X, Wang, Z
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Robust filtering for a class of stochastic uncertain nonlinear time-delay systems via exponential state estimation [PDF]
, 2001 Copyright [2001] IEEE. This material is posted here with permission of the IEEE. Such permission of the IEEE does not in any way imply IEEE endorsement of any of Brunel University's products or services.
Burnham, KJ, Wang, Z
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Filtering for networked stochastic time-delay systems with sector nonlinearity [PDF]
, 2009 Copyright [2009] IEEE. This material is posted here with permission of the IEEE. Such permission of the IEEE does not in any way imply IEEE endorsement of any of Brunel University's products or services.
He, X, Shu, H, Wang, Z, Wei, G
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