Results 21 to 30 of about 150,474 (283)

Time-Optimal Control for Semilinear Stochastic Functional Differential Equations with Delays

Mathematics, 2021
The purpose of this paper is to find the time-optimal control to a target set for semilinear stochastic functional differential equations involving time delays or memories under general conditions on a target set and nonlinear terms even though the ...
Yong Han Kang, Jin-Mun Jeong
doaj   +1 more source

The existence and Hyers–Ulam stability of solution for an impulsive Riemann–Liouville fractional neutral functional stochastic differential equation with infinite delay of order 1<β<2 $1<\beta<2$

Boundary Value Problems, 2019
This paper deals with the existence of solution for an impulsive Riemann–Liouville fractional neutral functional stochastic differential equation with infinite delay of order ...
Yuchen Guo, Xiao-Bao Shu, Yongjin Li, Fei Xu   +3 more
doaj   +1 more source

Functional integro‐differential stochastic evolution equations inHilbert space [PDF]

International Journal of Stochastic Analysis, 2003
We investigate a class of abstract functional integro‐differential stochastic evolution equations in a real separable Hilbert space. Global existence results concerning mild and periodic solutions are formulated under various growth and compactness conditions.
David N. Keck, Mark A. McKibben
openaire   +2 more sources

Linear Quadratic Stochastic Differential Games: Open-Loop and Closed-Loop Saddle Points [PDF]

, 2014
In this paper, we consider a linear quadratic stochastic two-person zero-sum differential game. The controls for both players are allowed to appear in both drift and diffusion of the state equation.
Sun, Jingrui, Yong, Jiongmin
core   +3 more sources

Mean-Field Stochastic Linear Quadratic Optimal Control Problems: Closed-Loop Solvability

, 2016
An optimal control problem is studied for a linear mean-field stochastic differential equation with a quadratic cost functional. The coefficients and the weighting matrices in the cost functional are all assumed to be deterministic.
Li, Xun, Sun, Jingrui, Yong, Jiongmin
core   +1 more source

Stochastic maximum principle for optimal control of a class of nonlinear SPDEs with dissipative drift

, 2015
We prove a version of the stochastic maximum principle, in the sense of Pontryagin, for the finite horizon optimal control of a stochastic partial differential equation driven by an infinite dimensional additive noise.
Fuhrman, Marco, Orrieri, Carlo
core   +1 more source

Stochastic functional differential equations on manifolds

Probability Theory and Related Fields, 2001
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Léandre, Rémi, Mohammed, Salah-Eldin A.   +1 more
openaire   +3 more sources

Generalized Mean Square Exponential Stability for Stochastic Functional Differential Equations

Mathematics
This work focuses on a class of stochastic functional differential equations and neutral stochastic differential functional equations. By using a new approach, some sufficient conditions are obtained to guarantee the generalized mean square exponential ...
Tianyu He, Zhi Li, Tianquan Feng
doaj   +1 more source

Abstract Functional Stochastic Evolution Equations Driven by Fractional Brownian Motion

Abstract and Applied Analysis, 2014
We investigate a class of abstract functional stochastic evolution equations driven by a fractional Brownian motion in a real separable Hilbert space. Global existence results concerning mild solutions are formulated under various growth and compactness ...
Mark A. McKibben, Micah Webster
doaj   +1 more source

Cauchy problems and invariant measures for one stochastic functional-differential equation

Науковий вісник Ужгородського університету. Серія: Математика і інформатика, 2019
We deal with Cauchy problem for one stochastic functional-differential equation. We study the existence, uniqueness and continuous dependence on initial function of so-called mild solution to this problem.
A. N. Stanzhytskyi, A. O. Tsukanova
doaj   +1 more source