Results 111 to 120 of about 208,713 (299)

Pathwise Stochastic Control and a Class of Stochastic Partial Differential Equations

Journal of Optimization Theory and Applications
AbstractIn this article, we study a stochastic optimal control problem in the pathwise sense, as initially proposed by Lions and Souganidis in [C. R. Acad. Sci. Paris Ser. I Math., 327 (1998), pp. 735-741]. The corresponding Hamilton-Jacobi-Bellman (HJB) equation, which turns out to be a non-adapted stochastic partial differential equation, is analyzed.
Neeraj Bhauryal, Ana Bela Cruzeiro, Carlos Oliveira 0004   +2 more
openaire   +2 more sources

Stochastic control with state constraints via the Fokker–Planck equation. Application to renewable energy plants with batteries

Comptes Rendus. Mécanique
Although renewable energies are beneficial to reduce carbon emissions, its intermittent characteristics may result in power-supply issues in distribution grid. Battery energy storage system is generally regarded as an effective tool to deal with them. On
Bermúdez, Alfredo, Padín, Iago
doaj   +1 more source

The stochastic elementary formula method and approximate travelling waves for semi-linear reaction diffusion equations [PDF]

In this thesis we consider approximate travelling wave solutions for stochastic and generalised KPP equations and systems by using the stochastic elementary formula method of Elworthy and Truman.
Zhao, Huaizhong
core  

Stubbornness as Control in Professional Soccer Games: A BPPSDE Approach

Mathematics
This paper defines stubbornness as an optimal feedback Nash equilibrium within a dynamic setting. Stubbornness is treated as a player-specific parameter, with the team’s coach initially selecting players based on their stubbornness and making ...
Paramahansa Pramanik
doaj   +1 more source

On Copula-Itô processes

Dependence Modeling, 2019
We study the dynamics of the family of copulas {Ct}t≥0 of a pair of stochastic processes given by stochastic differential equations (SDE). We associate to it a parabolic partial differential equation (PDE). Having embedded the set of bivariate copulas in
Jaworski Piotr
doaj   +1 more source

On linear, degenerate backward stochastic partial differential equations [PDF]

, 1999
Jin Ma, Jiongmin Yong
openalex   +1 more source

A Galerkin approximation scheme for the mean correction in a mean-reversion stochastic differential equation

, 2013
This paper is concerned with the following Markovian stochastic dierential equation of mean-reversion type dRt = ( + (Rt; t))Rtdt + RtdBt with an initial value R0 = r0 2 R, where 2 R and > 0 are constants, and the mean correction function : R [0; 1) 7 ...
Wu, JiangLun, Yang, Wei
core  

Rigorous Derivation of the Degenerate Parabolic-Elliptic Keller-Segel System from a Moderately Interacting Stochastic Particle System. Part I Partial Differential Equation [PDF]

, 2023
Li Chen, Veniamin Gvozdik, Yue Li
openalex   +1 more source

Existence of quadratic-mean almost periodic solutions to some stochastic hyperbolic differential equations

Electronic Journal of Differential Equations, 2009
In this paper we obtain the existence of quadratic-mean almost periodic solutions to some classes of partial hyperbolic stochastic differential equations.
Paul H. Bezandry, Toka Diagana
doaj  

Drift Estimation for Stochastic Partial Differential Equation Driven by Fractional Brownian Motion

Mathematics
This paper presents a systematic asymptotic analysis of the least squares estimator (LSE) for the drift parameter in a fractional stochastic heat equation driven by fractional Brownian motion.
Hongsheng Qi, Lili Gao, Litan Yan
doaj   +1 more source