Results 21 to 30 of about 269,153 (284)
A boundary integral formalism for stochastic ray tracing in billiards [PDF]
, 2014 Determining the flow of rays or non-interacting particles driven by a force or velocity field is fundamental to modelling many physical processes. These include particle flows arising in fluid mechanics and ray flows arising in the geometrical optics ...
Cvitanović P. +4 more
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Worst-case scenario portfolio optimization: a new stochastic control approach [PDF]
, 2005 We consider the determination of portfolio processes yielding the highest worst-case bound for the expected utility from final wealth if the stock price may have uncertain (down) jumps.
Korn, Ralf, Menkens, Olaf
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Tuning PI controller in non-linear uncertain closed-loop systems with interval analysis [PDF]
, 2015 The tuning of a PI controller is usually done through simulation, except for few classes of problems, e.g., linear systems. With a new approach for validated integration allowing us to simulate dynamical systems with uncertain parameters, we are able to ...
Alexandre dit Sandretto, Julien +2 more
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Modelling of heat transfer In biological tissue by interval FEM
Computer Assisted Methods in Engineering and Science, 2023 In this paper, an algorithm of calculation of extreme values of temperature based on interval arithmetic is presented. Many mechanical systems with uncertain parameters can be described by a parameter dependent system of linear equations K()T = B ...
Marek Jasiński, Andrzej Pownuk
doaj
Crash hedging strategies and worst–case scenario portfolio optimization [PDF]
, 2006 Crash hedging strategies are derived as solutions of non–linear differential equations which itself are consequences of an equilibrium strategy which make the investor indifferent to uncertain (down) jumps.
Menkens, Olaf
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Robust sliding mode design for uncertain stochastic systems based on H∞ control method [PDF]
, 2009 The official published version can be found at the link below.In this paper, the design problem of sliding mode control (SMC) is addressed for uncertain stochastic systems modeled by Itô differential equations.
Niu, Y, Wang, X, Wang, Z
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Uncertain fractional forward difference equations for Riemann–Liouville type
Advances in Difference Equations, 2019 To model complex systems with discrete-time features and memory effects in the uncertain environment, a definition of an uncertain fractional forward difference equation with Riemann–Liouville-like forward difference is introduced.
Qinyun Lu, Yuanguo Zhu, Ziqiang Lu
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H ? filtering for stochastic singular fuzzy systems with time-varying delay [PDF]
, 2014 This paper considers the H? filtering problem for stochastic singular fuzzy systems with timevarying delay. We assume that the state and measurement are corrupted by stochastic uncertain exogenous disturbance and that the system dynamic is modeled ...
Cai, Min +3 more
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JISR on Computing, 2021 In this paper, pole placement and two optimal control techniques which are the linear quadratic regulator and linear quadratic Gaussian are compared. A cart and inverted pendulum which is an inherently unstable dynamical system is used as a case study ...
Mubashir Usman
doaj +1 more source
On worst-case investment with applications in finance and insurance mathematics [PDF]
, 2005 We review recent results on the new concept of worst-case portfolio optimization, i.e. we consider the determination of portfolio processes which yield the highest worst-case expected utility bound if the stock price may have uncertain (down) jumps.
E. Eberlein +6 more
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