Displaying similar documents to “Attainability analysis in the problem of stochastic equilibria synthesis for nonlinear discrete systems”

Maximum principle for forward-backward doubly stochastic control systems and applications

Liangquan Zhang, Yufeng Shi (2011)

ESAIM: Control, Optimisation and Calculus of Variations

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The maximum principle for optimal control problems of fully coupled forward-backward doubly stochastic differential equations (FBDSDEs in short) in the global form is obtained, under the assumptions that the diffusion coefficients do not contain the control variable, but the control domain need not to be convex. We apply our stochastic maximum principle (SMP in short) to investigate the optimal control problems of a class of stochastic partial differential equations (SPDEs in short)....

Stabilization of partially linear composite stochastic systems via stochastic Luenberger observers

Patrick Florchinger (2022)

Kybernetika

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The present paper addresses the problem of the stabilization (in the sense of exponential stability in mean square) of partially linear composite stochastic systems by means of a stochastic observer. We propose sufficient conditions for the existence of a linear feedback law depending on an estimation given by a stochastic Luenberger observer which stabilizes the system at its equilibrium state. The novelty in our approach is that all the state variables but the output can be corrupted...

Research problems of Jerzy Zabczyk

Szymon Peszat, Łukasz Stettner (2015)

Banach Center Publications

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In the paper we present a selected variety of problems studied by Professor Jerzy Zabczyk. Important part of Prof. Zabczyk's scientific activity was devoted to his PhD students. He has promoted 9 PhD students: Tomasz Bielecki, Jarosław Sobczyk, Łukasz Stettner and Gianmario Tessitore work mostly in control and its applications to mathematical finance, whereas the research of Anna Chojnowska-Michalik, Wojciech Jachimiak, Anna Milian, Szymon Peszat and Anna Rusinek is concentrated mostly...

Maximum principle for forward-backward doubly stochastic control systems and applications

Liangquan Zhang, Yufeng Shi (2011)

ESAIM: Control, Optimisation and Calculus of Variations

Similarity:

The maximum principle for optimal control problems of fully coupled forward-backward doubly stochastic differential equations (FBDSDEs in short) in the global form is obtained, under the assumptions that the diffusion coefficients do not contain the control variable, but the control domain need not to be convex. We apply our stochastic maximum principle (SMP in short) to investigate the optimal control problems of a class of stochastic partial differential equations (SPDEs in short)....

Equivalent cost functionals and stochastic linear quadratic optimal control problems

Zhiyong Yu (2013)

ESAIM: Control, Optimisation and Calculus of Variations

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This paper is concerned with the stochastic linear quadratic optimal control problems (LQ problems, for short) for which the coefficients are allowed to be random and the cost functionals are allowed to have negative weights on the square of control variables. We propose a new method, the equivalent cost functional method, to deal with the LQ problems. Comparing to the classical methods, the new method is simple, flexible and non-abstract. The new method can also be applied to deal with...

Controlling the stochastic sensitivity in thermochemical systems under incomplete information

Irina Bashkirtseva (2018)

Kybernetika

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Complex dynamic regimes connected with the noise-induced mixed-mode oscillations in the thermochemical model of flow reactor are studied. It is revealed that the underlying reason of such excitability is in the high stochastic sensitivity of the equilibrium. The problem of stabilization of the excitable equilibrium regimes is investigated. We develop the control approach using feedback regulators which reduce the stochastic sensitivity and keep the randomly forced system near the stable...

Transforming stochastic matrices for stochastic comparison with the st-order

Tuğrul Dayar, Jean-Michel Fourneau, Nihal Pekergin (2010)

RAIRO - Operations Research

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We present a transformation for stochastic matrices and analyze the effects of using it in stochastic comparison with the strong stochastic (st) order. We show that unless the given stochastic matrix is row diagonally dominant, the transformed matrix provides better st bounds on the steady state probability distribution.

Some stochastic comparison results for series and parallel systems with heterogeneous Pareto type components

Lakshmi Kanta Patra, Suchandan Kayal, Phalguni Nanda (2018)

Applications of Mathematics

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We focus on stochastic comparisons of lifetimes of series and parallel systems consisting of independent and heterogeneous new Pareto type components. Sufficient conditions involving majorization type partial orders are provided to obtain stochastic comparisons in terms of various magnitude and dispersive orderings which include usual stochastic order, hazard rate order, dispersive order and right spread order. The usual stochastic order of lifetimes of series systems with possibly different...