Displaying similar documents to “Some remarks on the control of false discovery rate under dependence”

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

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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)....

Dynamic reforming of a quasi pay-as-you-go social security system within a discrete stochastic multidimensional framework using optimal control methods

Athanasios A. Pantelous, Alexandros A. Zimbidis (2008)

Applicationes Mathematicae

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In many western economies, the phenomenon of ageing population implies that the large Pay-As-You-Go (PAYGO) social security system will run into several severe financial difficulties. In that direction, this paper constructs a discrete-time stochastic model for a quasi PAYGO social security system to allow the potential accumulation of a special (contingency) fund, which can oscillate so as to absorb fluctuations in the various system parameters involved. The basic difference equation...

Attainability analysis in the problem of stochastic equilibria synthesis for nonlinear discrete systems

Irina Bashkirtseva, Lev Ryashko (2013)

International Journal of Applied Mathematics and Computer Science

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A nonlinear discrete-time control system forced by stochastic disturbances is considered. We study the problem of synthesis of the regulator which stabilizes an equilibrium of the deterministic system and provides required scattering of random states near this equilibrium for the corresponding stochastic system. Our approach is based on the stochastic sensitivity functions technique. The necessary and important part of the examined control problem is an analysis of attainability. For...

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)....

Maximum principle for optimal control of fully coupled forward-backward stochastic differential delayed equations

Jianhui Huang, Jingtao Shi (2012)

ESAIM: Control, Optimisation and Calculus of Variations

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This paper deals with the optimal control problem in which the controlled system is described by a fully coupled anticipated forward-backward stochastic differential delayed equation. The maximum principle for this problem is obtained under the assumption that the diffusion coefficient does not contain the control variables and the control domain is not necessarily convex. Both the necessary and sufficient conditions of optimality are proved. As illustrating examples, two kinds of linear...

Partially observed optimal controls of forward-backward doubly stochastic systems

Yufeng Shi, Qingfeng Zhu (2013)

ESAIM: Control, Optimisation and Calculus of Variations

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The partially observed optimal control problem is considered for forward-backward doubly stochastic systems with controls entering into the diffusion and the observation. The maximum principle is proven for the partially observable optimal control problems. A probabilistic approach is used, and the adjoint processes are characterized as solutions of related forward-backward doubly stochastic differential equations in finite-dimensional spaces. Then, our theoretical result is applied...

A second order SDE for the Langevin process reflected at a completely inelastic boundary

Jean Bertoin (2008)

Journal of the European Mathematical Society

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It was shown in [2] that a Langevin process can be reflected at an energy absorbing boundary. Here, we establish that the law of this reflecting process can be characterized as the unique weak solution to a certain second order stochastic differential equation with constraints, which is in sharp contrast with a deterministic analog.

Robust Control of Linear Stochastic Systems with Fully Observable State

Alexander Poznyak, M. Taksar (1996)

Applicationes Mathematicae

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We consider a multidimensional linear system with additive inputs (control) and Brownian noise. There is a cost associated with each control. The aim is to minimize the cost. However, we work with the model in which the parameters of the system may change in time and in addition the exact form of these parameters is not known, only intervals within which they vary are given. In the situation where minimization of a functional over the class of admissible controls makes no sense since...

Tightness of Continuous Stochastic Processes

Michał Kisielewicz (2006)

Discussiones Mathematicae Probability and Statistics

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Some sufficient conditins for tightness of continuous stochastic processes is given. It is verified that in the classical tightness sufficient conditions for continuous stochastic processes it is possible to take a continuous nondecreasing stochastic process instead of a deterministic function one.