Distribution-Valued Processes Arising from Independent Brownian Motions.
Dobrushin's approach to queueing network theory.
Domain perturbations, Brownian motion, capacities, and ground states of Dirichlet Schrödinger operators.
Double-stepped adaptive control for hybrid systems with unknown Markov jumps and stochastic noises
This paper is concerned with the sampled-data based adaptive linear quadratic (LQ) control of hybrid systems with both unmeasurable Markov jump processes and stochastic noises. By the least matching error estimation algorithm, parameter estimates are presented. By a double-step (DS) sampling approach and the certainty equivalence principle, a sampled-data based adaptive LQ control is designed. The DS-approach is characterized by a comparatively large estimation step for parameter estimation and...
Double-stepped adaptive control for hybrid systems with unknown Markov jumps and stochastic noises
This paper is concerned with the sampled-data based adaptive linear quadratic (LQ) control of hybrid systems with both unmeasurable Markov jump processes and stochastic noises. By the least matching error estimation algorithm, parameter estimates are presented. By a double-step (DS) sampling approach and the certainty equivalence principle, a sampled-data based adaptive LQ control is designed. The DS-approach is characterized by a comparatively large estimation step for parameter estimation and...
Drift, draft and structure: some mathematical models of evolution
Understanding the evolution of individuals which live in a structured and fluctuating environment is of central importance in mathematical population genetics. Here we outline some of the mathematical challenges arising from modelling structured populations, primarily focussing on the interplay between forwards in time models for the evolution of the population and backwards in time models for the genealogical trees relating individuals in a sample from that population. In addition to classical...
Duality and integral representation for excessive measures.
Duality and quasi-continuity for supermartingales
Duality of chordal SLE, II
We improve the geometric properties of processes derived in an earlier paper, which are then used to obtain more results about the duality of SLE. We find that for κ∈(4, 8), the boundary of a standard chordal SLE(κ) hull stopped on swallowing a fixed x∈ℝ∖{0} is the image of some trace started from a random point. Using this fact together with a similar proposition in the case that κ≥8, we obtain a description of the boundary of a standard chordal SLE(κ) hull for κ>4, at a finite stopping...
Duality of Schramm-Loewner evolutions
In this note, we prove a version of the conjectured duality for Schramm-Loewner Evolutions, by establishing exact identities in distribution between some boundary arcs of chordal , , and appropriate versions of , .
Duality theory for self-similar processes
Durées de séjour et temps d'entrée associés à un processus de Markov homogène
Dynamic portfolio optimization with risk management and strategy constraints
We investigate the problem of power utility maximization considering risk management and strategy constraints. The aim of this paper is to obtain admissible dynamic portfolio strategies. In case the floor is guaranteed with probability one, we provide two admissible solutions, the option based portfolio insurance in the constrained model, and the alternative method and show that none of the solutions dominate the other. In case the floor is guaranteed partially, we provide one admissible solution,...
Dynamic programming for an investment/consumption problem in illiquid markets with regime-switching
We consider an illiquid financial market with different regimes modeled by a continuous time finite-state Markov chain. The investor can trade a stock only at the discrete arrival times of a Cox process with intensity depending on the market regime. Moreover, the risky asset price is subject to liquidity shocks, which change its rate of return and volatility, and induce jumps on its dynamics. In this setting, we study the problem of an economic agent optimizing her expected utility from consumption...
Dynamic programming for stochastic target problems and geometric flows
Dynamic scheduling of a parallel server system in heavy traffic with complete resource pooling: asymptotic optimality of a threshold policy.
Dynamic term structure modelling with default and mortality risk: new results on existence and monotonicity
This paper considers dynamic term structure models like the ones appearing in portfolio credit risk modelling or life insurance. We study general forward rate curves driven by infinitely many Brownian motions and an integer-valued random measure, generalizing existing approaches in the literature. A precise characterization of absence of arbitrage in such markets is given in terms of a suitable criterion for no asymptotic free lunch (NAFL). From this, we obtain drift conditions which are equivalent...
Dynamical properties and characterization of gradient drift diffusions.
Dynamical semigroups and Markov processes on C*-algebras.
Dynamical systems on vector bundles.