Estimation récursive des paramètres d'un modèle de régression, variant au cours du temps
Estimation semi-paramétrique d'un modèle autorégressif stationnaire multiindice non nécessairement causal
Études numériques et applications de processus d'approximation stochastique
Exact controllability for a nonlinear stochastic wave equation.
Exact linearization of stochastic dynamical systems by state space coordinate transformation and feedback. II: -linearization.
Exact linearization of stochastic dynamical systems by state space coordinate transformation and feedback. I: -linearization.
Existence and uniqueness to the Cauchy problem for linear and semilinear parabolic equations with local conditions⋆
We consider the Cauchy problem in ℝd for a class of semilinear parabolic partial differential equations that arises in some stochastic control problems. We assume that the coefficients are unbounded and locally Lipschitz, not necessarily differentiable, with continuous data and local uniform ellipticity. We construct a classical solution by approximation with linear parabolic equations. The linear equations involved can not be solved with the traditional...
Existence of average optimal policies in Markov control processes with strictly unbounded costs
Existence of optimal nonanticipating controls in piecewise deterministic control problems
Optimal nonanticipating controls are shown to exist in nonautonomous piecewise deterministic control problems with hard terminal restrictions. The assumptions needed are completely analogous to those needed to obtain optimal controls in deterministic control problems. The proof is based on well-known results on existence of deterministic optimal controls.
Existence of solutions and approximate controllability of impulsive fractional stochastic differential systems with infinite delay and Poisson jumps
The paper is motivated by the study of interesting models from economics and the natural sciences where the underlying randomness contains jumps. Stochastic differential equations with Poisson jumps have become very popular in modeling the phenomena arising in the field of financial mathematics, where the jump processes are widely used to describe the asset and commodity price dynamics. This paper addresses the issue of approximate controllability of impulsive fractional stochastic differential...
Existence theorem for nonconvex stochastic inclusions.
Existence, uniqueness and stability results of impulsive stochastic semilinear neutral functional differential equations with infinite delays.
Explicit formulae of distributions and densities of characteristics of a dynamic advertising and pricing model
We analyze the optimal sales process of a stochastic advertising and pricing model with constant demand elasticities. We derive explicit formulae of the densities of the (optimal) sales times and (optimal) prices when a fixed finite number of units of a product are to be sold during a finite sales period or an infinite one. Furthermore, for any time t the exact distribution of the inventory, i.e. the number of unsold items, at t is determined and will be expressed in terms of elementary functions....
Exponential convergence for a convexifying equation
We consider an evolution equation similar to that introduced by Vese in [Comm. Partial Diff. Eq. 24 (1999) 1573–1591] and whose solution converges in large time to the convex envelope of the initial datum. We give a stochastic control representation for the solution from which we deduce, under quite general assumptions that the convergence in the Lipschitz norm is in fact exponential in time.
Exponential convergence for a convexifying equation
We consider an evolution equation similar to that introduced by Vese in [Comm. Partial Diff. Eq. 24 (1999) 1573–1591] and whose solution converges in large time to the convex envelope of the initial datum. We give a stochastic control representation for the solution from which we deduce, under quite general assumptions that the convergence in the Lipschitz norm is in fact exponential in time.
Exponential convergence for a convexifying equation
We consider an evolution equation similar to that introduced by Vese in [Comm. Partial Diff. Eq. 24 (1999) 1573–1591] and whose solution converges in large time to the convex envelope of the initial datum. We give a stochastic control representation for the solution from which we deduce, under quite general assumptions that the convergence in the Lipschitz norm is in fact exponential in time.
Exponential filter design for stochastic Markovian jump systems with both discrete and distributed time-varying delays
This paper is concerned with the exponential filter design problem for stochastic Markovian jump systems with time-varying delays, where the time-varying delays include not only discrete delays but also distributed delays. First of all, by choosing a modified Lyapunov-Krasovskii functional and employing the property of conditional mathematical expectation, a novel delay-dependent approach is developed to deal with the mean-square exponential stability problem and control problem. Then, a mean-square...
Exponential stability for nonlinear filtering
Exponential stability of modified stochastic approximation procedure.
Exponential stability of stochastic discrete-time, periodic systems in Hilbert spaces.