Note on approximate non-Gaussian filtering with nonlinear observation relation
Note on nonlinear semigroups and free boundary problem for controlled Markov processes
Note on stability estimation in average Markov control processes
We study the stability of average optimal control of general discrete-time Markov processes. Under certain ergodicity and Lipschitz conditions the stability index is bounded by a constant times the Prokhorov distance between distributions of random vectors determinating the “original and the perturbated” control processes.
Note on strong solutions of a stochastic inclusion.
Novel optimal recursive filter for state and fault estimation of linear stochastic systems with unknown disturbances
This paper studies recursive optimal filtering as well as robust fault and state estimation for linear stochastic systems with unknown disturbances. It proposes a new recursive optimal filter structure with transformation of the original system. This transformation is based on the singular value decomposition of the direct feedthrough matrix distribution of the fault which is assumed to be of arbitrary rank. The resulting filter is optimal in the sense of the unbiased minimum-variance criteria....
Numerical methods in system design and identification with application to wave propagation in layered media
Numerical studies of parameter estimation techniques for nonlinear evolution equations
We briefly discuss an abstract approximation framework and a convergence theory of parameter estimation for a general class of nonautonomous nonlinear evolution equations. A detailed discussion of the above theory has been given earlier by the authors in another paper. The application of this theory together with numerical results indicating the feasibility of this general least squares approach are presented in the context of quasilinear reaction diffusion equations.
Oblique derivative problems and invariant measures
On a class of discrete generation interacting particle systems.
On a class of forward-backward stochastic differential systems in infinite dimensions.
On a non-linear semi-group associated with stochastic optimal control and its excessive majorant
On a role of predictor in the filtering stability.
On adaptive control of a partially observed Markov chain
A control problem for a partially observable Markov chain depending on a parameter with long run average cost is studied. Using uniform ergodicity arguments it is shown that, for values of the parameter varying in a compact set, it is possible to consider only a finite number of nearly optimal controls based on the values of actually computable approximate filters. This leads to an algorithm that guarantees nearly selfoptimizing properties without identifiability conditions. The algorithm is based...
On adaptive control of Markov chains using nonparametric estimation
Two adaptive procedures for controlled Markov chains which are based on a nonparametric window estimation are shown.
On adaptive control of Markov processes
On additive and multiplicative (controlled) Poisson equations
Assuming that a Markov process satisfies the minorization property, existence and properties of the solutions to the additive and multiplicative Poisson equations are studied using splitting techniques. The problem is then extended to the study of risk sensitive and risk neutral control problems and corresponding Bellman equations.
On almost sure convergence of modified Euler-Peano approximation of solution to an S.D.E. driven by a semimartingale
On an optimum principle for partially observed controlled jump Markovian processes
On approximations of nonzero-sum uniformly continuous ergodic stochastic games
We consider a class of uniformly ergodic nonzero-sum stochastic games with the expected average payoff criterion, a separable metric state space and compact metric action spaces. We assume that the payoff and transition probability functions are uniformly continuous. Our aim is to prove the existence of stationary ε-equilibria for that class of ergodic stochastic games. This theorem extends to a much wider class of stochastic games a result proven recently by Bielecki [2].
On Bellman systems without zero order term in the context of risk sensitive differential games
Bellman systems corresponding to stochastic differential games arising from a cost functional which models risk aspects are considered. Here it leads to diagonal elliptic systems without zero order term so that no simple -estimate is available.