On recursive filters inverse to finite sequences in the minimum mean square sense
Ludvík Prouza (1979)
Kybernetika
Roman Sadowy (2001)
Applicationes Mathematicae
Risk-sensitive control problem of regular step Markov processes is considered, firstly when the control parameters are changed at shift times and then in the general case.
Petr Mandl (1985)
Banach Center Publications
Marek T. Malinowski, Ravi P. Agarwal (2017)
Czechoslovak Mathematical Journal
We analyse multivalued stochastic differential equations driven by semimartingales. Such equations are understood as the corresponding multivalued stochastic integral equations. Under suitable conditions, it is shown that the considered multivalued stochastic differential equation admits at least one solution. Then we prove that the set of all solutions is closed and bounded.
Jan Havel, Petr Nedoma (1969)
Kybernetika
Shigetoku Kawabata, Toshio Yamada (1982)
Séminaire de probabilités de Strasbourg
Zdzisław Duda (2008)
Control and Cybernetics
Pham, Huyên (2005)
Probability Surveys [electronic only]
Bohdan Maslowski (1986)
Časopis pro pěstování matematiky
Václav Peterka (1972)
Kybernetika
Petr Mandl (1979)
Banach Center Publications
Piotr Kulczycki, Jacek Waglowski (2005)
Control and Cybernetics
Dietmar Ferger (2011)
Kybernetika
Let be the collection of all -optimal solutions for a stochastic process with locally bounded trajectories defined on a topological space. For sequences of such stochastic processes and of nonnegative random variables we give sufficient conditions for the (closed) random sets to converge in distribution with respect to the Fell-topology and to the coarser Missing-topology.
H. Walk (1994)
Monatshefte für Mathematik
Janusz Matkowski, Łukasz Stettner (2010)
Applicationes Mathematicae
The asymptotics of utility from terminal wealth is studied. First, a finite horizon problem for any utility function is considered. To study a long run infinite horizon problem, a certain positive homogeneity (PH) assumption is imposed. It is then shown that assumption (PH) is practically satisfied only by power and logarithmic utility functions.
Guy Barles, Francesca Da Lio (2005)
Annales de l'I.H.P. Analyse non linéaire
Petr Mandl, Tyrone E. Duncan, Bożenna Pasik-Duncan (1988)
Kybernetika
El Sayed Sorour (1978)
Kybernetika
Jan Mandel, Loren Cobb, Jonathan D. Beezley (2011)
Applications of Mathematics
Convergence of the ensemble Kalman filter in the limit for large ensembles to the Kalman filter is proved. In each step of the filter, convergence of the ensemble sample covariance follows from a weak law of large numbers for exchangeable random variables, the continuous mapping theorem gives convergence in probability of the ensemble members, and bounds on the ensemble then give convergence.
Łukasz D. Nowak, Monika Pasławska-Południak, Krystyna Twardowska (2010)
International Journal of Applied Mathematics and Computer Science
The aim of the paper is to examine the wavelet-Galerkin method for the solution of filtering equations. We use a wavelet biorthogonal basis with compact support for approximations of the solution. Then we compute the Zakai equation for our filtering problem and consider the implicit Euler scheme in time and the Galerkin scheme in space for the solution of the Zakai equation. We give theorems on convergence and its rate. The method is numerically much more efficient than the classical Galerkin method....