Controlled diffusion processes.
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Borkar, Vivek S. (2005)
Probability Surveys [electronic only]
Irina Bashkirtseva (2018)
Kybernetika
Complex dynamic regimes connected with the noise-induced mixed-mode oscillations in the thermochemical model of flow reactor are studied. It is revealed that the underlying reason of such excitability is in the high stochastic sensitivity of the equilibrium. The problem of stabilization of the excitable equilibrium regimes is investigated. We develop the control approach using feedback regulators which reduce the stochastic sensitivity and keep the randomly forced system near the stable equilibrium....
Zuzana Zíková, Beáta Stehlíková (2012)
Kybernetika
This paper deals with convergence model of interest rates, which explains the evolution of interest rate in connection with the adoption of Euro currency. Its dynamics is described by two stochastic differential equations – the domestic and the European short rate. Bond prices are then solutions to partial differential equations. For the special case with constant volatilities closed form solutions for bond prices are known. Substituting its constant volatilities by instantaneous volatilities we...
Rafał Kucharski (2006)
Applicationes Mathematicae
A discrete-time financial market model with finite time horizon is considered, together with a sequence of investors whose preferences are described by a convergent sequence of strictly increasing and strictly concave utility functions. Existence of unique optimal consumption-investment strategies as well as their convergence to the limit strategy is shown.
Rafał Kucharski (2008)
Banach Center Publications
A discrete-time financial market model with finite time horizon and transaction costs is considered, with a sequence of investors whose preferences are described by a convergent sequence of strictly increasing and strictly concave utility functions. Proportional costs are approximated by strictly convex costs. Existence of the optimal consumption-investment strategies is obtained, as well as convergence of the value functions and convergence of subsequences of optimal strategies.
Tlustý, Josef, Škramlík, Jiří, Švec, Jan, Valouch, Viktor (2010)
Mathematical Problems in Engineering
Anna Petričková, Magda Komorníková (2012)
Kybernetika
The autocorrelation function describing the linear dependence is not suitable for description of residual dependence of the regime-switching models. In this contribution, inspired by Rakonczai ([20]), we will model the residual dependence of the regime-switching models (SETAR, LSTAR and ESTAR) with the autocopulas (Archimedean, EV and their convex combinations) and construct improved quality models for the original real time series.
V. Borkar (1997)
Applicationes Mathematicae
Rafał Szłapczyński, Joanna Szłapczyńska (2012)
International Journal of Applied Mathematics and Computer Science
The paper presents selected aspects of evolutionary sets of safe ship trajectories-a method which applies evolutionary algorithms and some of the assumptions of game theory to solving ship encounter situations. For given positions and motion parameters of the ships, the method finds a near optimal set of safe trajectories of all ships involved in an encounter. The method works in real time and the solutions must be returned within one minute, which enforces speeding up the optimisation process....
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