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.
Exponential utility optimization, indifference pricing and hedging for a payment process
We deal with pricing and hedging for a payment process. We investigate a Black-Scholes financial market with stochastic coefficients and a stream of liabilities with claims occurring at random times, continuously over the duration of the contract and at the terminal time. The random times of the claims are generated by a random measure with a stochastic intensity of jumps. The claims are written on the asset traded in the financial market and on the non-tradeable source of risk driven by the random...
Exponentially discounted estimates and oscillations in linear controlled systems
Extended and unscented Kalman filtering applied to a flexible-joint robot with jerk estimation.
Extraction of fuzzy rules using deterministic annealing integrated with ε-insensitive learning
A new method of parameter estimation for an artificial neural network inference system based on a logical interpretation of fuzzy if-then rules (ANBLIR) is presented. The novelty of the learning algorithm consists in the application of a deterministic annealing method integrated with ε-insensitive learning. In order to decrease the computational burden of the learning procedure, a deterministic annealing method with a "freezing" phase and ε-insensitive learning by solving a system of linear inequalities...