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Stochastic control and differential games with path-dependent controls
(2017-03-05)
In this paper we consider the functional Itˆo calculus framework to find a path- dependent version of the Hamilton-Jacobi-Bellman equation for stochastic control problems with path-dependence in the controls. We also prove ...
A Note On The Stochastic Nature Of Feynman Quantum Paths
(Springer/Plenum PublishersNew York, 2016)
Second order connections and stochastic horizontal lifts
(Elsevier Science BvAmsterdamHolanda, 2006)
STOCHASTIC INTEGRATION WITH RESPECT TO THE CYLINDRICAL WIENER PROCESS VIA REGULARIZATION
(World Scientific Publ Co Pte LtdSingaporeSingapura, 2013)
A stochastic approach to the closure of accessible sets of control systems with application on homogeneous spaces
(Taylor & Francis Ltd, 2018-01-01)
Given a control system on a compact manifold M, we study conditions for the foliation defined by the accessible sets to be dense in M. For this, we relate the control system to a stochastic differential equation and, by ...
The Transport Equation And Zero Quadratic Variation Processes
(Amer Inst Mathematical Sciences-AimsSpringfield, 2016)
PRICING VIA ANTICIPATIVE STOCHASTIC CALCULUS
(APPLIED PROBABILITY TRUST, 1994)
The paper proposes a general model for pricing of derivative securities. The underlying dynamics follows stochastic equations involving anticipative stochastic integrals. These equations are solved explicitly and structural ...
Invariance of 0-currents under diffusions
(World Scientific Publ Co Pte Ltd, 2017-04-01)
We study two actions of a stochastic flow psi(t) on the space of 0-currents T of a differentiable manifold M. In particular, we give conditions on a current T to be invariant under these actions. Also, we apply our results ...