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Geometry of stochastic delay differential equations
(Univ Washington, Dept MathematicsSeattleEUA, 2005)
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 ...
Stochastic control with delayed information and related nonlinear master equation
(SIAM, 2019)
In this paper we study stochastic control problems with delayed information, that is, the control at time t can depend only on the information observed before time t - h for some delay parameter h. Such delay occurs ...
Correlation times in stochastic equations with delayed feedback and multiplicative noise
(Amer Physical Soc, 2011-01-11)
We obtain the characteristic correlation time associated with a model stochastic differential equation that includes the normal form of a pitchfork bifurcation and delayed feedback. In particular, the validity of the common ...
Correlation times in stochastic equations with delayed feedback and multiplicative noise
(Amer Physical Soc, 2011-01-11)
We obtain the characteristic correlation time associated with a model stochastic differential equation that includes the normal form of a pitchfork bifurcation and delayed feedback. In particular, the validity of the common ...
Correlation times in stochastic equations with delayed feedback and multiplicative noise
(2011-01-11)
We obtain the characteristic correlation time associated with a model stochastic differential equation that includes the normal form of a pitchfork bifurcation and delayed feedback. In particular, the validity of the common ...
Correlation times in stochastic equations with delayed feedback and multiplicative noise
(Amer Physical Soc, 2013)