Sökning: "singular stochastic control"

Visar resultat 1 - 5 av 7 avhandlingar innehållade orden singular stochastic control.

  1. 1. On modeling and control of complex dynamic systems

    Författare :Limei Ding; []
    Nyckelord :TEKNIK OCH TEKNOLOGIER; ENGINEERING AND TECHNOLOGY; Reglerteknik; Control Engineering;

    Sammanfattning : Nonlinear complex multi-input multi-output process is very troublesome to control. It is usually also ill-modeled. The problem of such process both in control and modeling requires a comprehensive utilization of various techniques. The thesis presents the methods for the modeling and control of complex systems. LÄS MER

  3. 2. Identification and Estimation for Models Described by Differential-Algebraic Equations

    Författare :Markus Gerdin; Torkel Glad; Lennart Ljung; Manfred Deistler; Linköpings universitet; []
    Nyckelord :TEKNIK OCH TEKNOLOGIER; ENGINEERING AND TECHNOLOGY; Differential-Algebraic Equations; Identifiability; Nonlinear systems; Modelling; Identification; Descriptor systems; Automatic control; Reglerteknik;

    Sammanfattning : Differential-algebraic equations (DAEs) form the natural way in which models of physical systems are delivered from an object-oriented modeling tool like Modelica. Differential-algebraic equations are also known as descriptor systems, singular systems, and implicit systems. LÄS MER

  4. 3. Necessary Optimality Conditions for Two Stochastic Control Problems

    Författare :Daniel Andersson; Boualem Djehiche; Tomas Björk; KTH; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Mathematical statistics; Matematisk statistik;

    Sammanfattning : This thesis consists of two papers concerning necessary conditions in stochastic control problems. In the first paper, we study the problem of controlling a linear stochastic differential equation (SDE) where the coefficients are random and not necessarily bounded. We consider relaxed control processes, i.e. LÄS MER

  5. 4. Calibration, Optimality and Financial Mathematics

    Författare :Bing Lu; Erik Ekström; Stephane Villeneuve; Uppsala universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; perpetual put option; calibration of models; piecewise constant volatility; optimal liquidation of an asset; incomplete information; optimal stopping; jump-diffusion model; optimal distribution of dividends; singular stochastic control; implied volatility; exponential Lévy models; short-time asymptotic behavior.;

    Sammanfattning : This thesis consists of a summary and five papers, dealing with financial applications of optimal stopping, optimal control and volatility.In Paper I, we present a method to recover a time-independent piecewise constant volatility from a finite set of perpetual American put option prices. LÄS MER

  7. 5. Coarse Graining Monte Carlo Methods for Wireless Channels and Stochastic Differential Equations

    Författare :Håkon Hoel; Anders Szepessy; Ola Hössjer; KTH; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Coarse graining; Monte Carlo Methods; Stochastic processes; Numerical analysis; Numerisk analys;

    Sammanfattning : This thesis consists of two papers considering different aspects of stochastic process modelling and the minimisation of computational cost. In the first paper, we analyse statistical signal properties and develop a Gaussian pro- cess model for scenarios with a moving receiver in a scattering environment, as in Clarke’s model, with the generalisation that noise is introduced through scatterers randomly flip- ping on and off as a function of time. LÄS MER