Zobrazeno 1 - 10
of 868
pro vyhledávání: '"93E15"'
This paper investigates an inhomogeneous non-zero-sum linear-quadratic (LQ, for short) differential game problem whose state process and cost functional are regulated by a Markov chain. Under the $L^2$ stabilizability framework, we first provide a su
Externí odkaz:
http://arxiv.org/abs/2405.10083
Stochastic linear quadratic optimal control problems with regime-switching jumps in infinite horizon
This paper investigates a stochastic linear-quadratic (SLQ, for short) control problem regulated by a time-invariant Markov chain in infinite horizon. Under the $L^2$-stability framework, we study a class of linear backward stochastic differential eq
Externí odkaz:
http://arxiv.org/abs/2403.00288
Autor:
Vladimirov, Igor G., Petersen, Ian R.
This paper is concerned with open quantum systems whose dynamic variables have an algebraic structure, similar to that of the Pauli matrices for finite-level systems. The Hamiltonian and the operators of coupling of the system to the external bosonic
Externí odkaz:
http://arxiv.org/abs/2311.02292
Autor:
Vladimirov, Igor G., Petersen, Ian R.
This paper is concerned with open quantum harmonic oscillators (OQHOs) described by linear quantum stochastic differential equations. This framework includes isolated oscillators with zero Hamiltonian, whose system variables remain unchanged (in the
Externí odkaz:
http://arxiv.org/abs/2310.17232
Autor:
He, Xihao
This paper focuses on a mean-field optimal stopping problem with non-Markov dynamics and common noise, inspired by Talbi, Touzi, and Zhang \cite{TalbiTouziZhang1,TalbiTouziZhang3}. The goal is to establish the limit theory and demonstrate the equival
Externí odkaz:
http://arxiv.org/abs/2310.00407
We investigate different turnpike phenomena of generalized discrete-time stochastic linear-quadratic optimal control problems. Our analysis is based on a novel strict dissipativity notion for such problems, in which a stationary stochastic process re
Externí odkaz:
http://arxiv.org/abs/2309.05422
Autor:
Demirci, Yunus Emre, Yüksel, Serdar
In this paper, we present conditions for the geometric ergodicity and Wasserstein regularity of non-linear filter processes. While previous studies have mainly focused on unique ergodicity and the weak Feller property, our work extends these findings
Externí odkaz:
http://arxiv.org/abs/2307.15764
Stability of asymptotically Hamiltonian systems with damped oscillatory and stochastic perturbations
Autor:
Sultanov, Oskar A.
A class of asymptotically autonomous systems on the plane with oscillatory coefficients is considered. It is assumed that the limiting system is Hamiltonian with a stable equilibrium. The effect of damped multiplicative stochastic perturbations of wh
Externí odkaz:
http://arxiv.org/abs/2306.07694
This article aims to investigate sufficient conditions for the stability of stochastic differential equations with a random structure, particularly in contexts involving the presence of concentration points. The proof of asymptotic stability leverage
Externí odkaz:
http://arxiv.org/abs/2305.11735
Autor:
Damm, Tobias, Redmann, Martin
In this paper, we consider a model reduction technique for stabilizable and detectable stochastic systems. It is based on a pair of Gramians that we analyze in terms of well-posedness. Subsequently, dominant subspaces of the stochastic systems are id
Externí odkaz:
http://arxiv.org/abs/2303.13460