Zobrazeno 1 - 10
of 165
pro vyhledávání: '"Tyrone E. Duncan"'
Autor:
Tyrone E. Duncan, Bozenna Pasik-Duncan
Publikováno v:
Opuscula Mathematica, Vol 37, Iss 6, Pp 821-827 (2017)
A direct approach is used to solve some linear-quadratic stochastic control problems for Brownian motion and other noise processes. This direct method does not require solving Hamilton-Jacobi-Bellman partial differential equations or backward stochas
Externí odkaz:
https://doaj.org/article/c15173cab10f4c2881e902b64612169e
Autor:
Tyrone E. Duncan, Hamidou Tembine
Publikováno v:
Games, Vol 9, Iss 1, p 7 (2018)
In this work, a multi-person mean-field-type game is formulated and solved that is described by a linear jump-diffusion system of mean-field type and a quadratic cost functional involving the second moments, the square of the expected value of the st
Externí odkaz:
https://doaj.org/article/1bf2ba5441af4fc9b86ce0b08e9e9fbf
Publikováno v:
Stochastic Processes and their Applications. 150:853-885
A stochastic calculus is given for processes described by stochastic integrals with respect to fractional Brownian motions and Rosenblatt processes somewhat analogous to the stochastic calculus for Ito processes. These processes for this stochastic c
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::1459206d03f7c25f46eeb9691fe680cc
https://doi.org/10.1016/j.spa.2020.01.004
https://doi.org/10.1016/j.spa.2020.01.004
Autor:
Tyrone E. Duncan, Bozenna Pasik-Duncan
Publikováno v:
La Matematica. 1:685-695
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::7e5ee4f572f251ef292b766c02765f7a
https://doi.org/10.1007/s44007-022-00025-y
https://doi.org/10.1007/s44007-022-00025-y
Publikováno v:
IEEE Transactions on Cybernetics. 50:5089-5098
In this paper, we propose a co-opetitive mean-field-type game (MFTG) approach in which decision makers interact with each other by means of partial cooperation and competition simultaneously. The proposed novel approach allows decision makers' prefer
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::35391c1eb79ea5f3c21233a09d5a2921
https://doi.org/10.1109/tcyb.2019.2901006
https://doi.org/10.1109/tcyb.2019.2901006
Autor:
Jun Moon, Tyrone E. Duncan
Publikováno v:
IEEE Transactions on Automatic Control. 65:5422-5428
We consider the indefinite linear-quadratic optimal control problem for stochastic systems with random coefficients, where the corresponding cost parameters need not be definite matrices. Although the solution to this problem was obtained previously
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::1256e61acc1e586950624e750b3c5fbc
https://doi.org/10.1109/tac.2020.2970982
https://doi.org/10.1109/tac.2020.2970982
Publikováno v:
Journal of the Franklin Institute. 357:10861-10885
In this paper, we study Berge equilibria in linear-quadratic mean-field-type game problems under a jump-diffusion-regime switching state dynamics that incorporate mean-field terms in both the states and cost functional. In the cost functional, we con
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::166c4c55ace1c22c7d6b20312ad174fa
https://doi.org/10.1016/j.jfranklin.2020.08.019
https://doi.org/10.1016/j.jfranklin.2020.08.019
Publikováno v:
IEEE Transactions on Automatic Control. 65:2582-2597
This article examines mean-field-type game problems by means of a direct method. We provide various solvable examples beyond the classical linear-quadratic game problems. These include quadratic–quadratic games and games with power, logarithmic, si
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::20d5dde38557e30b845ccdf94f6ca545
https://doi.org/10.1109/tac.2019.2946337
https://doi.org/10.1109/tac.2019.2946337
Autor:
Tyrone E. Duncan
Publikováno v:
Journal of Theoretical Probability. 34:81-89
A theta function for an arbitrary connected and simply connected compact simple Lie group is defined as an infinite determinant that is naturally related to the transformation of a family of independent Gaussian random variables associated with a pin
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::e2ef0fe6aacf4643ff4aa53ed4c92591
https://doi.org/10.1007/s10959-019-00977-y
https://doi.org/10.1007/s10959-019-00977-y