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Numerical Analysis and Computation Commons™
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Articles 61 - 65 of 65
Full-Text Articles in Numerical Analysis and Computation
Some Results Of Backward Itô Formula, Guiseppe Da Prato, Jose-Luis Menaldi, Luciano Tubaro
Some Results Of Backward Itô Formula, Guiseppe Da Prato, Jose-Luis Menaldi, Luciano Tubaro
Mathematics Faculty Research Publications
We use the notion of backward integration, with respect to a general Lévy process, to treat, in a simpler and unifying way, various classical topics as: Girsanov theorem, rst order partial differential equations, the Liouville (or Lyapunov) equations and the stochastic characteristic method.
Remarks On Risk-Sensitive Control Problems, José Luis Menaldi, Maurice Robin
Remarks On Risk-Sensitive Control Problems, José Luis Menaldi, Maurice Robin
Mathematics Faculty Research Publications
The main purpose of this paper is to investigate the asymptotic behavior of the discounted risk-sensitive control problem for periodic diffusion processes when the discount factor α goes to zero. If uα(θ, x) denotes the optimal cost function, being the risk factor, then it is shown that limα→0αuα(θ, x) = ξ(θ) where ξ(θ) is the average on ]0, θ[ of the optimal cost of the (usual) in nite horizon risk-sensitive control problem.
Invariant Measure For Diffusions With Jumps, Jose-Luis Menaldi, Maurice Robin
Invariant Measure For Diffusions With Jumps, Jose-Luis Menaldi, Maurice Robin
Mathematics Faculty Research Publications
Our purpose is to study an ergodic linear equation associated to diffusion processes with jumps in the whole space. This integro-differential equation plays a fundamental role in ergodic control problems of second order Markov processes. The key result is to prove the existence and uniqueness of an invariant density function for a jump diffusion, whose lower order coefficients are only Borel measurable. Based on this invariant probability, existence and uniqueness (up to an additive constant) of solutions to the ergodic linear equation are established.
Droplet Evaporation And Deformations In An Amplitude Modulated Ultrasonic Field, Nihad E. Daidzic, Rene Stadler, Adrian Melling
Droplet Evaporation And Deformations In An Amplitude Modulated Ultrasonic Field, Nihad E. Daidzic, Rene Stadler, Adrian Melling
Aviation Department Publications
The aim of the report presented is the measurements of droplet oscillations.
Remarks On Estimates For The Green Function, Jose Luis Menaldi
Remarks On Estimates For The Green Function, Jose Luis Menaldi
Mathematics Faculty Research Publications
No abstract provided.