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This paper describes how to efficiently solve a robust optimal control problem using recently developed primal-dual interior-point methods. Among potential applications are model predictive control. T...
In an earlier paper, we have demonstrated that the family of all affine non-anticipative output-based control laws in a discrete time linear dynamical system affected by uncertain disturbances is equi...
Statistical inference for discrete time observations of an affine stochastic delay differential equation is considered. The main focus is on maximum pseudo-likelihood estimators, which are easy to cal...
We study causal dynamic approximation of non-bandlimited discretetime processes by band-limited discrete time processes such that a part of the historical path of the underlying process is approximate...
Extension of Lipschitz integrands and minimization of nonconvex integral functionals. Applications to the optimal recourse problem in discrete time
Let (X(t); f E N') be a random sequence adopted to . a filtration (Ft)in (a,F ,P ) satisfying some natural assumption. If none of the events (X (t + 1) > X (t)), (X (t + 1) < X (t)) can be predicted...
In the paper discrete time portblio selection with maximization of a discounted satisfaction functional is studied. In Section 2 the case without transaction costs is considered and explint solutio...
We consider a discrete time periodically correlated process {X.} which is also Markov in the wide sense. We provide closed formulas for the covariance function R (n, m) = EX, X, and for the spectra...
Adap~ve control of discrete time Markov processes with an innnite horizon risk sensitive cost hadionat is investigated. Tfie con~nuityo f the optimal nsk sensitive cost with respect to a parmetes o...
Due to the well-known fact that market returns are not normally distributed, we use generalized hyperbolic distributions for pricing options in a randomized discrete-time setup. The obtained formul...
We consider a ψ-irreducible, discrete-time Markov chain on a general state space with transition kernel P. Under suitable conditions on the chain, kernels can be treated as bounded linear operators...
Given a set-valued stochastic process (Vt)t=0,...,T, we say that the martingale selection problem is solvable if there exists an adapted sequence of selectors ξt in Vt, admitting an equivalent marting...
The nonlinear filter associated with the discrete time signal-observation model $(X_k,Y_k)$ is known to forget its initial condition as $ktoinfty$ regardless of the observation structure when the sign...
In earlier papers, 2π-periodic spectral data windows have been used in spectral estimation of discretetime random fields having finite second-order moments. In this paper, we show that 2π-periodic spe...

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