A backward Itô–Ventzell formula with an application to stochastic interpolation

Decision criteria in risk analysis : an application of stochastic dominance with respect to a function

a new type-ii fuzzy logic based controller for non-linear dynamical systems with application to 3-psp parallel robot

abstract type-ii fuzzy logic has shown its superiority over traditional fuzzy logic when dealing with uncertainty. type-ii fuzzy logic controllers are however newer and more promising approaches that have been recently applied to various fields due to their significant contribution especially when the noise (as an important instance of uncertainty) emerges. during the design of type- i fuz...

An Alternative Backward Fuzzy Rule Interpolation Method

Fuzzy set theory allows for the inclusion of vague human assessments in computing problems. Also, it provides an effective means for conflict resolution of multiple criteria and better assessment of options. Fuzzy rule interpolation offers a useful means for enhancing the robustness of fuzzy models by making inference possible in sparse rule-based systems. However, in real-world applications of...

An Application of Functional Ito's Formula to Stochastic Portfolio Optimization with Bounded Memory

We consider a stochastic portfolio optimization model in which the returns of risky asset depend on its past performance. The price of the risky asset is described by a stochastic delay differential equation. The investor’s goal is to maximize the expected discounted utility by choosing optimal investment and consumption as controls. We use the functional Ito’s formula to derive the associated ...

Application of the block backward differential formula for numerical solution of Volterra integro-differential equations

In this paper, we consider an implicit block backward differentiation formula (BBDF) for solving Volterra Integro-Differential Equations (VIDEs). The approach given in this paper leads to numerical methods for solving VIDEs which avoid the need for special starting procedures. Convergence order and linear stability properties of the methods are analyzed. Also, methods with extensive stability r...