A Method for Identification of Markovian Jump ARX Processes

Optimal Control of Markovian Jump Processes with Different Information Structures Optimal Control of Markovian Jump Processes with Different Information Structures

Stochastic jump processes for non-Markovian quantum dynamics

It is shown that non-Markovian master equations for an open system which are local in time can be unravelled through a piecewise deterministic quantum jump process in its Hilbert space. We derive a stochastic Schrödinger equation that reveals how non-Markovian effects are manifested in statistical correlations between different realizations of the process. Moreover, we demonstrate that possible...

Markovian Jump Linear Systems

Abstract : In this paper we consider the mixed H /H -control problem for the class of discrete-time 2 _ linear systems with parameters subject to Markovian jumps (MJLS). It is assumed that both the state variable and the jump variable are available to the controller. The transition probability matrix may not be exactly known, but belongs to an appropriate convex set. For this controlled discret...

A penalty method for American options with jump diffusion processes

The fair price for an American option where the underlying asset follows a jump diffusion process can be formulated as a partial integral differential linear complementarity problem. We develop an implicit discretization method for pricing such American options. The jump diffusion correlation integral term is computed using an iterative method coupled with an FFT while the American constraint i...

A new chart-independent method for fast identification of control level of industrial processes using continuous data

A new method is developed for a fast identification of the stability situation of industrial processes. The proposed method includes two factor ratios of the control constants for the upper and lower control limits to process these constants. An indication ratio is then defined as the ratio of the maximum data range value to the difference between the maximum and average values for individual d...