On Discrete Sampling of Time-varying Continuous-time Systems
نویسنده
چکیده
. We consider a multivariate continuous time process, generated by a system of linear stochastic di¤erential equations, driven by white noise and involving coe¢ cients that possibly vary over time. The process is observable only at discrete, but not necessarily equally-spaced, time points (though equal spacing signi cantly simpli es matters). Such settings represent partial extensions of ones studied extensively by Key Words and Phrases: Stochastic di¤erential equations; time-varying coe¢ cients; discrete sampling; irregular sampling. JEL Classi cation: C32 *Address: Department of Economics, London School of Economics, Houghton Street, London WC2A 2AE, United Kingdom. Tel: 44-020-7955-7516, Fax: 44-020-7955-6592, email: [email protected]. Research supported by ESRC Grant RES-062-23-0036.
منابع مشابه
Time-Varying Modeling of Systematic Risk: using High-Frequency Characterization of Tehran Stock Exchange
We decompose time-varying beta for stock into beta for continuous systematic risk and beta for discontinuous systematic risk. Brownian motion is assumed as nature of price movements in our modeling. Our empirical research is based on high-frequency data for stocks from Tehran Stock Exchange. Our market portfolio experiences 136 days out of 243 trading days with jumps which is a considerable rat...
متن کاملAdmissibility analysis for discrete-time singular systems with time-varying delays by adopting the state-space Takagi-Sugeno fuzzy model
This paper is pertained with the problem of admissibility analysis of uncertain discrete-time nonlinear singular systems by adopting the state-space Takagi-Sugeno fuzzy model with time-delays and norm-bounded parameter uncertainties. Lyapunov Krasovskii functionals are constructed to obtain delay-dependent stability condition in terms of linear matrix inequalities, which is dependent on the low...
متن کاملFINITE-TIME PASSIVITY OF DISCRETE-TIME T-S FUZZY NEURAL NETWORKS WITH TIME-VARYING DELAYS
This paper focuses on the problem of finite-time boundedness and finite-time passivity of discrete-time T-S fuzzy neural networks with time-varying delays. A suitable Lyapunov--Krasovskii functional(LKF) is established to derive sufficient condition for finite-time passivity of discrete-time T-S fuzzy neural networks. The dynamical system is transformed into a T-S fuzzy model with uncertain par...
متن کاملADAPTIVE FUZZY TRACKING CONTROL FOR A CLASS OF NONLINEAR SYSTEMS WITH UNKNOWN DISTRIBUTED TIME-VARYING DELAYS AND UNKNOWN CONTROL DIRECTIONS
In this paper, an adaptive fuzzy control scheme is proposed for a class of perturbed strict-feedback nonlinear systems with unknown discrete and distributed time-varying delays, and the proposed design method does not require a priori knowledge of the signs of the control gains.Based on the backstepping technique, the adaptive fuzzy controller is constructed. The main contributions of the paper...
متن کاملOptimal Finite-time Control of Positive Linear Discrete-time Systems
This paper considers solving optimization problem for linear discrete time systems such that closed-loop discrete-time system is positive (i.e., all of its state variables have non-negative values) and also finite-time stable. For this purpose, by considering a quadratic cost function, an optimal controller is designed such that in addition to minimizing the cost function, the positivity proper...
متن کامل