Multi-dimensional backward stochastic Riccati di erential equations (BSRDEs in short) are studied. A closed property for solutions of BSRDEs with respect to their coeÆcients is stated and is proved for general BSRDEs, which is used to obtain the existence of a global adapted solution to some BSRDEs. The global existence and uniqueness results are obtained for two classes of BSRDEs, whose genera...

Decision making plays an important role in economics, psychology, philosophy, mathematics, statistics and many other fields. In each field, decision making consists of identifying the values, uncertainties and other issues that define the decision. In any field, the nature of the decisions is affected by environmental characteristics. In this paper, we are considered the production planning pro...

In this work we deal with a stochastic optimal Robin boundary control problem constrained by an advection-dffusion-reaction elliptic equation with advection-dominated term. We assume that the uncertainty comes from the advection field and consider a stochastic Robin boundary condition as control function. A stochastic saddle point system is formulated and proved to be equivalent to the first or...

multistage stochastic programming is a key technology for making decisions over time in an uncertain environment. one of the promising areas in which this technology is implementable, is medium term planning of electricity production and trading where decision makers are typically faced with uncertain parameters (such as future demands and market prices) that can be described by stochastic proc...

Many modern technological systems, such as cyber-physical systems, communication, transportation and social networks, smart grids, sensing and surveillance systems are informationally decentralized. A key feature of informationally decentralized systems is that decisions are made by multiple decision makers that have access to different information. This feature violates the fundamental assumpt...

The present paper addresses an effective cyber defense model by applying information fusion based game theoretical approaches‎. ‎In the present paper, we are trying to improve previous models by applying stochastic optimal control and robust optimization techniques‎. ‎Jump processes are applied to model different and complex situations in cyber games‎. ‎Applying jump processes we propose some m...

This article proposes simultaneous helicopter and control system design and illustrates its advantages. First, the traditional, sequential approach in which a satisfactory control system is designed for a given helicopter is applied. Then, a novel approach, in which the helicopter and control system are simultaneously designed, is applied to redesign the entire system. This redesign process inv...