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...

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...

The question of the existence of optimal controls is fundamental to many further developments in control theory, and there is a huge literature on the subject. For stochastic control, variance control problems have received much attention recently owing to their importance in nancial mathematics. The existence question is answered in much the same way as it is when only the drift is controlled....

The paper provides a systematic way for finding a partial differential equation that directly characterizes the optimal control, in the framework of one–dimensional stochastic control problems of Mayer type, with no constraints on the controls. The results obtained are applied to continuous–time portfolio problems.

emission trading is one of the famous mechanisms under kyoto protocol to control environmental pollution. the aim of this paper is to design a strategic supply chain network under emission trading scheme with inclusion of stochastic parameters and budget limitation. demand and price of carbon credits are considered as the important stochastic parameters influencing the supply chain network. in ...

We develop and analyze a normative and structurally stochastic model of innovation diffusion by depicting the market at an aggregate level. Model dynamics are defined through the flow pattern of individuals that move from the innovation unaware stage, to the innovation aware, and ultimately to the adopter stages. The stochastic evolution of this stage-wise transition unfolds according to tracta...

An optimal stochastic control problem is considered for systems with unbounded controls satisfying an integral constraint. It is shown that there exists an optimal control within the class of generalized controls leading to impulse actions. Applying an approach of time transformation, developed recently for deterministic systems, the original control problem is shown to be equivalent to an opti...

This paper studies exponential convergence index assignment of stochastic control systems from the viewpoint of backward stochastic di'erential equation. Like deterministic control systems, it is shown that the exact controllability of an open-loop stochastic system is equivalent to the possibility of assigning an arbitrary exponential convergence index to the solution of the closed-loop stocha...

We will discuss the regularity theory and the geometry of the free boundary for free boundary problems of obstacle type, but without positivity assumptions, for instance the Pompeiu problem 4:15–5:00 pm Wendell Fleming Brown University Risk Sensitive Stochastic Control Abstract: Risk sensitive control provides a link between deterministic and stochastic modelling of disturbances in control syst...