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Partially Observed Risk-Sensitive Stochastic Control Problems with Non-Convexity Restriction
The paper considers partially observed optimal control problems for risk-sensitive stochastic systems, where the control domain is non-convex and the...
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Data-Driven Direct Adaptive Risk-Sensitive Control of Stochastic Systems
The authors propose a data-driven direct adaptive control law based on the adaptive dynamic programming (ADP) algorithm for continuous-time...
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Stochastic Analysis, Filtering, and Stochastic Optimization A Commemorative Volume to Honor Mark H. A. Davis's Contributions
This volume is a collection of research works to honor the late Professor Mark H.A. Davis, whose pioneering work in the areas of Stochastic...
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Risk-Sensitive Markov Decision Problems under Model Uncertainty: Finite Time Horizon Case
In this paper we study a class of risk-sensitive Markovian control problems in discrete time subject to model uncertainty. We consider a...
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Partially Observed Discrete-Time Risk-Sensitive Mean Field Games
In this paper, we consider discrete-time partially observed mean-field games with the risk-sensitive optimality criterion. We introduce...
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Particle Filtering and Estimation
This chapter introduces an algorithm called particle filtering used for the inference of the most likely sample path of a hidden process driving...
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Risk filtering and risk-averse control of Markovian systems subject to model uncertainty
We consider a Markov decision process subject to model uncertainty in a Bayesian framework, where we assume that the state process is observed but...
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Uncertainty and filtering of hidden Markov models in discrete time
We consider the problem of filtering an unseen Markov chain from noisy observations, in the presence of uncertainty regarding the parameters of the...
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Robust Designs Through Risk Sensitivity: An Overview
This is an overview paper on the relationship between risk-averse designs based on exponential loss functions with or without an additional unknown...
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Optimal Reinsurance and Investment Strategies Under Mean-Variance Criteria: Partial and Full Information
This paper is concerned with an optimal reinsurance and investment problem for an insurance firm under the criterion of mean-variance. The driving...
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How to Construct a Lower Risk FOF Based on Correlation Network? The Method of Principal Component Risk Parity Asset Allocation
In order to build a low-risk Fund of Funds (FOF), from the perspective of correlation, the principal component factor is used to improve the...
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Encounters with Martingales in Stochastic Control
The martingale approach to stochastic control is very natural and avoids some major mathematical difficulties that arise when Hamilton-Jacobi-Bellman...
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Non-Invasive Detection of Fetal Ischemia Through Electrocardiography
During pregnancy, fetal distress requiring clinical intervention can be difficult to accurately monitor and diagnose, necessitating technological...
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In Between the \(LQG/H_{2}\)- and \(H_{\infty } \)-Control Theories
AbstractIn this survey, we discuss various approaches to control theory that have arisen in the recent decades and reflect the desire to reach a...
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The Heterogeneous Severity of COVID-19 in African Countries: A Modeling Approach
The COVID-19 pandemic has had a considerable impact on global health and economics. The impact in African countries has not been...
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Analysis of Fraud Detection Approaches in Online Payment Systems
Detecting fraud is an important topic that is appropriate to many different industries, together with the banking industry, government agencies,...
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Robust Omega ratio optimization using regular vines
We study the robust portfolio optimization model for the Omega ratio when the joint ambiguity in the returns distributions is modeled utilizing...
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Stabilization and Tracking of the Trajectory of a Linear System with Jump Drift
AbstractFor a controlled linear stochastic differential system, we consider the problem of tracking the jum** state of an additive input action...
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Augmentation of Cardiac Ischemic Geometry for Improving Machine Learning Performance in Arrhythmic Risk Stratification
Ventricular arrhythmias frequently occur as a complication of myocardial infarction (MI), due to significant changes in the heart’s structure and...