Temat: first-passage time - Katalog OPAC zbiorów

Skocz do pozycji: 1.

Tytuł:: The LQG homing problem for a Wiener process with random infinitesimal parameters
Autorzy:: Lefebvre, Mario
Moutassim, Abderrazak
Powiązania:: https://bibliotekanauki.pl/articles/229262.pdf
Data publikacji:: 2019
Wydawca:: Polska Akademia Nauk. Czytelnia Czasopism PAN
Tematy:: stochastic optimal control
first-passage time
dynamic programming
Brownian motion
Opis:: The problem of optimally controlling a Wiener process until it leaves an interval (a, b) for the first time is considered in the case when the infinitesimal parameters of the process are random. When a = -∞, the exact optimal control is derived by solving the appropriate system of differential equations, whereas a very precise approximate solution in the form of a polynomial is obtained in the two-barrier case.
Źródło:: Archives of Control Sciences; 2019, 29, 3; 413-422
1230-2384
Pojawia się w:: Archives of Control Sciences
Dostawca treści:: Biblioteka Nauki

Artykuł

Skocz do pozycji: 2.

Tytuł:: A boundary value problem for a non-linear difference equation
Autorzy:: Lefebvre, Mario
Powiązania:: https://bibliotekanauki.pl/articles/27324014.pdf
Data publikacji:: 2023
Wydawca:: Polska Akademia Nauk. Czasopisma i Monografie PAN
Tematy:: higher-order difference equations
optimal control
dynamic programming
first-passage time
homing problem
Opis:: A boundary value problem for a non-linear difference equation of order three is considered. We show that this equation can be interpreted as the equation satisfied by the value function in a stochastic optimal control problem. We thus obtain an expression for the solution of the non-linear difference equation that can be used to find an explicit solution to this equation. An example is presented.
Źródło:: Archives of Control Sciences; 2023, 33, 4; 829--837
1230-2384
Pojawia się w:: Archives of Control Sciences
Dostawca treści:: Biblioteka Nauki

Artykuł

Skocz do pozycji: 3.

Tytuł:: Minimizing the time spent in an interval by a Wiener process with uniform jumps
Autorzy:: Lefebvre, Mario
Powiązania:: https://bibliotekanauki.pl/articles/1839133.pdf
Data publikacji:: 2019
Wydawca:: Polska Akademia Nauk. Instytut Badań Systemowych PAN
Tematy:: Brownian motion
Poisson process
first-passage time
optimal stochastic control
integro-differential equation
Opis:: Let Xu(t) be a controlled Wiener process with jumps that are uniformly distributed over the interval [−c, c]. The aim is to minimize the time spent by Xu(t) in the interval [a, b]. The integro- differential equation, satisfied by the value function, is transformed into an ordinary differential equation and is solved explicitly for a particular case. The approximate solution obtained is precise when c is small.
Źródło:: Control and Cybernetics; 2019, 48, 3; 407-415
0324-8569
Pojawia się w:: Control and Cybernetics
Dostawca treści:: Biblioteka Nauki

Artykuł

Skocz do pozycji: 4.

Tytuł:: A recurrence theorem for square-integrable martingales
Autorzy:: Alsmeyer, Gerold
Powiązania:: https://bibliotekanauki.pl/articles/1290203.pdf
Data publikacji:: 1994
Wydawca:: Polska Akademia Nauk. Instytut Matematyczny PAN
Tematy:: martingale
stochastic $L_2$-boundedness
recurrence
first passage time
Blackwell's renewal theorem
coupling
Opis:: Let $(M_n)_{n≥0}$ be a zero-mean martingale with canonical filtration $(ℱ_n)_{n≥0}$ and stochastically $L_2$-bounded increments $Y_1,Y_2,..., $ which means that $P(|Y_n| > t | ℱ_{n-1}) ≤ 1 - H(t)$ a.s. for all n ≥ 1, t > 0 and some square-integrable distribution H on [0,∞). Let $V^2 = ∑_{n≥1} E(Y_{n}^{2}|ℱ_{n-1})$. It is the main result of this paper that each such martingale is a.s. convergent on {V < ∞} and recurrent on {V = ∞}, i.e. $P(M_{n} ∈ [-c,c] i.o. | V = ∞) = 1$ for some c > 0. This generalizes a recent result by Durrett, Kesten and Lawler [4] who consider the case of only finitely many square-integrable increment distributions. As an application of our recurrence theorem, we obtain an extension of Blackwell's renewal theorem to a fairly general class of processes with independent increments and linear positive drift function.
Źródło:: Studia Mathematica; 1994, 110, 3; 221-234
0039-3223
Pojawia się w:: Studia Mathematica
Dostawca treści:: Biblioteka Nauki

Artykuł

Skocz do pozycji: 5.

Tytuł:: Transient and stationary characteristics of a packet buffer modelled as an MAP/SM/1/b system
Autorzy:: Rusek, K.
Janowski, L.
Papir, Z.
Powiązania:: https://bibliotekanauki.pl/articles/330560.pdf
Data publikacji:: 2014
Wydawca:: Uniwersytet Zielonogórski. Oficyna Wydawnicza
Tematy:: router interface
Markovian arrival process
semi Markov service time
hidden Markov model
finite buffer queue
packet loss
first passage time
proces Markowiana
model Markowa niejawny
utrata pakietu
Opis:: A packet buffer limited to a fixed number of packets (regardless of their lengths) is considered. The buffer is described as a finite FIFO queuing system fed by a Markovian Arrival Process (MAP) with service times forming a Semi-Markov (SM) process (MAP/SM/1/b in Kendall’s notation). Such assumptions allow us to obtain new analytical results for the queuing characteristics of the buffer. In the paper, the following are considered: the time to fill the buffer, the local loss intensity, the loss ratio, and the total number of losses in a given time interval. Predictions of the proposed model are much closer to the trace-driven simulation results compared with the prediction of the MAP/G/1/b model.
Źródło:: International Journal of Applied Mathematics and Computer Science; 2014, 24, 2; 429-442
1641-876X
2083-8492
Pojawia się w:: International Journal of Applied Mathematics and Computer Science
Dostawca treści:: Biblioteka Nauki

Artykuł

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