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Identification of the solution of the Burgers equation on a finite interval via the solution of an appropriate stochastic control problem
Stochastic Control Theory Lagrangain Brownian motion
2010/9/26
Solution of the inhomogeneous Burgers equation with given homogeneous Initial/Dirichlet boundary conditions are identified by a stochastic control problem. Our approach consists of identifying the sol...
Mean-Square Exponential Input-to-State Stability of Euler-Maruyama Method to Stochastic Control Systems
Mean-square exponential input-to-state stability Stochastic control systems Euler-Maruyama method
2009/9/9
This paper deals with the mean-square exponential input-to-state stability (exp-ISS) of Euler-Maruyama (EM) method
to stochastic control systems (SCSs). The aim is to find out the conditions of the e...