6 papers · 1 filter
Linear Filtering for Discrete Time Systems Driven by Fractional Noises
Yuecai Han, Yuhang Li
In this paper, we study the discrete time filtering problems for linear systems driven by fractional noises. The main difficulty comes from the non-Markovian of the noises. We cons…
Maximum principle for discrete-time control systems driven by fractional noises and related backward stochastic difference equations
Yuecai Han, Yuhang Li
In this paper, the optimal control for discrete-time systems driven by fractional noises is studied. A stochastic maximum principle is obtained by introducing a backward stochastic…
Optimal Filtering for Interacting Particle Systems
Andrey Dorogovtsev, Yuecai Han, Kateryna Hlyniana +1
In this paper, we study the optimal filtering problem for a interacting particle system generated by stochastic differential equations with interaction. By using Malliavin calculus…
Statistical inference for multi-regime threshold Ornstein-Uhlenbeck processes
Yuecai Han, Dingwen Zhang
In this paper, we investigate the parameter estimation for threshold OrnsteinUhlenbeck processes. Least squares method is used to obtain continuous-type and discrete-ty…
Stochastic Maximum Principle for Control System with Time-varying delay
Yuhang Li, Yuecai Han
In this paper, we study the stochastic optimal control problem for control system with time-varying delay. The corresponding stochastic differential equation is a kind of stochasti…
Maximum principle for optimal control of interacting particle system: stochastic flow model
Andrey A. Dorogovtsev, Yuecai Han, Kateryna Hlyniana +1
In this paper, we consider the stochastic optimal control problem for the interacting particle system. We obtain the stochastic maximum principle of the optimal control system by i…