Browsing by Subject "Markovian"
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(2012)The aim of this paper is to address optimality of stochastic control strategies via dynamic programming subject to total variational distance uncertainty on the conditional distribution of the controlled process. Utilizing ...
(2009)The Lamperti transformation of a self-similar process is a stationary process. In particular, the fractional Brownian motion transforms to the second order stationary Gaussian process. This process is represented as a ...