Browsing by Subject "Recursions"

Now showing items 1-2 of 2

    • Article  

      Conditional moment generating functions for integrals and stochastic integrals 

      Charalambous, Charalambos D.; Elliott, R. J.; Krishnamurthy, V. (2003)
      In this paper we present two methods for computing filtered estimates for moments of integrals and stochastic integrals of continuous-time nonlinear systems. The first method utilizes recursive stochastic partial differential ...
    • Conference Object  

      Dynamic programming with total variational distance uncertainty 

      Charalambous, Charalambos D.; Tzortzis, I.; Charalambous, T. (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 ...