Browsing by Subject "Stochastic differential equations"
Now showing items 1-13 of 13
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Article
Centralized Versus Decentralized Optimization of Distributed Stochastic Differential Decision Systems with Different Information Structures-Part I: A General Theory
(2017)Decentralized optimization of distributed stochastic dynamical systems with two or more controls of the decision makers (DMs) has been an active area of research for over half a century. Although, such decentralized ...
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Article
Decentralized optimality conditions of stochastic differential decision problems via Girsanov’s measure transformation
(2016)In this paper, we apply two methods to derive necessary and sufficient decentralized optimality conditions for stochastic differential decision problems with multiple Decision Makers (DMs), which aim at optimizing a common ...
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Conference Object
Estimation and identification of time-varying long-term fading wireless channels with application to power control
(Institute of Electrical and Electronics Engineers Inc., 2007)This paper is concerned with modeling of time-varying wireless fading channels, parameter estimation, identification, and optimal power control from received signal measurements. Wireless channels are represented by ...
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Conference Object
A general framework for continuous time power control in time varying long term fading wireless networks
(2007)In this paper, a general framework for continuous time power control algorithm under time varying long term fading wireless channels is developed. This contrasts most of the power control algorithms introduced in the ...
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Article
Minimax games for stochastic systems subject to relative entropy uncertainty: Applications to SDEs on Hilbert spaces
(2007)In this paper, we consider minimax games for stochastic uncertain systems with the pay-off being a nonlinear functional of the uncertain measure where the uncertainty is measured in terms of relative entropy between the ...
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Article
Modeling wireless fading channels via stochastic differential equations: Identification and estimation based on noisy measurements
(2008)This paper is concerned with modeling and identification of wireless channels using noisy measurements. The models employed are governed by Stochastic Differential Equations (SDEs) in state space form, while the identification ...
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Article
Quadratic forms for Feynman-Kac semigroups
(2006)Some problems in a stochastic setting often involve the need to evaluate the Feynman-Kac formula that follows from models described in terms of stochastic differential equations. Equivalent representations in terms of ...
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Article
Stochastic differential equations for modeling, estimation and identification of mobile-to-mobile communication channels
(2009)Mobile-to-mobile networks are characterized by node mobility that makes the propagation environment time varying and subject to fading. As a consequence, the statistical characteristics of the received signal vary continuously, ...
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Article
Stochastic minimum principle for partially observed systems subject to continuous and jump diffusion processes and driven by relaxed controls
(2013)In this paper, we consider nonconvex control problems of stochastic differential equations driven by relaxed controls adapted, in the weak star sense, to a current of sigma algebras generated by observable processes. We ...
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Conference Object
Stochastic models for long-term multipath fading channels and their statistical properties
(IEEE, 1999)This paper discusses the use of stochastic differential equations and point processes to model the long-term fading effects during transmission of electromagnetic waves over large areas, which are subject to multipaths and ...
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Conference Object
Stochastic models for short-term multipath fading channels: chi-square and Ornstein-Uhlenbeck processes
(IEEE, 1999)This paper discusses the use of stochastic differential equations to model signal envelope variations over areas, which are subject to short-term fading effects. The short-term fading effects are modeled using Ornstein-Uhlenbeck ...
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Conference Object
Stochastic optimal control subject to variational norm uncertainty: Viscosity subsolution for generalized HJB inequality
(2009)This paper is concerned with optimization of stochastic uncertain systems, when systems are described by measures and the pay-off by a linear functional on the space of measure, on general abstract spaces. Robustness is ...
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Article
Stochastic power control for wireless networks via SDEs: Probabilistic QoS measures
(2005)The power control of wireless networks is formulated using a stochastic optimal control framework, in which the evolution of the channel is described by stochastic differential equations (SDEs). The latter rapture the ...