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A Numerical Approximation Framework for the Stochastic Linear Quadratic Regulator on Hilbert Spaces
ArticleAbstract: We present an approximation framework for computing the solution of the stochastic linear quadraticPalabras claves:Approximation schemes, feedback control, Riccati equations, Stochastic linear quadratic regulator problemsAutores:Hermann Mena, Levajkovic T., Tuffaha A.Fuentes:scopusA splitting/polynomial chaos expansion approach for stochastic evolution equations
ArticleAbstract: In this paper, we combine deterministic splitting methods with a polynomial chaos expansion method fPalabras claves:Analytic semigroups, Fourier–Legendre polynomials, Polynomial chaos expansion, Resolvent splitting, splitting methods, Wiener–Legendre expansionAutores:Hermann Mena, Kofler A., Levajkovic T., Ostermann A.Fuentes:scopusApplications and Numerical Approximation
Book PartAbstract: In this chapter we present applications of the chaos expansion method in optimal control and stochasPalabras claves:Autores:Hermann Mena, Levajkovic T.Fuentes:scopusGeneralized Operators of Malliavin Calculus
Book PartAbstract: In this chapter we extend Malliavin calculus from the classical finite variance setting to generalizPalabras claves:Autores:Hermann Mena, Levajkovic T.Fuentes:scopusEquations Involving Mallivin Calculus Operators
Book PartAbstract: This chapter is devoted to the study of several classes of stochastic equations involving generalizePalabras claves:Autores:Hermann Mena, Levajkovic T.Fuentes:scopusEquations involving malliavin derivative: A chaos expansion approach
Book PartAbstract: We study equations involving the Malliavin derivative operator and the Wick product with a GaussianPalabras claves:Chaos expansion, Galerkin method, Generalized stochastic process, Malliavin derivative, Stochastic differential equation, Wick productAutores:Hermann Mena, Levajkovic T.Fuentes:scopusOn deterministic and stochastic linear quadratic control problems
Conference ObjectAbstract: The numerical treatment of linear quadratic regulator (LQR), linear quadratic Gaussian (LQG) designPalabras claves:LQG, LQR, RDEs, SRDEs, Stochastic ControlAutores:Hermann Mena, Levajkovic T.Fuentes:scopusOperator differential-algebraic equations with noise arising in fluid dynamics
ArticleAbstract: We study linear semi-explicit stochastic operator differential algebraic equations (DAEs) for whichPalabras claves:Chaos expansion, Itô-Skorokhod integral, Noise disturbances, Operator DAE, regularization, Stochastic convolutionAutores:Altmann R., Hermann Mena, Levajkovic T.Fuentes:scopusLÉvy processes, subordinators and crime modelling
ArticleAbstract: We investigate some properties of Lévy processes in the context of subordinators. Lévy walks can bePalabras claves:Crime modelling, First passage time, Lévy flight, Lévy processes, Random walks, SubordinatorsAutores:Hermann Mena, Levajkovic T., Zarfl M.Fuentes:scopusWhite Noise Analysis and Chaos Expansions
Book PartAbstract: In the framework of white noise analysis, random variables and stochastic processes can be representPalabras claves:Autores:Hermann Mena, Levajkovic T.Fuentes:scopus