Accelerated procedures for the solution of discrete Markov control problems Final report

Accelerated procedures for solution of discrete Markov control problem

Mathematical programming and the control of Markov chains

Linear and dynamic programming and Markov chain optimal contro

Self-Averaging Scaling Limits of Two-Frequency Wigner Distribution for Random Paraxial Waves

Two-frequency Wigner distribution is introduced to capture the asymptotic behavior of the space-frequency correlation of paraxial waves in the radiative transfer limits. The scaling limits give rises to deterministic transport-like equations. Depending on the ratio of the wavelength to the correlation length the limiting equation is either a Boltzmann-like integral equation or a Fokker-Planck-like differential equation in the phase space. The solutions to these equations have a probabilistic representation which can be simulated by Monte Carlo method. When the medium fluctuates more rapidly in the longitudinal direction, the corresponding Fokker-Planck-like equation can be solved exactly.Comment: typos correcte

Improving palliative treatment of patients with non-operable cancer of the oesophagus: training doctors and nurses in the use of self-expanding metal stents (SEMS) in Malawi

Cancer of the oesophagus is the 6th most common cancer in Malawi. Nationwide only three hospitals are able to perform oesophagectomies, and there is no radiotherapy- or chemotherapy available. Owing to late presentation of the patients (sometimes in combination with co-morbidities such as HIV/AIDS or tuberculosis) the vast majority of patients are not suitable for surgery. Self-expanding metal stents (SEMS) of the oesophagus provide a suitable palliative option to improve the quality of life  for patients. This project took a nationwide approach, raising funds for both technical equipment and training of endoscopists and nursing staff throughout Malawi

A fully-discrete scheme for systems of nonlinear Fokker-Planck-Kolmogorov equations

We consider a system of Fokker-Planck-Kolmogorov (FPK) equations, where the dependence of the coefficients is nonlinear and nonlocal in time with respect to the unknowns. We extend the numerical scheme proposed and studied recently by the authors for a single FPK equation of this type. We analyse the convergence of the scheme and we study its applicability in two examples. The first one concerns a population model involving two interacting species and the second one concerns two populations Mean Field Games

CONVERGENCE OF AMERICAN OPTION VALUES FROM DISCRETE- TO CONTINUOUS-TIME FINANCIAL MODELS 1

Peer Reviewedhttp://deepblue.lib.umich.edu/bitstream/2027.42/75553/1/j.1467-9965.1994.tb00059.x.pd

The filtering equations revisited

The problem of nonlinear filtering has engendered a surprising number of mathematical techniques for its treatment. A notable example is the change-of--probability-measure method originally introduced by Kallianpur and Striebel to derive the filtering equations and the Bayes-like formula that bears their names. More recent work, however, has generally preferred other methods. In this paper, we reconsider the change-of-measure approach to the derivation of the filtering equations and show that many of the technical conditions present in previous work can be relaxed. The filtering equations are established for general Markov signal processes that can be described by a martingale-problem formulation. Two specific applications are treated

Bellman equations for optimal feedback control of qubit states

Using results from quantum filtering theory and methods from classical control theory, we derive an optimal control strategy for an open two-level system (a qubit in interaction with the electromagnetic field) controlled by a laser. The aim is to optimally choose the laser's amplitude and phase in order to drive the system into a desired state. The Bellman equations are obtained for the case of diffusive and counting measurements for vacuum field states. A full exact solution of the optimal control problem is given for a system with simpler, linear, dynamics. These linear dynamics can be obtained physically by considering a two-level atom in a strongly driven, heavily damped, optical cavity.Comment: 10 pages, no figures, replaced the simpler model in section

Some Estimates for Finite Difference Approximations

Some estimates for the approximation of optimal stochastic control problems by discrete time problems are obtained. In particular an estimate for the solutions of the continuous time versus the discrete time Hamilton-Jacobi-Bellman equations is given. The technique used is more analytic than probabilistic