A stochastic maximum principle via Malliavin calculus

This paper considers a controlled It\^o-L\'evy process where the information available to the controller is possibly less than the overall information. All the system coefficients and the objective performance functional are allowed to be random, possibly non-Markovian. Malliavin calculus is employed to derive a maximum principle for the optimal control of such a system where the adjoint process is explicitly expressed

Optimal switching over multiple regimes

This paper studies the optimal switching problem for a general one-dimensional diffusion with multiple (more than two) regimes. This is motivated in the real options literature by the investment problem of a firm managing several production modes while facing uncertainties. A viscosity solutions approach is employed to carry out a fine analysis on the associated system of variational inequalities, leading to sharp qualitative characterizations of the switching regions. These characterizations, in turn, reduce the switching problem into one of finding a finite number of threshold values in state that would trigger switchings. The results of our analysis take several qualitatively different forms depending on model parameters, and the issue of when and where it is optimal to switch is addressed. The general results are then demonstrated by the three-regime case, where a quasi-explicit solution is obtained, and a numerical procedure to find these critical values is devised in terms of the expectation functionals of hitting times for one-dimensional diffusions

A Biographical Note And Tribute To Xunjing Li On His 80Th Birthday

Professor Xunjing Li was born in Qingdao, Shandong Province, China, on the 13th June 1935. Shandong is a province with a rich culture that has nurtured a great number of influential intellectuals during its long history, including Confucius. Immediately after his graduation from the Department of Mathematics at Shandong University in 1956, Professor Li was enrolled into the master program at Fudan University specializing in function approximation theory, supervised by Professor Jiangong Chen, one of the most prominent Chinese mathematicians in modern history. He stayed at Fudan as an Assistant Lecturer upon graduation in 1959, and was promoted to Lecturer, Associate Professor and Professor in 1962, 1980, and 1984, respectively. He became a Chair Professor in 1997, before retiring in 2001. He died of cancer in February 2003 at the age of 68

A modified speed and position estimation technique for pmsm based on estimation rotating reference frame model

Conference Name:2012 Spring World Congress on Engineering and Technology, SCET 2012. Conference Address: Xi'an, China. Time:May 27, 2012 - May 30, 2012.IEEE Xi'an Section; IEEE Wuhan Section; Wuhan University; Key Lab. Road Constr. Technol. Equip. (Chang'an Univ.); MOEIn order to improve the speed and position estimation technique in [13], this paper presents a modified method. From [13] we found that the speed and position estimation technique, which was base on estimated reference frame, could give exceptional estimation results without several problems. Since the Extended Kalman Filter (EKF) method in [13] could not track the speed variation properly, a modification was proposed to improve the EKF method's performance, besides a simplified EKF algorithm was adopted to make the calculation more efficient. The results of the simulation demonstrate the feasibility and effectiveness of the proposed method using Matlab/Simulink facility. 漏 2012 IEEE