Abstract: This paper studies a linear-quadratic optimal control problem derived by forward-backward stochastic differential equations, where the drift coefficient of ...

Abstract: An iterative algorithm to solve Algebraic Riccati Equations with an indefinite quadratic term is proposed. The global convergence and local quadratic rate of convergence of the algorithm are ...

Dynamic complex matrix equation (DCME) is frequently encountered in the fields of mathematics and industry, and numerous recurrent neural network (RNN) models have been reported to effectively find ...

Partial differential equations (PDEs) are among the most ubiquitous tools used in modeling problems in nature. However, solving high-dimensional PDEs has been notoriously difficult due to the “curse ...

Our July Insights column was inspired by the mathematics of the phenomenal 20th-century number theorist Srinivasa Ramanujan, whose romantic and tragic life story was the subject of the recent film The ...

ABSTRACT: The risk-sensitive filtering design problem with respect to the exponential mean-square cost criterion is con-sidered for stochastic Gaussian systems with polynomial of second and third ...