We consider the problem of minimizing the shortfall risk when the aim is to hedge a contingent claim in a binomial market model and the initial capital is insufficient for a perfect hedge. This problem has been solved under complete information on the underlying model in [3].  We present two...

This paper proposes a direct adaptive fuzzy-model-based control algorithm. The controller is based on an inverse semi-linguistic fuzzy process model, identified and adapted via input-matching technique. For the adaptation of the fuzzy model a general learning rule has been developed employing...

Cascade control configurations offer interesting possibilities to improve the control of processes. However, the tuning of cascade controllers can be quite complex, which hampers a wider spread of applications. Using an on-line pattern recognition approach and fuzzy inferencing it is possible to...

Given data, uj,yj,j=1,...,n, with uj an input sequence to a system while output is yj, an approximation to the structure of the system generating yj is to be obtained by regressing yj on uj-i,yj-ii=1,...,pn, where pn increases with n. In this paper the rate of convergence of the coefficient...

An exact procedure is developed for sequentially updating the optimal solution for a general discrete-time nonlinear least-squares estimation problem as the process length increases and new observations are obtained. The optimal sequential estimation equations are derived by means of an...

A method is proposed for the sequential updating of criterion functions on the basis of past reward observations in analogy to Bayes' rule for the updating of probability distribution functions.