We study regression models for nonstationary categorical time series and their applications, and address the issues of prediction, estimation and control. Generalized Linear Models and Partial Likelihood are the basic tools in the present study. The models link the probabilities of each category...

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...

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...

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. 

The loss of cell cycle control is often associated with cancers and other different diseases. With the accumulation of omics data, the network for molecule interactions in the cell cycle process will become much clearer. The identification of the crucial modules in a giant network and...

The objective of this paper is to correct and improve the results obtained by Van der Ploeg (1984a, 1984b) and utilized in the literature related to feedback stochastic optimal control sensitive to constant exogenous risk-aversion (Karp 1987; Whittle 1989, 1990; Chow 1993, amongst others). More...

This paper illustrates the use of dual/adaptive control methods to compare passive and active adaptive management decisions in the context of an ecosystem with a threshold effect. Using discrete-time dynamic programming techniques, we model optimal phosphorus loadings under both uncertainty...