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Tyrone E. Duncan

15 works· latest 2019· 2 institutionscluster: provisionalORCID 0000-0002-6664-9967

h-index15

i1015

Citations1,328

Works here15

Most cited in this library

Stochastic Calculus for Fractional Brownian Motion I. Theory2000 · 571 citations
A Kiefer-Wolfowitz algorithm with randomized differences1999 · 105 citations
Numerical Methods for Stochastic Control Problems in Continuous Time (Harold J. Kushner and Paul G. Dupuis)1994 · 102 citations
On the Solutions of a Stochastic Control System1971 · 98 citations
Stochastic equations in Hilbert space with a multiplicative fractional Gaussian noise2005 · 82 citations

Works

15 shown

Linear–Quadratic Mean-Field-Type Games: Jump–Diffusion Process With Regime Switching

IEEE Transactions on Automatic Control·2019·3 authors

40citations

Risk-Sensitive Zero-Sum Differential Games

IEEE Transactions on Automatic Control·2018·3 authors

43citations

Linear–Quadratic Mean-Field-Type Games: A Direct Method

Games·2018·2 authors·Open access

47citations

Linear-Quadratic Stochastic Differential Games with General Noise Processes

International series in management science/operations research/International series in operations research & management science·2013·1 author·chapter

26citations

Linear-Quadratic Fractional Gaussian Control

SIAM Journal on Control and Optimization·2013·2 authors·Open access

62citations

STOCHASTIC INTEGRATION FOR FRACTIONAL BROWNIAN MOTION IN A HILBERT SPACE

Stochastics and Dynamics·2006·3 authors

Prediction for some processes related to a fractional Brownian motion

Statistics & Probability Letters·2005·1 author

25citations

Stochastic equations in Hilbert space with a multiplicative fractional Gaussian noise

Stochastic Processes and their Applications·2005·3 authors·Open access

82citations

Stochastic calculus for fractional Brownian motion. I. Theory

IEEE Conference on Decision and Control (CDC)·2002·3 authors·other·Open access

25citations

Stochastic Calculus for Fractional Brownian Motion I. Theory

SIAM Journal on Control and Optimization·2000·3 authors

571citations

Some Applications of Fractional Brownian Motion to Linear Systems

Kluwer international series in engineering and computer science·2000·1 author·chapter

24citations

A Kiefer-Wolfowitz algorithm with randomized differences

IEEE Transactions on Automatic Control·1999·3 authors·Open access

105citations

Stochastic systems in Riemannian manifolds

Journal of Optimization Theory and Applications·1979·1 author

26citations

On the Solutions of a Stochastic Control System

SIAM Journal on Control·1971·2 authors·Open access

98citations