Papers by Ngọc Thiện Đặng
Reducing atmospheric turbulence effects in FSO/CDMA systems by using multi-wavelength PPM signaling
ABSTRACT In this paper, we present a comprehensive study of the effects of atmospheric turbulence... more ABSTRACT In this paper, we present a comprehensive study of the effects of atmospheric turbulence, including intensity fluctuation and pulse broadening, on the performance of FSO/CDMA systems. A realistic model of Gaussian pulse propagation is used for analyzing the bit error rate (BER). The numerical results show that pulse position modulation (PPM) with high modulation level should not be used for FSO/CDMA systems as it requires to send high chip rate (i.e., short pulse), which is significantly affected by pulse broadening effect. To overcome the limitation of PPM, we propose to use multi-wavelength PPM (MWPPM), which achieves high modulation level by combining PPM and wavelength shift keying. By using MWPPM, the effects of both intensity fluctuation and pulse broadening are mitigated thus the BER is reduced. In addition, we found that the performance of FSO/CDMA systems using MWPPM can be further improved and lower BER can be achieved by using avalanche photodiode with the gain around 80 to 100.
We propose a general framework for intra-day trading based on the control of trading algorithms. ... more We propose a general framework for intra-day trading based on the control of trading algorithms. Given a generic parameterized algorithm, we control the dates (τ i) i at which it is launched, the length (δ i) i of the trading period and the value of the parameters (E i) i kept during the time interval [τ i , τ i + δ i [. This gives rise to a non-classical impulse control problem where not only the regime E i but also the period [τ i , τ i + δ i [ has to be determined by the controller at the impulse time τ i. We adapt the weak dynamic programming principle of Bouchard and Touzi (2009) to our context and provide a characterization of the associated value function as a discontinuous viscosity solution of a system of PDEs with appropriate boundary conditions, for which we prove a comparison principle. We also propose a numerical scheme for the resolution of the above system and show that it is convergent. We finally provide an example of application to a problem of optimal stock trading with a non-linear market impact function.
Systems & Control Letters, 2012
Within a general abstract framework, we show that any optimal control problem in standard form ca... more Within a general abstract framework, we show that any optimal control problem in standard form can be translated into a stochastic target problem as defined in [17], whenever the underlying filtered probability space admits a suitable martingale representation property. This provides a unified way of treating these two classes of stochastic control problems. As an illustration, we show, within a jump diffusion framework, how the Hamilton-Jacobi-Bellman equations associated to an optimal control problem in standard form can be easily retrieved from the partial differential equations associated to its stochastic target counterpart.
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Papers by Ngọc Thiện Đặng