Stochastic Analysis Control Optimization And Applications
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Stochastic Analysis Control Optimization and Applications
Author | : William M. McEneaney,G. George Yin,Qing Zhang |
Publsiher | : Springer Science & Business Media |
Total Pages | : 660 |
Release | : 2012-12-06 |
Genre | : Technology & Engineering |
ISBN | : 9781461217848 |
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In view of Professor Wendell Fleming's many fundamental contributions, his profound influence on the mathematical and systems theory communi ties, his service to the profession, and his dedication to mathematics, we have invited a number of leading experts in the fields of control, optimiza tion, and stochastic systems to contribute to this volume in his honor on the occasion of his 70th birthday. These papers focus on various aspects of stochastic analysis, control theory and optimization, and applications. They include authoritative expositions and surveys as well as research papers on recent and important issues. The papers are grouped according to the following four major themes: (1) large deviations, risk sensitive and Hoc control, (2) partial differential equations and viscosity solutions, (3) stochastic control, filtering and parameter esti mation, and (4) mathematical finance and other applications. We express our deep gratitude to all of the authors for their invaluable contributions, and to the referees for their careful and timely reviews. We thank Harold Kushner for having graciously agreed to undertake the task of writing the foreword. Particular thanks go to H. Thomas Banks for his help, advice and suggestions during the entire preparation process, as well as for the generous support of the Center for Research in Scientific Computation. The assistance from the Birkhauser professional staff is also greatly appreciated.
Stochastic Analysis Control Optimization and Applications
Author | : Wendell Helms Fleming,William M. McEneaney,George Yin,Qing Zhang |
Publsiher | : Birkhauser |
Total Pages | : 637 |
Release | : 1999 |
Genre | : Control theory |
ISBN | : 3764340789 |
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This is a survey of developments, results, and applications in stochastic analysis, control theory, optimization and applications. It should be a valuable resource for practitioners, researchers and professionals in applied mathematics, operations research and engineering.
Analysis and Optimisation of Stochastic Systems
Author | : O. L. R. Jacobs |
Publsiher | : Unknown |
Total Pages | : 600 |
Release | : 1980 |
Genre | : Mathematics |
ISBN | : UOM:39015000980535 |
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Optimal stochastic control; Stochastic optimisation; Stochastic processes; Algorithms; Information; Parameter estimation; Applications.
Modeling Stochastic Control Optimization and Applications
Author | : George Yin,Qing Zhang |
Publsiher | : Springer |
Total Pages | : 599 |
Release | : 2019-07-16 |
Genre | : Mathematics |
ISBN | : 9783030254988 |
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This volume collects papers, based on invited talks given at the IMA workshop in Modeling, Stochastic Control, Optimization, and Related Applications, held at the Institute for Mathematics and Its Applications, University of Minnesota, during May and June, 2018. There were four week-long workshops during the conference. They are (1) stochastic control, computation methods, and applications, (2) queueing theory and networked systems, (3) ecological and biological applications, and (4) finance and economics applications. For broader impacts, researchers from different fields covering both theoretically oriented and application intensive areas were invited to participate in the conference. It brought together researchers from multi-disciplinary communities in applied mathematics, applied probability, engineering, biology, ecology, and networked science, to review, and substantially update most recent progress. As an archive, this volume presents some of the highlights of the workshops, and collect papers covering a broad range of topics.
Continuous time Stochastic Control and Optimization with Financial Applications
Author | : Huyên Pham |
Publsiher | : Springer Science & Business Media |
Total Pages | : 243 |
Release | : 2009-05-28 |
Genre | : Mathematics |
ISBN | : 9783540895008 |
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Stochastic optimization problems arise in decision-making problems under uncertainty, and find various applications in economics and finance. On the other hand, problems in finance have recently led to new developments in the theory of stochastic control. This volume provides a systematic treatment of stochastic optimization problems applied to finance by presenting the different existing methods: dynamic programming, viscosity solutions, backward stochastic differential equations, and martingale duality methods. The theory is discussed in the context of recent developments in this field, with complete and detailed proofs, and is illustrated by means of concrete examples from the world of finance: portfolio allocation, option hedging, real options, optimal investment, etc. This book is directed towards graduate students and researchers in mathematical finance, and will also benefit applied mathematicians interested in financial applications and practitioners wishing to know more about the use of stochastic optimization methods in finance.
Control Theory Stochastic Analysis And Applications Proceedings Of Symposium On System Sciences And Control Theory
Author | : S P Chen,Jiongmin Yong |
Publsiher | : World Scientific |
Total Pages | : 306 |
Release | : 1992-03-27 |
Genre | : Electronic Book |
ISBN | : 9789814555005 |
Download Control Theory Stochastic Analysis And Applications Proceedings Of Symposium On System Sciences And Control Theory Book in PDF, Epub and Kindle
The symposium discusses and explores the current and future development of some aspects of the theory of nonlinear control systems, adaptive control and filtering, robust control and H∞ optimization, stochastic systems and white noise analysis, etc.
Stochastic Processes Optimization and Control Theory Applications in Financial Engineering Queueing Networks and Manufacturing Systems
Author | : Houmin Yan,G. George Yin,Qing Zhang |
Publsiher | : Springer Science & Business Media |
Total Pages | : 397 |
Release | : 2006-09-10 |
Genre | : Technology & Engineering |
ISBN | : 9780387338156 |
Download Stochastic Processes Optimization and Control Theory Applications in Financial Engineering Queueing Networks and Manufacturing Systems Book in PDF, Epub and Kindle
This edited volume contains 16 research articles. It presents recent and pressing issues in stochastic processes, control theory, differential games, optimization, and their applications in finance, manufacturing, queueing networks, and climate control. One of the salient features is that the book is highly multi-disciplinary. The book is dedicated to Professor Suresh Sethi on the occasion of his 60th birthday, in view of his distinguished career.
Lectures on BSDEs Stochastic Control and Stochastic Differential Games with Financial Applications
Author | : Rene Carmona |
Publsiher | : SIAM |
Total Pages | : 265 |
Release | : 2016-02-18 |
Genre | : Mathematics |
ISBN | : 9781611974249 |
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The goal of this textbook is to introduce students to the stochastic analysis tools that play an increasing role in the probabilistic approach to optimization problems, including stochastic control and stochastic differential games. While optimal control is taught in many graduate programs in applied mathematics and operations research, the author was intrigued by the lack of coverage of the theory of stochastic differential games. This is the first title in SIAM?s Financial Mathematics book series and is based on the author?s lecture notes. It will be helpful to students who are interested in stochastic differential equations (forward, backward, forward-backward); the probabilistic approach to stochastic control (dynamic programming and the stochastic maximum principle); and mean field games and control of McKean?Vlasov dynamics. The theory is illustrated by applications to models of systemic risk, macroeconomic growth, flocking/schooling, crowd behavior, and predatory trading, among others.