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.
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 |
Download Continuous time Stochastic Control and Optimization with Financial Applications Book in PDF, Epub and Kindle
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.
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.
Deterministic and Stochastic Optimal Control
Author | : Wendell H. Fleming,Raymond W. Rishel |
Publsiher | : Springer Science & Business Media |
Total Pages | : 231 |
Release | : 2012-12-06 |
Genre | : Mathematics |
ISBN | : 9781461263807 |
Download Deterministic and Stochastic Optimal Control Book in PDF, Epub and Kindle
This book may be regarded as consisting of two parts. In Chapters I-IV we pre sent what we regard as essential topics in an introduction to deterministic optimal control theory. This material has been used by the authors for one semester graduate-level courses at Brown University and the University of Kentucky. The simplest problem in calculus of variations is taken as the point of departure, in Chapter I. Chapters II, III, and IV deal with necessary conditions for an opti mum, existence and regularity theorems for optimal controls, and the method of dynamic programming. The beginning reader may find it useful first to learn the main results, corollaries, and examples. These tend to be found in the earlier parts of each chapter. We have deliberately postponed some difficult technical proofs to later parts of these chapters. In the second part of the book we give an introduction to stochastic optimal control for Markov diffusion processes. Our treatment follows the dynamic pro gramming method, and depends on the intimate relationship between second order partial differential equations of parabolic type and stochastic differential equations. This relationship is reviewed in Chapter V, which may be read inde pendently of Chapters I-IV. Chapter VI is based to a considerable extent on the authors' work in stochastic control since 1961. It also includes two other topics important for applications, namely, the solution to the stochastic linear regulator and the separation principle.
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 Differential Inclusions and Applications
Author | : Michał Kisielewicz |
Publsiher | : Springer Science & Business Media |
Total Pages | : 282 |
Release | : 2013-06-12 |
Genre | : Mathematics |
ISBN | : 9781461467564 |
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This book aims to further develop the theory of stochastic functional inclusions and their applications for describing the solutions of the initial and boundary value problems for partial differential inclusions. The self-contained volume is designed to introduce the reader in a systematic fashion, to new methods of the stochastic optimal control theory from the very beginning. The exposition contains detailed proofs and uses new and original methods to characterize the properties of stochastic functional inclusions that, up to the present time, have only been published recently by the author. The work is divided into seven chapters, with the first two acting as an introduction, containing selected material dealing with point- and set-valued stochastic processes, and the final two devoted to applications and optimal control problems. The book presents recent and pressing issues in stochastic processes, control, differential games, optimization and their application in finance, manufacturing, queueing networks, and climate control. Written by an award-winning author in the field of stochastic differential inclusions and their application to control theory, This book is intended for students and researchers in mathematics and applications; particularly those studying optimal control theory. It is also highly relevant for students of economics and engineering. The book can also be used as a reference on stochastic differential inclusions. Knowledge of select topics in analysis and probability theory are required.