Stochastic Analysis Control Optimization And Applications

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Stochastic Analysis, Control, Optimization and Applications

William M. McEneaney,G. George Yin,Qing Zhang
Stochastic Analysis Control Optimization and Applications Book PDF

Author : William M. McEneaney,G. George Yin,Qing Zhang
Publisher : Springer Science & Business Media
Page : 660 pages
File Size : 47,5 Mb
Release : 2012-12-06
Category : Technology & Engineering
ISBN : 9781461217848

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Stochastic Analysis, Control, Optimization and Applications by William M. McEneaney,G. George Yin,Qing Zhang Pdf

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

Wendell Helms Fleming,William M. McEneaney,George Yin,Qing Zhang
Stochastic Analysis Control Optimization and Applications Book PDF

Author : Wendell Helms Fleming,William M. McEneaney,George Yin,Qing Zhang
Publisher : Birkhauser
Page : 637 pages
File Size : 55,5 Mb
Release : 1999
Category : Control theory
ISBN : 3764340789

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Stochastic Analysis, Control, Optimization, and Applications by Wendell Helms Fleming,William M. McEneaney,George Yin,Qing Zhang Pdf

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.

Modeling, Stochastic Control, Optimization, and Applications

George Yin,Qing Zhang
Modeling Stochastic Control Optimization and Applications Book PDF

Author : George Yin,Qing Zhang
Publisher : Springer
Page : 599 pages
File Size : 55,8 Mb
Release : 2019-07-16
Category : Mathematics
ISBN : 9783030254988

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Modeling, Stochastic Control, Optimization, and Applications by George Yin,Qing Zhang Pdf

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

Huyên Pham
Continuous time Stochastic Control and Optimization with Financial Applications Book PDF

Author : Huyên Pham
Publisher : Springer Science & Business Media
Page : 243 pages
File Size : 52,5 Mb
Release : 2009-05-28
Category : Mathematics
ISBN : 9783540895008

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Continuous-time Stochastic Control and Optimization with Financial Applications by Huyên Pham Pdf

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

S P Chen,Jiongmin Yong
Control Theory Stochastic Analysis And Applications Proceedings Of Symposium On System Sciences And Control Theory Book PDF

Author : S P Chen,Jiongmin Yong
Publisher : World Scientific
Page : 306 pages
File Size : 54,7 Mb
Release : 1992-03-27
Category : Electronic
ISBN : 9789814555005

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Control Theory, Stochastic Analysis And Applications - Proceedings Of Symposium On System Sciences And Control Theory by S P Chen,Jiongmin Yong Pdf

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.

Handbook of Stochastic Processes, Optimization and Control Theory

Sharples Norris
Handbook of Stochastic Processes Optimization and Control Theory Book PDF

Author : Sharples Norris
Publisher : Unknown
Page : 368 pages
File Size : 45,5 Mb
Release : 2012-09
Category : Mathematical optimization
ISBN : 178154090X

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Handbook of Stochastic Processes, Optimization and Control Theory by Sharples Norris Pdf

This book discusses 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 handbook is highly multi-disciplinary. It addresses operations research, control theory and optimization, stochastic analysis, and financial engineering and reviews and substantially updates the recent progress in these fields.

Optimization, Control, and Applications of Stochastic Systems

Daniel Hernández-Hernández,J. Adolfo Minjárez-Sosa
Optimization Control and Applications of Stochastic Systems Book PDF

Author : Daniel Hernández-Hernández,J. Adolfo Minjárez-Sosa
Publisher : Springer Science & Business Media
Page : 331 pages
File Size : 47,5 Mb
Release : 2012-08-15
Category : Science
ISBN : 9780817683375

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Optimization, Control, and Applications of Stochastic Systems by Daniel Hernández-Hernández,J. Adolfo Minjárez-Sosa Pdf

This volume provides a general overview of discrete- and continuous-time Markov control processes and stochastic games, along with a look at the range of applications of stochastic control and some of its recent theoretical developments. These topics include various aspects of dynamic programming, approximation algorithms, and infinite-dimensional linear programming. In all, the work comprises 18 carefully selected papers written by experts in their respective fields. Optimization, Control, and Applications of Stochastic Systems will be a valuable resource for all practitioners, researchers, and professionals in applied mathematics and operations research who work in the areas of stochastic control, mathematical finance, queueing theory, and inventory systems. It may also serve as a supplemental text for graduate courses in optimal control and dynamic games.

Stochastic Processes

Kaddour Najim,Enso Ikonen,Ait-Kadi Daoud
Stochastic Processes Book PDF

Author : Kaddour Najim,Enso Ikonen,Ait-Kadi Daoud
Publisher : Elsevier
Page : 345 pages
File Size : 47,6 Mb
Release : 2004-07-01
Category : Mathematics
ISBN : 9780080517797

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Stochastic Processes by Kaddour Najim,Enso Ikonen,Ait-Kadi Daoud Pdf

A ‘stochastic’ process is a ‘random’ or ‘conjectural’ process, and this book is concerned with applied probability and statistics. Whilst maintaining the mathematical rigour this subject requires, it addresses topics of interest to engineers, such as problems in modelling, control, reliability maintenance, data analysis and engineering involvement with insurance.This book deals with the tools and techniques used in the stochastic process – estimation, optimisation and recursive logarithms – in a form accessible to engineers and which can also be applied to Matlab. Amongst the themes covered in the chapters are mathematical expectation arising from increasing information patterns, the estimation of probability distribution, the treatment of distribution of real random phenomena (in engineering, economics, biology and medicine etc), and expectation maximisation. The latter part of the book considers optimization algorithms, which can be used, for example, to help in the better utilization of resources, and stochastic approximation algorithms, which can provide prototype models in many practical applications. * An engineering approach to applied probabilities and statistics * Presents examples related to practical engineering applications, such as reliability, randomness and use of resources* Readers with varying interests and mathematical backgrounds will find this book accessible

Stochastic Processes, Optimization, and Control Theory: Applications in Financial Engineering, Queueing Networks, and Manufacturing Systems

Houmin Yan,G. George Yin,Qing Zhang
Stochastic Processes Optimization and Control Theory Applications in Financial Engineering Queueing Networks and Manufacturing Systems Book PDF

Author : Houmin Yan,G. George Yin,Qing Zhang
Publisher : Springer Science & Business Media
Page : 397 pages
File Size : 54,9 Mb
Release : 2006-09-10
Category : Technology & Engineering
ISBN : 9780387338156

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Stochastic Processes, Optimization, and Control Theory: Applications in Financial Engineering, Queueing Networks, and Manufacturing Systems by Houmin Yan,G. George Yin,Qing Zhang Pdf

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

Rene Carmona
Lectures on BSDEs Stochastic Control and Stochastic Differential Games with Financial Applications Book PDF

Author : Rene Carmona
Publisher : SIAM
Page : 265 pages
File Size : 43,8 Mb
Release : 2016-02-18
Category : Mathematics
ISBN : 9781611974249

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Lectures on BSDEs, Stochastic Control, and Stochastic Differential Games with Financial Applications by Rene Carmona Pdf

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.

Stochastic Modeling and Optimization

David D. Yao,Hanqin Zhang,Xun Yu Zhou
Stochastic Modeling and Optimization Book PDF

Author : David D. Yao,Hanqin Zhang,Xun Yu Zhou
Publisher : Springer Science & Business Media
Page : 472 pages
File Size : 46,8 Mb
Release : 2012-12-06
Category : Business & Economics
ISBN : 9780387217574

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Stochastic Modeling and Optimization by David D. Yao,Hanqin Zhang,Xun Yu Zhou Pdf

This books covers the broad range of research in stochastic models and optimization. Applications presented include networks, financial engineering, production planning, and supply chain management. Each contribution is aimed at graduate students working in operations research, probability, and statistics.

Applications of Stochastic Programming

Stein W. Wallace,William T. Ziemba
Applications of Stochastic Programming Book PDF

Author : Stein W. Wallace,William T. Ziemba
Publisher : SIAM
Page : 701 pages
File Size : 48,8 Mb
Release : 2005-06-01
Category : Mathematics
ISBN : 9780898715552

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Applications of Stochastic Programming by Stein W. Wallace,William T. Ziemba Pdf

Consisting of two parts, this book presents papers describing publicly available stochastic programming systems that are operational. It presents a diverse collection of application papers in areas such as production, supply chain and scheduling, gaming, environmental and pollution control, financial modeling, telecommunications, and electricity.

Stochastic Multi-Stage Optimization

Pierre Carpentier,Jean-Philippe Chancelier,Guy Cohen,Michel De Lara
Stochastic Multi Stage Optimization Book PDF

Author : Pierre Carpentier,Jean-Philippe Chancelier,Guy Cohen,Michel De Lara
Publisher : Springer
Page : 362 pages
File Size : 53,6 Mb
Release : 2015-05-05
Category : Mathematics
ISBN : 9783319181387

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Stochastic Multi-Stage Optimization by Pierre Carpentier,Jean-Philippe Chancelier,Guy Cohen,Michel De Lara Pdf

The focus of the present volume is stochastic optimization of dynamical systems in discrete time where - by concentrating on the role of information regarding optimization problems - it discusses the related discretization issues. There is a growing need to tackle uncertainty in applications of optimization. For example the massive introduction of renewable energies in power systems challenges traditional ways to manage them. This book lays out basic and advanced tools to handle and numerically solve such problems and thereby is building a bridge between Stochastic Programming and Stochastic Control. It is intended for graduates readers and scholars in optimization or stochastic control, as well as engineers with a background in applied mathematics.

Optimal Stochastic Control, Stochastic Target Problems, and Backward SDE

Nizar Touzi
Optimal Stochastic Control Stochastic Target Problems and Backward SDE Book PDF

Author : Nizar Touzi
Publisher : Springer Science & Business Media
Page : 219 pages
File Size : 52,6 Mb
Release : 2012-09-27
Category : Mathematics
ISBN : 9781461442851

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Optimal Stochastic Control, Stochastic Target Problems, and Backward SDE by Nizar Touzi Pdf

​This book collects some recent developments in stochastic control theory with applications to financial mathematics. We first address standard stochastic control problems from the viewpoint of the recently developed weak dynamic programming principle. A special emphasis is put on the regularity issues and, in particular, on the behavior of the value function near the boundary. We then provide a quick review of the main tools from viscosity solutions which allow to overcome all regularity problems. We next address the class of stochastic target problems which extends in a nontrivial way the standard stochastic control problems. Here the theory of viscosity solutions plays a crucial role in the derivation of the dynamic programming equation as the infinitesimal counterpart of the corresponding geometric dynamic programming equation. The various developments of this theory have been stimulated by applications in finance and by relevant connections with geometric flows. Namely, the second order extension was motivated by illiquidity modeling, and the controlled loss version was introduced following the problem of quantile hedging. The third part specializes to an overview of Backward stochastic differential equations, and their extensions to the quadratic case.​

Stochastic Analysis, Filtering, and Stochastic Optimization

George Yin,Thaleia Zariphopoulou
Stochastic Analysis Filtering and Stochastic Optimization Book PDF

Author : George Yin,Thaleia Zariphopoulou
Publisher : Springer
Page : 0 pages
File Size : 48,7 Mb
Release : 2023-04-23
Category : Mathematics
ISBN : 3030985210

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Stochastic Analysis, Filtering, and Stochastic Optimization by George Yin,Thaleia Zariphopoulou Pdf

This volume is a collection of research works to honor the late Professor Mark H.A. Davis, whose pioneering work in the areas of Stochastic Processes, Filtering, and Stochastic Optimization spans more than five decades. Invited authors include his dissertation advisor, past collaborators, colleagues, mentees, and graduate students of Professor Davis, as well as scholars who have worked in the above areas. Their contributions may expand upon topics in piecewise deterministic processes, pathwise stochastic calculus, martingale methods in stochastic optimization, filtering, mean-field games, time-inconsistency, as well as impulse, singular, risk-sensitive and robust stochastic control.