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Stochastic Analysis Control Optimization And Applications
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Book Synopsis Stochastic Analysis, Control, Optimization and Applications by : William M. McEneaney
Download or read book Stochastic Analysis, Control, Optimization and Applications written by William M. McEneaney and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 660 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis Stochastic Analysis, Control, Optimization, and Applications by : Wendell Helms Fleming
Download or read book Stochastic Analysis, Control, Optimization, and Applications written by Wendell Helms Fleming and published by Birkhauser. This book was released on 1999 with total page 637 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis Continuous-time Stochastic Control and Optimization with Financial Applications by : Huyên Pham
Download or read book Continuous-time Stochastic Control and Optimization with Financial Applications written by Huyên Pham and published by Springer Science & Business Media. This book was released on 2009-05-28 with total page 243 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis Modeling, Stochastic Control, Optimization, and Applications by : George Yin
Download or read book Modeling, Stochastic Control, Optimization, and Applications written by George Yin and published by Springer. This book was released on 2019-07-16 with total page 599 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis Stochastic Processes, Optimization, and Control Theory: Applications in Financial Engineering, Queueing Networks, and Manufacturing Systems by : Houmin Yan
Download or read book Stochastic Processes, Optimization, and Control Theory: Applications in Financial Engineering, Queueing Networks, and Manufacturing Systems written by Houmin Yan and published by Springer Science & Business Media. This book was released on 2006-09-10 with total page 397 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis Control Theory, Stochastic Analysis And Applications - Proceedings Of Symposium On System Sciences And Control Theory by : S P Chen
Download or read book Control Theory, Stochastic Analysis And Applications - Proceedings Of Symposium On System Sciences And Control Theory written by S P Chen and published by World Scientific. This book was released on 1992-03-27 with total page 306 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis Deterministic and Stochastic Optimal Control by : Wendell H. Fleming
Download or read book Deterministic and Stochastic Optimal Control written by Wendell H. Fleming and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 231 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis Modern Trends in Controlled Stochastic Processes: by : Alexey Piunovskiy
Download or read book Modern Trends in Controlled Stochastic Processes: written by Alexey Piunovskiy and published by Springer Nature. This book was released on 2021-06-04 with total page 356 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents state-of-the-art solution methods and applications of stochastic optimal control. It is a collection of extended papers discussed at the traditional Liverpool workshop on controlled stochastic processes with participants from both the east and the west. New problems are formulated, and progresses of ongoing research are reported. Topics covered in this book include theoretical results and numerical methods for Markov and semi-Markov decision processes, optimal stopping of Markov processes, stochastic games, problems with partial information, optimal filtering, robust control, Q-learning, and self-organizing algorithms. Real-life case studies and applications, e.g., queueing systems, forest management, control of water resources, marketing science, and healthcare, are presented. Scientific researchers and postgraduate students interested in stochastic optimal control,- as well as practitioners will find this book appealing and a valuable reference.
Book Synopsis Lectures on BSDEs, Stochastic Control, and Stochastic Differential Games with Financial Applications by : Rene Carmona
Download or read book Lectures on BSDEs, Stochastic Control, and Stochastic Differential Games with Financial Applications written by Rene Carmona and published by SIAM. This book was released on 2016-02-18 with total page 265 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis Stochastic Optimal Control in Infinite Dimension by : Giorgio Fabbri
Download or read book Stochastic Optimal Control in Infinite Dimension written by Giorgio Fabbri and published by Springer. This book was released on 2017-06-22 with total page 916 pages. Available in PDF, EPUB and Kindle. Book excerpt: Providing an introduction to stochastic optimal control in infinite dimension, this book gives a complete account of the theory of second-order HJB equations in infinite-dimensional Hilbert spaces, focusing on its applicability to associated stochastic optimal control problems. It features a general introduction to optimal stochastic control, including basic results (e.g. the dynamic programming principle) with proofs, and provides examples of applications. A complete and up-to-date exposition of the existing theory of viscosity solutions and regular solutions of second-order HJB equations in Hilbert spaces is given, together with an extensive survey of other methods, with a full bibliography. In particular, Chapter 6, written by M. Fuhrman and G. Tessitore, surveys the theory of regular solutions of HJB equations arising in infinite-dimensional stochastic control, via BSDEs. The book is of interest to both pure and applied researchers working in the control theory of stochastic PDEs, and in PDEs in infinite dimension. Readers from other fields who want to learn the basic theory will also find it useful. The prerequisites are: standard functional analysis, the theory of semigroups of operators and its use in the study of PDEs, some knowledge of the dynamic programming approach to stochastic optimal control problems in finite dimension, and the basics of stochastic analysis and stochastic equations in infinite-dimensional spaces.
Book Synopsis Frontiers in Stochastic Analysis–BSDEs, SPDEs and their Applications by : Samuel N. Cohen
Download or read book Frontiers in Stochastic Analysis–BSDEs, SPDEs and their Applications written by Samuel N. Cohen and published by Springer Nature. This book was released on 2019-08-31 with total page 300 pages. Available in PDF, EPUB and Kindle. Book excerpt: This collection of selected, revised and extended contributions resulted from a Workshop on BSDEs, SPDEs and their Applications that took place in Edinburgh, Scotland, July 2017 and included the 8th World Symposium on BSDEs. The volume addresses recent advances involving backward stochastic differential equations (BSDEs) and stochastic partial differential equations (SPDEs). These equations are of fundamental importance in modelling of biological, physical and economic systems, and underpin many problems in control of random systems, mathematical finance, stochastic filtering and data assimilation. The papers in this volume seek to understand these equations, and to use them to build our understanding in other areas of mathematics. This volume will be of interest to those working at the forefront of modern probability theory, both established researchers and graduate students.
Book Synopsis Stochastic Optimization Methods by : Kurt Marti
Download or read book Stochastic Optimization Methods written by Kurt Marti and published by Springer. This book was released on 2015-02-21 with total page 368 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book examines optimization problems that in practice involve random model parameters. It details the computation of robust optimal solutions, i.e., optimal solutions that are insensitive with respect to random parameter variations, where appropriate deterministic substitute problems are needed. Based on the probability distribution of the random data and using decision theoretical concepts, optimization problems under stochastic uncertainty are converted into appropriate deterministic substitute problems. Due to the probabilities and expectations involved, the book also shows how to apply approximative solution techniques. Several deterministic and stochastic approximation methods are provided: Taylor expansion methods, regression and response surface methods (RSM), probability inequalities, multiple linearization of survival/failure domains, discretization methods, convex approximation/deterministic descent directions/efficient points, stochastic approximation and gradient procedures and differentiation formulas for probabilities and expectations. In the third edition, this book further develops stochastic optimization methods. In particular, it now shows how to apply stochastic optimization methods to the approximate solution of important concrete problems arising in engineering, economics and operations research.
Book Synopsis Handbook of Stochastic Processes, Optimization and Control Theory by : Sharples Norris
Download or read book Handbook of Stochastic Processes, Optimization and Control Theory written by Sharples Norris and published by . This book was released on 2012-09 with total page 368 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis Stochastic Processes, Finance and Control by : Samuel N Cohen
Download or read book Stochastic Processes, Finance and Control written by Samuel N Cohen and published by World Scientific. This book was released on 2012-08-10 with total page 604 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book consists of a series of new, peer-reviewed papers in stochastic processes, analysis, filtering and control, with particular emphasis on mathematical finance, actuarial science and engineering. Paper contributors include colleagues, collaborators and former students of Robert Elliott, many of whom are world-leading experts and have made fundamental and significant contributions to these areas. This book provides new important insights and results by eminent researchers in the considered areas, which will be of interest to researchers and practitioners. The topics considered will be diverse in applications, and will provide contemporary approaches to the problems considered. The areas considered are rapidly evolving. This volume will contribute to their development, and present the current state-of-the-art stochastic processes, analysis, filtering and control. Contributing authors include: H Albrecher, T Bielecki, F Dufour, M Jeanblanc, I Karatzas, H-H Kuo, A Melnikov, E Platen, G Yin, Q Zhang, C Chiarella, W Fleming, D Madan, R Mamon, J Yan, V Krishnamurthy. Contents:Stochastic Analysis:On the Connection Between Discrete and Continuous Wick Calculus with an Application to the Fractional Black-Scholes Model (C Bender and P Parczewski)Malliavin Differentiability of a Class of Feller-Diffusions with Relevance in Finance (C-O Ewald, Y Xiao, Y Zou and T K Siu)A Stochastic Integral for Adapted and Instantly Independent Stochastic Processes (H-H Kuo, A Sae-Tang and B Szozda)Independence of Some Multiple Poisson Stochastic Integrals with Variable-Sign Kernels (N Privault)Differential and Stochastic Games:Strategies for Differential Games (W H Fleming and D Hernández-Hernández)BSDE Approach to Non-Zero-Sum Stochastic Differential Games of Control and Stopping (I Karatzas and Q Li)Mathematical Finance:On Optimal Dividend Strategies in Insurance with a Random Time Horizon (H Albrecher and S Thonhauser)Counterparty Risk and the Impact of Collateralization in CDS Contracts (T R Bielecki, I Cialenco and I Iyigunler)A Modern View on Merton's Jump-Diffusion Model (G H L Cheang and C Chiarella)Hedging Portfolio Loss Derivatives with CDS's (A Cousin and M Jeanblanc)New Analytic Approximations for Pricing Spread Options (J van der Hoek and M W Korolkiewicz)On the Polynomial–Normal Model and Option Pricing (H Li and A Melnikov)A Functional Transformation Approach to Interest Rate Modelling(S Luo, J Yan and Q Zhang)S&P 500 Index Option Surface Drivers and Their Risk Neutral and Real World Quadratic Covariations (D B Madan)A Dynamic Portfolio Approach to Asset Markets and Monetary Policy (E Platen and W Semmler)Mean-Variance Portfolio Selection Under Regime-Switching Diffusion Asset Models: A Two-Time-Scale Limit (G Yin and Y Talafha)Filtering and Control:Existence and Uniqueness of Solutions for a Partially Observed Stochastic Control Problem (A Bensoussan, M Çakanyildirim, M Li and S P Sethi)Continuous Control of Piecewise Deterministic Markov Processes with Long Run Average Cost (O L V Costa and F Dufour)Stochastic Linear-Quadratic Control Revisited (T E Duncan)Optimization of Stochastic Uncertain Systems: Entropy Rate Functionals, Minimax Games and Robustness (F Rezaei, C D Charalambous and N U Ahmed)Gradient Based Policy Optimization of Constrained Markov Decision Processes (V Krishnamurthy and F J Vázquez Abad)Parameter Estimation of a Regime-Switching Model Using an Inverse Stieltjes Moment Approach (X Xi, M R Rodrigo and R S Mamon)An Optimal Inventory-Price Coordination Policy (H Zhang and Q Zhang) Readership: Researchers and professionals in stochastic processes, analysis, filtering and control. Keywords:Stochastic Processes;Filtering;Stochastic Control;Stochastic Analysis;Mathematical Finance;Actuarial Sciences;EngineeringKey Features:This is a festschrift of Professor Robert J Elliott, who is a world leader in the areas of stochastic processes, filtering, control as well as their applicationsIncludes contributions of many world-leading scholars in the fieldsContain many original and fundamental results in the fields rare in competing titles
Author :Daniel Hernández-Hernández Publisher :Springer Science & Business Media ISBN 13 :0817683372 Total Pages :331 pages Book Rating :4.8/5 (176 download)
Book Synopsis Optimization, Control, and Applications of Stochastic Systems by : Daniel Hernández-Hernández
Download or read book Optimization, Control, and Applications of Stochastic Systems written by Daniel Hernández-Hernández and published by Springer Science & Business Media. This book was released on 2012-08-15 with total page 331 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis Optimal Stochastic Control, Stochastic Target Problems, and Backward SDE by : Nizar Touzi
Download or read book Optimal Stochastic Control, Stochastic Target Problems, and Backward SDE written by Nizar Touzi and published by Springer Science & Business Media. This book was released on 2012-09-25 with total page 219 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis Stochastic Differential Inclusions and Applications by : Michał Kisielewicz
Download or read book Stochastic Differential Inclusions and Applications written by Michał Kisielewicz and published by Springer Science & Business Media. This book was released on 2013-06-12 with total page 295 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
