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Author : Chin Ma
Publisher :
ISBN 13 :
Total Pages : 202 pages
Book Rating : 4.:/5 (11 download)
Download or read book Topics on Singular Stochastic Control and Related Stochastic Differential Equations written by Chin Ma and published by . This book was released on 1992 with total page 202 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Jin Ma
Publisher :
ISBN 13 :
Total Pages : 230 pages
Book Rating : 4.:/5 (319 download)
Download or read book Topics on Singular Stochastic Control and Related Stochastic Differential Equations written by Jin Ma and published by . This book was released on 1992 with total page 230 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Wendell Fleming
Publisher : Springer Science & Business Media
ISBN 13 : 1461387620
Total Pages : 601 pages
Book Rating : 4.4/5 (613 download)
Download or read book Stochastic Differential Systems, Stochastic Control Theory and Applications written by Wendell Fleming and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 601 pages. Available in PDF, EPUB and Kindle. Book excerpt: This IMA Volume in Mathematics and its Applications STOCHASTIC DIFFERENTIAL SYSTEMS, STOCHASTIC CONTROL THEORY AND APPLICATIONS is the proceedings of a workshop which was an integral part of the 1986-87 IMA program on STOCHASTIC DIFFERENTIAL EQUATIONS AND THEIR APPLICATIONS. We are grateful to the Scientific Committee: Daniel Stroock (Chairman) WendeIl Flerning Theodore Harris Pierre-Louis Lions Steven Orey George Papanicolaou for planning and implementing an exciting and stimulating year-long program. We es pecially thank WendeIl Fleming and Pierre-Louis Lions for organizing an interesting and productive workshop in an area in which mathematics is beginning to make significant contributions to real-world problems. George R. Seil Hans Weinberger PREFACE This volume is the Proceedings of a Workshop on Stochastic Differential Systems, Stochastic Control Theory, and Applications held at IMA June 9-19,1986. The Workshop Program Commit tee consisted of W.H. Fleming and P.-L. Lions (co-chairmen), J. Baras, B. Hajek, J.M. Harrison, and H. Sussmann. The Workshop emphasized topics in the following four areas. (1) Mathematical theory of stochastic differential systems, stochastic control and nonlinear filtering for Markov diffusion processes. Connections with partial differential equations. (2) Applications of stochastic differential system theory, in engineering and management sci ence. Adaptive control of Markov processes. Advanced computational methods in stochas tic control and nonlinear filtering. (3) Stochastic scheduling, queueing networks, and related topics. Flow control, multiarm bandit problems, applications to problems of computer networks and scheduling of complex manufacturing operations.
Author : George Yin
Publisher : Springer Nature
ISBN 13 : 3030985199
Total Pages : 466 pages
Book Rating : 4.0/5 (39 download)
Download or read book Stochastic Analysis, Filtering, and Stochastic Optimization written by George Yin and published by Springer Nature. This book was released on 2022-04-22 with total page 466 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Author : Nizar Touzi
Publisher : Springer Science & Business Media
ISBN 13 : 1461442869
Total Pages : 219 pages
Book Rating : 4.4/5 (614 download)
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.
Author : Liangjian Hu
Publisher :
ISBN 13 : 9787030201935
Total Pages : 284 pages
Book Rating : 4.2/5 (19 download)
Download or read book Stochastic Differential Equations and Related Topics written by Liangjian Hu and published by . This book was released on 2007 with total page 284 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Simo Särkkä
Publisher : Cambridge University Press
ISBN 13 : 1316510085
Total Pages : 327 pages
Book Rating : 4.3/5 (165 download)
Download or read book Applied Stochastic Differential Equations written by Simo Särkkä and published by Cambridge University Press. This book was released on 2019-05-02 with total page 327 pages. Available in PDF, EPUB and Kindle. Book excerpt: With this hands-on introduction readers will learn what SDEs are all about and how they should use them in practice.
Author : Bozenna Pasik-Duncan
Publisher : Springer
ISBN 13 : 3540480226
Total Pages : 563 pages
Book Rating : 4.5/5 (44 download)
Download or read book Stochastic Theory and Control written by Bozenna Pasik-Duncan and published by Springer. This book was released on 2003-07-01 with total page 563 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume contains almost all of the papers that were presented at the Workshop on Stochastic Theory and Control that was held at the Univ- sity of Kansas, 18–20 October 2001. This three-day event gathered a group of leading scholars in the ?eld of stochastic theory and control to discuss leading-edge topics of stochastic control, which include risk sensitive control, adaptive control, mathematics of ?nance, estimation, identi?cation, optimal control, nonlinear ?ltering, stochastic di?erential equations, stochastic p- tial di?erential equations, and stochastic theory and its applications. The workshop provided an opportunity for many stochastic control researchers to network and discuss cutting-edge technologies and applications, teaching and future directions of stochastic control. Furthermore, the workshop focused on promoting control theory, in particular stochastic control, and it promoted collaborative initiatives in stochastic theory and control and stochastic c- trol education. The lecture on “Adaptation of Real-Time Seizure Detection Algorithm” was videotaped by the PBS. Participants of the workshop have been involved in contributing to the documentary being ?lmed by PBS which highlights the extraordinary work on “Math, Medicine and the Mind: Discovering Tre- ments for Epilepsy” that examines the e?orts of the multidisciplinary team on which several of the participants of the workshop have been working for many years to solve one of the world’s most dramatic neurological conditions. Invited high school teachers of Math and Science were among the part- ipants of this professional meeting.
Author : Huaizhong Zhao
Publisher : World Scientific
ISBN 13 : 9814397091
Total Pages : 458 pages
Book Rating : 4.8/5 (143 download)
Download or read book New Trends In Stochastic Analysis And Related Topics: A Volume In Honour Of Professor K D Elworthy written by Huaizhong Zhao and published by World Scientific. This book was released on 2011-11-25 with total page 458 pages. Available in PDF, EPUB and Kindle. Book excerpt: The volume is dedicated to Professor David Elworthy to celebrate his fundamental contribution and exceptional influence on stochastic analysis and related fields. Stochastic analysis has been profoundly developed as a vital fundamental research area in mathematics in recent decades. It has been discovered to have intrinsic connections with many other areas of mathematics such as partial differential equations, functional analysis, topology, differential geometry, dynamical systems, etc. Mathematicians developed many mathematical tools in stochastic analysis to understand and model random phenomena in physics, biology, finance, fluid, environment science, etc. This volume contains 12 comprehensive review/new articles written by world leading researchers (by invitation) and their collaborators. It covers stochastic analysis on manifolds, rough paths, Dirichlet forms, stochastic partial differential equations, stochastic dynamical systems, infinite dimensional analysis, stochastic flows, quantum stochastic analysis and stochastic Hamilton Jacobi theory. Articles contain cutting edge research methodology, results and ideas in relevant fields. They are of interest to research mathematicians and postgraduate students in stochastic analysis, probability, partial differential equations, dynamical systems, mathematical physics, as well as to physicists, financial mathematicians, engineers, etc.
Author : Wendell H. Fleming
Publisher : Springer Science & Business Media
ISBN 13 : 1461263808
Total Pages : 231 pages
Book Rating : 4.4/5 (612 download)
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.
Author : Wendell Fleming
Publisher :
ISBN 13 : 9781461387633
Total Pages : 628 pages
Book Rating : 4.3/5 (876 download)
Download or read book Stochastic Differential Systems, Stochastic Control Theory and Applications written by Wendell Fleming and published by . This book was released on 1987-12-02 with total page 628 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Kai Liu
Publisher : CRC Press
ISBN 13 : 1420034820
Total Pages : 311 pages
Book Rating : 4.4/5 (2 download)
Download or read book Stability of Infinite Dimensional Stochastic Differential Equations with Applications written by Kai Liu and published by CRC Press. This book was released on 2005-08-23 with total page 311 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stochastic differential equations in infinite dimensional spaces are motivated by the theory and analysis of stochastic processes and by applications such as stochastic control, population biology, and turbulence, where the analysis and control of such systems involves investigating their stability. While the theory of such equations is well establ
Author : Harold Kushner
Publisher : Springer Science & Business Media
ISBN 13 : 146124482X
Total Pages : 245 pages
Book Rating : 4.4/5 (612 download)
Download or read book Weak Convergence Methods and Singularly Perturbed Stochastic Control and Filtering Problems written by Harold Kushner and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 245 pages. Available in PDF, EPUB and Kindle. Book excerpt: The book deals with several closely related topics concerning approxima tions and perturbations of random processes and their applications to some important and fascinating classes of problems in the analysis and design of stochastic control systems and nonlinear filters. The basic mathematical methods which are used and developed are those of the theory of weak con vergence. The techniques are quite powerful for getting weak convergence or functional limit theorems for broad classes of problems and many of the techniques are new. The original need for some of the techniques which are developed here arose in connection with our study of the particular applica tions in this book, and related problems of approximation in control theory, but it will be clear that they have numerous applications elsewhere in weak convergence and process approximation theory. The book is a continuation of the author's long term interest in problems of the approximation of stochastic processes and its applications to problems arising in control and communication theory and related areas. In fact, the techniques used here can be fruitfully applied to many other areas. The basic random processes of interest can be described by solutions to either (multiple time scale) Ito differential equations driven by wide band or state dependent wide band noise or which are singularly perturbed. They might be controlled or not, and their state values might be fully observable or not (e. g. , as in the nonlinear filtering problem).
Author : Jingrui Sun
Publisher : Springer Nature
ISBN 13 : 3030209229
Total Pages : 129 pages
Book Rating : 4.0/5 (32 download)
Download or read book Stochastic Linear-Quadratic Optimal Control Theory: Open-Loop and Closed-Loop Solutions written by Jingrui Sun and published by Springer Nature. This book was released on 2020-06-29 with total page 129 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book gathers the most essential results, including recent ones, on linear-quadratic optimal control problems, which represent an important aspect of stochastic control. It presents the results in the context of finite and infinite horizon problems, and discusses a number of new and interesting issues. Further, it precisely identifies, for the first time, the interconnections between three well-known, relevant issues – the existence of optimal controls, solvability of the optimality system, and solvability of the associated Riccati equation. Although the content is largely self-contained, readers should have a basic grasp of linear algebra, functional analysis and stochastic ordinary differential equations. The book is mainly intended for senior undergraduate and graduate students majoring in applied mathematics who are interested in stochastic control theory. However, it will also appeal to researchers in other related areas, such as engineering, management, finance/economics and the social sciences.
Author : Bernt Øksendal
Publisher : Springer Science & Business Media
ISBN 13 : 3540698264
Total Pages : 263 pages
Book Rating : 4.5/5 (46 download)
Download or read book Applied Stochastic Control of Jump Diffusions written by Bernt Øksendal and published by Springer Science & Business Media. This book was released on 2007-04-26 with total page 263 pages. Available in PDF, EPUB and Kindle. Book excerpt: Here is a rigorous introduction to the most important and useful solution methods of various types of stochastic control problems for jump diffusions and its applications. Discussion includes the dynamic programming method and the maximum principle method, and their relationship. The text emphasises real-world applications, primarily in finance. Results are illustrated by examples, with end-of-chapter exercises including complete solutions. The 2nd edition adds a chapter on optimal control of stochastic partial differential equations driven by Lévy processes, and a new section on optimal stopping with delayed information. Basic knowledge of stochastic analysis, measure theory and partial differential equations is assumed.
Author : Makiko Nisio
Publisher : Springer
ISBN 13 : 4431551239
Total Pages : 263 pages
Book Rating : 4.4/5 (315 download)
Download or read book Stochastic Control Theory written by Makiko Nisio and published by Springer. This book was released on 2014-11-27 with total page 263 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book offers a systematic introduction to the optimal stochastic control theory via the dynamic programming principle, which is a powerful tool to analyze control problems. First we consider completely observable control problems with finite horizons. Using a time discretization we construct a nonlinear semigroup related to the dynamic programming principle (DPP), whose generator provides the Hamilton–Jacobi–Bellman (HJB) equation, and we characterize the value function via the nonlinear semigroup, besides the viscosity solution theory. When we control not only the dynamics of a system but also the terminal time of its evolution, control-stopping problems arise. This problem is treated in the same frameworks, via the nonlinear semigroup. Its results are applicable to the American option price problem. Zero-sum two-player time-homogeneous stochastic differential games and viscosity solutions of the Isaacs equations arising from such games are studied via a nonlinear semigroup related to DPP (the min-max principle, to be precise). Using semi-discretization arguments, we construct the nonlinear semigroups whose generators provide lower and upper Isaacs equations. Concerning partially observable control problems, we refer to stochastic parabolic equations driven by colored Wiener noises, in particular, the Zakai equation. The existence and uniqueness of solutions and regularities as well as Itô's formula are stated. A control problem for the Zakai equations has a nonlinear semigroup whose generator provides the HJB equation on a Banach space. The value function turns out to be a unique viscosity solution for the HJB equation under mild conditions. This edition provides a more generalized treatment of the topic than does the earlier book Lectures on Stochastic Control Theory (ISI Lecture Notes 9), where time-homogeneous cases are dealt with. Here, for finite time-horizon control problems, DPP was formulated as a one-parameter nonlinear semigroup, whose generator provides the HJB equation, by using a time-discretization method. The semigroup corresponds to the value function and is characterized as the envelope of Markovian transition semigroups of responses for constant control processes. Besides finite time-horizon controls, the book discusses control-stopping problems in the same frameworks.
Author : Baasansuren Jadamba
Publisher : CRC Press
ISBN 13 : 1000511723
Total Pages : 394 pages
Book Rating : 4.0/5 (5 download)
Download or read book Deterministic and Stochastic Optimal Control and Inverse Problems written by Baasansuren Jadamba and published by CRC Press. This book was released on 2021-12-15 with total page 394 pages. Available in PDF, EPUB and Kindle. Book excerpt: Inverse problems of identifying parameters and initial/boundary conditions in deterministic and stochastic partial differential equations constitute a vibrant and emerging research area that has found numerous applications. A related problem of paramount importance is the optimal control problem for stochastic differential equations. This edited volume comprises invited contributions from world-renowned researchers in the subject of control and inverse problems. There are several contributions on optimal control and inverse problems covering different aspects of the theory, numerical methods, and applications. Besides a unified presentation of the most recent and relevant developments, this volume also presents some survey articles to make the material self-contained. To maintain the highest level of scientific quality, all manuscripts have been thoroughly reviewed.
