Hybrid Switching Diffusions

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Hybrid Switching Diffusions

Author : G. George Yin
Publisher : Springer Science & Business Media
ISBN 13 : 1441911057
Total Pages : 398 pages
Book Rating : 4.4/5 (419 download)

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Book Synopsis Hybrid Switching Diffusions by : G. George Yin

Download or read book Hybrid Switching Diffusions written by G. George Yin and published by Springer Science & Business Media. This book was released on 2009-10-03 with total page 398 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book encompasses the study of hybrid switching di usion processes and their applications. The word \hybrid" signi es the coexistence of c- tinuous dynamics and discrete events, which is one of the distinct features of the processes under consideration. Much of the book is concerned with the interactions of the continuous dynamics and the discrete events. Our motivations for studying such processes originate from emerging and - isting applications in wireless communications, signal processing, queueing networks, production planning, biological systems, ecosystems, nancial engineering, and modeling, analysis, and control and optimization of lar- scale systems, under the in uence of random environments. Displaying mixture distributions, switching di usions may be described by the associated operators or by systems of stochastic di erential eq- tions together with the probability transition laws of the switching actions. We either have Markov-modulated switching di usions or processes with continuous state-dependent switching. The latter turns out to be much more challenging to deal with. Viewing the hybrid di usions as a number of di usions joined together by the switching process, they may be se- ingly not much di erent from their di usion counterpart. Nevertheless, the underlying problems become more di cult to handle, especially when the switching processes depend on continuous states. The di culty is due to the interaction of the discrete and continuous processes and the tangled and hybrid information pattern.

Hybrid Switching Diffusions

Author : G. George Yin
Publisher : Springer
ISBN 13 : 9781441911049
Total Pages : 398 pages
Book Rating : 4.9/5 (11 download)

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Book Synopsis Hybrid Switching Diffusions by : G. George Yin

Download or read book Hybrid Switching Diffusions written by G. George Yin and published by Springer. This book was released on 2009-10-26 with total page 398 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book encompasses the study of hybrid switching di usion processes and their applications. The word \hybrid" signi es the coexistence of c- tinuous dynamics and discrete events, which is one of the distinct features of the processes under consideration. Much of the book is concerned with the interactions of the continuous dynamics and the discrete events. Our motivations for studying such processes originate from emerging and - isting applications in wireless communications, signal processing, queueing networks, production planning, biological systems, ecosystems, nancial engineering, and modeling, analysis, and control and optimization of lar- scale systems, under the in uence of random environments. Displaying mixture distributions, switching di usions may be described by the associated operators or by systems of stochastic di erential eq- tions together with the probability transition laws of the switching actions. We either have Markov-modulated switching di usions or processes with continuous state-dependent switching. The latter turns out to be much more challenging to deal with. Viewing the hybrid di usions as a number of di usions joined together by the switching process, they may be se- ingly not much di erent from their di usion counterpart. Nevertheless, the underlying problems become more di cult to handle, especially when the switching processes depend on continuous states. The di culty is due to the interaction of the discrete and continuous processes and the tangled and hybrid information pattern.

Large-Scale Scientific Computing

Author : Ivan Lirkov
Publisher : Springer
ISBN 13 : 3319734415
Total Pages : 607 pages
Book Rating : 4.3/5 (197 download)

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Book Synopsis Large-Scale Scientific Computing by : Ivan Lirkov

Download or read book Large-Scale Scientific Computing written by Ivan Lirkov and published by Springer. This book was released on 2018-01-10 with total page 607 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book constitutes the thoroughly refereed post-conference proceedings of the 11th International Conference on Large-Scale Scientific Computations, LSSC 2017, held in Sozopol, Bulgaria, in June 2017. The 63 revised short papers together with 3 full papers presented were carefully reviewed and selected from 63 submissions. The conference presents results from the following topics: Hierarchical, adaptive, domain decomposition and local refinement methods; Robust preconditioning algorithms; Monte Carlo methods and algorithms; Numerical linear algebra; Control and optimization; Parallel algorithms and performance analysis; Large-scale computations of environmental, biomedical and engineering problems. The chapter 'Parallel Aggregation Based on Compatible Weighted Matching for AMG' is available open access under a CC BY 4.0 license.

Switching Diffusion Systems with Past-dependent Switching Having a Countable State Space

Author : Hai Dang Nguyen
Publisher :
ISBN 13 :
Total Pages : 141 pages
Book Rating : 4.:/5 (18 download)

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Book Synopsis Switching Diffusion Systems with Past-dependent Switching Having a Countable State Space by : Hai Dang Nguyen

Download or read book Switching Diffusion Systems with Past-dependent Switching Having a Countable State Space written by Hai Dang Nguyen and published by . This book was released on 2018 with total page 141 pages. Available in PDF, EPUB and Kindle. Book excerpt: Emerging and existing applications in wireless communications, queueing networks, biological models, financial engineering, and social networks demand the mathematical modeling and analysis of hybrid models in which continuous dynamics and discrete events coexist. Assuming that the systems are in continuous times, stemming from stochastic-differential-equation-based models and random discrete events, switching diffusions come into being. In such systems, continuous states and discrete events (discrete states) coexist and interact. A switching diffusion is a two-component process $(X(t),\alpha(t))$, a continuous component and a discrete component taking values in a discrete set (a set consisting of isolated points). When the discrete component takes a value $i$ (i.e., $\alpha(t)=i$), the continuous component $X(t)$ evolves according to the diffusion process whose drift and diffusion coefficients depend on $i$. Until very recently, in most of the literature $\alpha(t)$ was assumed to be a process taking values in a finite set, and that the switching rates of $\alpha(t)$ are either independent or depend only on the current state of $X(t)$. To be able to treat more realistic models and to broaden the applicability, this dissertation undertakes the task of investigating the dynamics of $(X(t),\alpha(t))$ in a much more general setting in which $\alpha(t)$ has a countable state space and its switching intensities depend on the history of the continuous component $X(t)$. We systematically established important properties of this system: well-posedness, the Markov Feller property, and the recurrence and ergodicity of the associated function-valued process. We have also studied several types of stability for the system.

Hybrid Systems: Computation and Control

Author : Rajeev Alur
Publisher : Springer
ISBN 13 : 3540247432
Total Pages : 686 pages
Book Rating : 4.5/5 (42 download)

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Book Synopsis Hybrid Systems: Computation and Control by : Rajeev Alur

Download or read book Hybrid Systems: Computation and Control written by Rajeev Alur and published by Springer. This book was released on 2004-02-24 with total page 686 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume contains the proceedings of the 7th Workshop on Hybrid Systems: Computation and Control (HSCC 2004) held in Philadelphia, USA, from March 25 to 27, 2004. The annual workshop on hybrid systems attracts researchers from academia and industry interested in modeling, analysis, and implemen- tion of dynamic and reactive systems involving both discrete and continuous behaviors. The previous workshops in the HSCC series were held in Berkeley, USA(1998),Nijmegen,TheNetherlands(1999),Pittsburgh,USA(2000),Rome, Italy (2001), Palo Alto, USA (2002), and Prague, Czech Republic (2003). This year’s HSCC was organized in cooperation with ACM SIGBED (Special Interest Group on Embedded Systems) and was technically co-sponsored by the IEEE Control Systems Society. The program consisted of 4 invited talks and 43 regular papers selected from 117 regular submissions. The program covered topics such as tools for analysis and veri?cation, control and optimization, modeling, and engineering applica- ons, as in past years, and emerging directions in programming language support and implementation. The program also contained one special session focusing on the interplay between biomolecular networks, systems biology, formal methods, andthecontrolofhybridsystems.

Stochastic Analysis, Stochastic Systems, and Applications to Finance

Author : Allanus Hak-Man Tsoi
Publisher : World Scientific
ISBN 13 : 9814355704
Total Pages : 274 pages
Book Rating : 4.8/5 (143 download)

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Book Synopsis Stochastic Analysis, Stochastic Systems, and Applications to Finance by : Allanus Hak-Man Tsoi

Download or read book Stochastic Analysis, Stochastic Systems, and Applications to Finance written by Allanus Hak-Man Tsoi and published by World Scientific. This book was released on 2011 with total page 274 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book introduces some advanced topics in probability theories ? both pure and applied ? is divided into two parts. The first part deals with the analysis of stochastic dynamical systems, in terms of Gaussian processes, white noise theory, and diffusion processes. The second part of the book discusses some up-to-date applications of optimization theories, martingale measure theories, reliability theories, stochastic filtering theories and stochastic algorithms towards mathematical finance issues such as option pricing and hedging, bond market analysis, volatility studies and asset trading modeling.

Optimization, Control, and Applications of Stochastic Systems

Author : Daniel Hernández-Hernández
Publisher : Springer Science & Business Media
ISBN 13 : 0817683372
Total Pages : 331 pages
Book Rating : 4.8/5 (176 download)

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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.

Ergodic Control of Switching Diffusions

Author :
Publisher :
ISBN 13 :
Total Pages : 42 pages
Book Rating : 4.:/5 (227 download)

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Book Synopsis Ergodic Control of Switching Diffusions by :

Download or read book Ergodic Control of Switching Diffusions written by and published by . This book was released on 1996 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt: We study the ergodic control problem of switching diffusions representing a typical hybrid system that arises in numerous applications such as fault tolerant control systems, flexible manufacturing systems, etc. Under fairly general conditions, we establish the existence of a stable, nonrandomized Markov policy which almost surely minimizes the pathwise long-run average cost. We then study the corresponding Hamilton-Jacobi-Bellman (HJB) equation and establish the existence of a unique solution in a certain class. Using this, we characterize the optimal policy as a minimizing selector of the Hamiltonian associated with the HJB equations. As an example we apply the results to a failure prone manufacturing system and obtain closed form solutions for the optimal policy.

Stochastic Reachability Analysis of Hybrid Systems

Author : Luminita Manuela Bujorianu
Publisher : Springer Science & Business Media
ISBN 13 : 1447127951
Total Pages : 251 pages
Book Rating : 4.4/5 (471 download)

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Book Synopsis Stochastic Reachability Analysis of Hybrid Systems by : Luminita Manuela Bujorianu

Download or read book Stochastic Reachability Analysis of Hybrid Systems written by Luminita Manuela Bujorianu and published by Springer Science & Business Media. This book was released on 2012-04-23 with total page 251 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stochastic reachability analysis (SRA) is a method of analyzing the behavior of control systems which mix discrete and continuous dynamics. For probabilistic discrete systems it has been shown to be a practical verification method but for stochastic hybrid systems it can be rather more. As a verification technique SRA can assess the safety and performance of, for example, autonomous systems, robot and aircraft path planning and multi-agent coordination but it can also be used for the adaptive control of such systems. Stochastic Reachability Analysis of Hybrid Systems is a self-contained and accessible introduction to this novel topic in the analysis and development of stochastic hybrid systems. Beginning with the relevant aspects of Markov models and introducing stochastic hybrid systems, the book then moves on to coverage of reachability analysis for stochastic hybrid systems. Following this build up, the core of the text first formally defines the concept of reachability in the stochastic framework and then treats issues representing the different faces of SRA: • stochastic reachability based on Markov process theory; • martingale methods; • stochastic reachability as an optimal stopping problem; and • dynamic programming. The book is rounded off by an appendix providing mathematical underpinning on subjects such as ordinary differential equations, probabilistic measure theory and stochastic modeling, which will help the non-expert-mathematician to appreciate the text. Stochastic Reachability Analysis of Hybrid Systems characterizes a highly interdisciplinary area of research and is consequently of significant interest to academic researchers and graduate students from a variety of backgrounds in control engineering, applied mathematics and computer science. The Communications and Control Engineering series reports major technological advances which have potential for great impact in the fields of communication and control. It reflects research in industrial and academic institutions around the world so that the readership can exploit new possibilities as they become available.

Stability and Synchronization Control of Stochastic Neural Networks

Author : Wuneng Zhou
Publisher : Springer
ISBN 13 : 3662478331
Total Pages : 367 pages
Book Rating : 4.6/5 (624 download)

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Book Synopsis Stability and Synchronization Control of Stochastic Neural Networks by : Wuneng Zhou

Download or read book Stability and Synchronization Control of Stochastic Neural Networks written by Wuneng Zhou and published by Springer. This book was released on 2015-08-13 with total page 367 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book reports on the latest findings in the study of Stochastic Neural Networks (SNN). The book collects the novel model of the disturbance driven by Levy process, the research method of M-matrix, and the adaptive control method of the SNN in the context of stability and synchronization control. The book will be of interest to university researchers, graduate students in control science and engineering and neural networks who wish to learn the core principles, methods, algorithms and applications of SNN.

Modeling, Stochastic Control, Optimization, and Applications

Author : George Yin
Publisher : Springer
ISBN 13 : 3030254984
Total Pages : 599 pages
Book Rating : 4.0/5 (32 download)

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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.

Numerical Control: Part A

Author :
Publisher : Elsevier
ISBN 13 : 0323853390
Total Pages : 596 pages
Book Rating : 4.3/5 (238 download)

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Book Synopsis Numerical Control: Part A by :

Download or read book Numerical Control: Part A written by and published by Elsevier. This book was released on 2022-02-15 with total page 596 pages. Available in PDF, EPUB and Kindle. Book excerpt: Numerical Control: Part A, Volume 23 in the Handbook of Numerical Analysis series, highlights new advances in the field, with this new volume presenting interesting chapters written by an international board of authors. Chapters in this volume include Numerics for finite-dimensional control systems, Moments and convex optimization for analysis and control of nonlinear PDEs, The turnpike property in optimal control, Structure-Preserving Numerical Schemes for Hamiltonian Dynamics, Optimal Control of PDEs and FE-Approximation, Filtration techniques for the uniform controllability of semi-discrete hyperbolic equations, Numerical controllability properties of fractional partial differential equations, Optimal Control, Numerics, and Applications of Fractional PDEs, and much more. Provides the authority and expertise of leading contributors from an international board of authors Presents the latest release in the Handbook of Numerical Analysis series Updated release includes the latest information on Numerical Control

Air Traffic Control

Author : Max Mulder
Publisher : BoD – Books on Demand
ISBN 13 : 9533071036
Total Pages : 184 pages
Book Rating : 4.5/5 (33 download)

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Book Synopsis Air Traffic Control by : Max Mulder

Download or read book Air Traffic Control written by Max Mulder and published by BoD – Books on Demand. This book was released on 2010-08-17 with total page 184 pages. Available in PDF, EPUB and Kindle. Book excerpt: Improving air traffic control and air traffic management is currently one of the top priorities of the global research and development agenda. Massive, multi-billion euro programs like SESAR (Single European Sky ATM Research) in Europe and NextGen (Next Generation Air Transportation System) in the United States are on their way to create an air transportation system that meets the demands of the future. Air traffic control is a multi-disciplinary field that attracts the attention of many researchers, ranging from pure mathematicians to human factors specialists, and even in the legal and financial domains the optimization and control of air transport is extensively studied. This book, by no means intended to be a basic, formal introduction to the field, for which other textbooks are available, includes nine chapters that demonstrate the multi-disciplinary character of the air traffic control domain.

Stochastic Processes, Finance and Control

Author : Samuel N. Cohen
Publisher : World Scientific
ISBN 13 : 9814383317
Total Pages : 605 pages
Book Rating : 4.8/5 (143 download)

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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 with total page 605 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.

Long-Range Dependent Processes: Theory and Applications

Author : Ming Li
Publisher : Frontiers Media SA
ISBN 13 : 2832508502
Total Pages : 160 pages
Book Rating : 4.8/5 (325 download)

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Book Synopsis Long-Range Dependent Processes: Theory and Applications by : Ming Li

Download or read book Long-Range Dependent Processes: Theory and Applications written by Ming Li and published by Frontiers Media SA. This book was released on 2022-12-05 with total page 160 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Analytical and Stochastic Modelling Techniques and Applications

Author : Sabine Wittevrongel
Publisher : Springer
ISBN 13 : 3319439049
Total Pages : 324 pages
Book Rating : 4.3/5 (194 download)

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Book Synopsis Analytical and Stochastic Modelling Techniques and Applications by : Sabine Wittevrongel

Download or read book Analytical and Stochastic Modelling Techniques and Applications written by Sabine Wittevrongel and published by Springer. This book was released on 2016-08-03 with total page 324 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book constitutes the refereed proceedings of the 23rd International Conference on Analytical and Stochastic Modelling Techniques and Applications, ASMTA 2016, held in Cardiff, UK, in August 2016. The 21 full papers presented in this book were carefully reviewed and selected from 30 submissions. The papers discuss the latest developments in analytical, numerical and simulation algorithms for stochastic systems, including Markov processes, queueing networks, stochastic Petri nets, process algebras, game theory, etc.

Advanced Modelling in Mathematical Finance

Author : Jan Kallsen
Publisher : Springer
ISBN 13 : 3319458752
Total Pages : 508 pages
Book Rating : 4.3/5 (194 download)

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Book Synopsis Advanced Modelling in Mathematical Finance by : Jan Kallsen

Download or read book Advanced Modelling in Mathematical Finance written by Jan Kallsen and published by Springer. This book was released on 2016-12-01 with total page 508 pages. Available in PDF, EPUB and Kindle. Book excerpt: This Festschrift resulted from a workshop on “Advanced Modelling in Mathematical Finance” held in honour of Ernst Eberlein’s 70th birthday, from 20 to 22 May 2015 in Kiel, Germany. It includes contributions by several invited speakers at the workshop, including several of Ernst Eberlein’s long-standing collaborators and former students. Advanced mathematical techniques play an ever-increasing role in modern quantitative finance. Written by leading experts from academia and financial practice, this book offers state-of-the-art papers on the application of jump processes in mathematical finance, on term-structure modelling, and on statistical aspects of financial modelling. It is aimed at graduate students and researchers interested in mathematical finance, as well as practitioners wishing to learn about the latest developments.