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Author : Chin Ma
Release : 1992
Genre :
Kind : eBook
Book Rating : /5 ( reviews)
Book Synopsis Topics on Singular Stochastic Control and Related Stochastic Differential Equations by : Chin Ma
Download or read book Topics on Singular Stochastic Control and Related Stochastic Differential Equations written by Chin Ma. This book was released on 1992. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Jin Ma
Release : 1992
Genre : Stochastic control theory
Kind : eBook
Book Rating : /5 ( reviews)
Book Synopsis Topics on Singular Stochastic Control and Related Stochastic Differential Equations by : Jin Ma
Download or read book Topics on Singular Stochastic Control and Related Stochastic Differential Equations written by Jin Ma. This book was released on 1992. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Wendell Fleming
Release : 2012-12-06
Genre : Mathematics
Kind : eBook
Book Rating : 620/5 ( reviews)
Book Synopsis Stochastic Differential Systems, Stochastic Control Theory and Applications by : Wendell Fleming
Download or read book Stochastic Differential Systems, Stochastic Control Theory and Applications written by Wendell Fleming. This book was released on 2012-12-06. 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
Release : 2022-04-22
Genre : Mathematics
Kind : eBook
Book Rating : 199/5 ( reviews)
Book Synopsis Stochastic Analysis, Filtering, and Stochastic Optimization by : George Yin
Download or read book Stochastic Analysis, Filtering, and Stochastic Optimization written by George Yin. This book was released on 2022-04-22. 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
Release : 2012-09-25
Genre : Mathematics
Kind : eBook
Book Rating : 869/5 ( reviews)
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. This book was released on 2012-09-25. 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.
