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Author: Samuel N. Cohen Publisher: Springer Nature ISBN: 3030222853 Category : Mathematics Languages : en Pages : 303
Book Description
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.
Author: Alexey B. Piunovskiy Publisher: Luniver Press ISBN: 1905986300 Category : Mathematics Languages : en Pages : 342
Book Description
World leading experts give their accounts of the modern mathematical models in the field: Markov Decision Processes, controlled diffusions, piece-wise deterministic processes etc, with a wide range of performance functionals. One of the aims is to give a general view on the state-of-the-art. The authors use Dynamic Programming, Convex Analytic Approach, several numerical methods, index-based approach and so on. Most chapters either contain well developed examples, or are entirely devoted to the application of the mathematical control theory to real life problems from such fields as Insurance, Portfolio Optimization and Information Transmission. The book will enable researchers, academics and research students to get a sense of novel results, concepts, models, methods, and applications of controlled stochastic processes.
Author: Samuel N. Cohen Publisher: Springer Nature ISBN: 3030222853 Category : Mathematics Languages : en Pages : 303
Book Description
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.
Author: Alexey Piunovskiy Publisher: Springer Nature ISBN: 3030769283 Category : Technology & Engineering Languages : en Pages : 356
Book Description
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.
Author: Volodymyr Korolyuk Publisher: Springer Science & Business Media ISBN: 3319035126 Category : Mathematics Languages : en Pages : 352
Book Description
This volume presents an extensive overview of all major modern trends in applications of probability and stochastic analysis. It will be a great source of inspiration for designing new algorithms, modeling procedures and experiments. Accessible to researchers, practitioners, as well as graduate and postgraduate students, this volume presents a variety of new tools, ideas and methodologies in the fields of optimization, physics, finance, probability, hydrodynamics, reliability, decision making, mathematical finance, mathematical physics and economics. Contributions to this Work include those of selected speakers from the international conference entitled “Modern Stochastics: Theory and Applications III,” held on September 10 –14, 2012 at Taras Shevchenko National University of Kyiv, Ukraine. The conference covered the following areas of research in probability theory and its applications: stochastic analysis, stochastic processes and fields, random matrices, optimization methods in probability, stochastic models of evolution systems, financial mathematics, risk processes and actuarial mathematics and information security.
Author: Carl Chiarella Publisher: Springer Science & Business Media ISBN: 3642034799 Category : Mathematics Languages : en Pages : 421
Book Description
This volume contains a collection of papers dedicated to Professor Eckhard Platen to celebrate his 60th birthday, which occurred in 2009. The contributions have been written by a number of his colleagues and co-authors. All papers have been - viewed and presented as keynote talks at the international conference “Quantitative Methods in Finance” (QMF) in Sydney in December 2009. The QMF Conference Series was initiated by Eckhard Platen in 1993 when he was at the Australian - tional University (ANU) in Canberra. Since joining UTS in 1997 the conference came to be organised on a much larger scale and has grown to become a signi?cant international event in quantitative ?nance. Professor Platen has held the Chair of Quantitative Finance at the University of Technology, Sydney (UTS) jointly in the Faculties of Business and Science since 1997. Prior to this appointment, he was the Founding Head of the Centre for Fin- cial Mathematics at the Institute of Advanced Studies at ANU, a position to which he was appointed in 1994. Eckhard completed a PhD in Mathematics at the Technical University in Dresden in 1975 and in 1985 obtained his Doctor of Science degree (Habilitation degree in the German system) from the Academy of Sciences in Berlin where he headed the Stochastics group at the Weierstrass Institute.
Author: Pierre Picco Publisher: Birkhäuser ISBN: 3034880537 Category : Mathematics Languages : en Pages : 231
Book Description
This volume is based on the lecture notes of six courses delivered at a Cimpa Summer School in Temuco, Chile, in January 2001. Leading experts contribute with introductory articles covering a broad area in probability and its applications, such as mathematical physics and mathematics of finance. Written at graduate level, the lectures touch the latest advances on each subject, ranging from classical probability theory to modern developments. Thus the book will appeal to students, teachers and researchers working in probability theory or related fields.
Author: Susan G. Williams Publisher: American Mathematical Soc. ISBN: 0821831577 Category : Mathematics Languages : en Pages : 168
Book Description
Symbolic dynamics originated as a tool for analyzing dynamical systems and flows by discretizing space as well as time. The development of information theory gave impetus to the study of symbol sequences as objects in their own right. Today, symbolic dynamics has expanded to encompass multi-dimensional arrays of symbols and has found diverse applications both within and beyond mathematics. This volume is based on the AMS Short Course on Symbolic Dynamics and its Applications. It contains introductory articles on the fundamental ideas of the field and on some of its applications. Topics include the use of symbolic dynamics techniques in coding theory and in complex dynamics, the relation between the theory of multi-dimensional systems and the dynamics of tilings, and strong shift equivalence theory. Contributors to the volume are experts in the field and are clear expositors. The book is suitable for graduate students and research mathematicians interested in symbolic dynamics and its applications.
Author: Alan C. Krinik Publisher: CRC Press ISBN: 9780203913574 Category : Mathematics Languages : en Pages : 526
Book Description
This extraordinary compilation is an expansion of the recent American Mathematical Society Special Session celebrating M. M. Rao's distinguished career and includes most of the presented papers as well as ancillary contributions from session invitees. This book shows the effectiveness of abstract analysis for solving fundamental problems of stochas
Author: Samuel N. Cohen
Author: Alexey B. Piunovskiy
Author: Samuel N. Cohen
Author: British Library. Document Supply Centre
Author: Alexey Piunovskiy
Author: Simo Särkkä
Author: Volodymyr Korolyuk
Author: Carl Chiarella
Author: Pierre Picco
Author: Susan G. Williams
Author: Alan C. Krinik