Author: M. FriedmanPublisher:
ISBN:
Category :
Languages : en
Pages : 44
Book Description
Optimal Control of Partially Observable Jump Diffusion Processes
Author: M. FriedmanOptimal Control of Diffusion Processes
Author: Vivek S. BorkarPublisher: Longman
ISBN:
Category : Control theory
Languages : en
Pages : 212
Book Description
Applied Stochastic Control of Jump Diffusions
Author: Bernt ØksendalPublisher: Springer Science & Business Media
ISBN: 3540698264
Category : Mathematics
Languages : en
Pages : 263
Book Description
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.
Optimal Control and Partial Differential Equations
Author: José Luis MenaldiPublisher: IOS Press
ISBN: 9781586030964
Category : Mathematics
Languages : en
Pages : 632
Book Description
This volume contains more than sixty invited papers of international wellknown scientists in the fields where Alain Bensoussan's contributions have been particularly important: filtering and control of stochastic systems, variationnal problems, applications to economy and finance, numerical analysis... In particular, the extended texts of the lectures of Professors Jens Frehse, Hitashi Ishii, Jacques-Louis Lions, Sanjoy Mitter, Umberto Mosco, Bernt Oksendal, George Papanicolaou, A. Shiryaev, given in the Conference held in Paris on December 4th, 2000 in honor of Professor Alain Bensoussan are included.
Scientific and Technical Aerospace Reports
Author: On the Optimal Control of Diffusion Processes
Author: Martin Lee PutermanSeminar on Stochastic Analysis, Random Fields and Applications VII
Author: Robert C. DalangPublisher: Springer Science & Business Media
ISBN: 3034805454
Category : Mathematics
Languages : en
Pages : 470
Book Description
This volume contains refereed research or review articles presented at the 7th Seminar on Stochastic Analysis, Random Fields and Applications which took place at the Centro Stefano Franscini (Monte Verità) in Ascona , Switzerland, in May 2011. The seminar focused mainly on: - stochastic (partial) differential equations, especially with jump processes, construction of solutions and approximations - Malliavin calculus and Stein methods, and other techniques in stochastic analysis, especially chaos representations and convergence, and applications to models of interacting particle systems - stochastic methods in financial models, especially models for power markets or for risk analysis, empirical estimation and approximation, stochastic control and optimal pricing. The book will be a valuable resource for researchers in stochastic analysis and for professionals interested in stochastic methods in finance.
Optimal Control of Diffusion Processes
Author: Wendell H. FlemingPublisher:
ISBN:
Category :
Languages : en
Pages : 14
Book Description
The paper summarizes some recent work on optimal control theory for continuous parameter stochastic processes. The author discusses only the control of Markov diffusion processes governed by stochastic differential equations of Ito type. Moreover, the author considers only the two cases when either: (A) no observations are available to the controller (open loop control); or (B) the states of the processes are completely observed by the controller. (Author).
Feedback Strategies for Partially Observable Stochastic Systems
Author: Yaakov YavinPublisher: Springer
ISBN:
Category : Mathematics
Languages : en
Pages : 248
Book Description
Stochastic Differential Equations
Author: Joseph Bishop KellerPublisher: American Mathematical Soc.
ISBN: 9780821813256
Category : Stochastic differential equations
Languages : en
Pages : 220
Book Description