Modeling, Stochastic Control, Optimization, and Applications - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Modeling, Stochastic Control, Optimization, and Applications write by George Yin. This book was released on 2019-07-16. Modeling, Stochastic Control, Optimization, and Applications available in PDF, EPUB and Kindle. 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.
Continuous-time Stochastic Control and Optimization with Financial Applications
Continuous-time Stochastic Control and Optimization with Financial Applications - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Continuous-time Stochastic Control and Optimization with Financial Applications write by Huyên Pham. This book was released on 2009-05-28. Continuous-time Stochastic Control and Optimization with Financial Applications available in PDF, EPUB and Kindle. Stochastic optimization problems arise in decision-making problems under uncertainty, and find various applications in economics and finance. On the other hand, problems in finance have recently led to new developments in the theory of stochastic control. This volume provides a systematic treatment of stochastic optimization problems applied to finance by presenting the different existing methods: dynamic programming, viscosity solutions, backward stochastic differential equations, and martingale duality methods. The theory is discussed in the context of recent developments in this field, with complete and detailed proofs, and is illustrated by means of concrete examples from the world of finance: portfolio allocation, option hedging, real options, optimal investment, etc. This book is directed towards graduate students and researchers in mathematical finance, and will also benefit applied mathematicians interested in financial applications and practitioners wishing to know more about the use of stochastic optimization methods in finance.
Stochastic Controls
Stochastic Controls - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Stochastic Controls write by Jiongmin Yong. This book was released on 2012-12-06. Stochastic Controls available in PDF, EPUB and Kindle. As is well known, Pontryagin's maximum principle and Bellman's dynamic programming are the two principal and most commonly used approaches in solving stochastic optimal control problems. * An interesting phenomenon one can observe from the literature is that these two approaches have been developed separately and independently. Since both methods are used to investigate the same problems, a natural question one will ask is the fol lowing: (Q) What is the relationship betwccn the maximum principlc and dy namic programming in stochastic optimal controls? There did exist some researches (prior to the 1980s) on the relationship between these two. Nevertheless, the results usually werestated in heuristic terms and proved under rather restrictive assumptions, which were not satisfied in most cases. In the statement of a Pontryagin-type maximum principle there is an adjoint equation, which is an ordinary differential equation (ODE) in the (finite-dimensional) deterministic case and a stochastic differential equation (SDE) in the stochastic case. The system consisting of the adjoint equa tion, the original state equation, and the maximum condition is referred to as an (extended) Hamiltonian system. On the other hand, in Bellman's dynamic programming, there is a partial differential equation (PDE), of first order in the (finite-dimensional) deterministic case and of second or der in the stochastic case. This is known as a Hamilton-Jacobi-Bellman (HJB) equation.
Constructive Computation in Stochastic Models with Applications
Constructive Computation in Stochastic Models with Applications - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Constructive Computation in Stochastic Models with Applications write by Quan-Lin Li. This book was released on 2011-02-02. Constructive Computation in Stochastic Models with Applications available in PDF, EPUB and Kindle. "Constructive Computation in Stochastic Models with Applications: The RG-Factorizations" provides a unified, constructive and algorithmic framework for numerical computation of many practical stochastic systems. It summarizes recent important advances in computational study of stochastic models from several crucial directions, such as stationary computation, transient solution, asymptotic analysis, reward processes, decision processes, sensitivity analysis as well as game theory. Graduate students, researchers and practicing engineers in the field of operations research, management sciences, applied probability, computer networks, manufacturing systems, transportation systems, insurance and finance, risk management and biological sciences will find this book valuable. Dr. Quan-Lin Li is an Associate Professor at the Department of Industrial Engineering of Tsinghua University, China.
Applications of Stochastic Programming
Applications of Stochastic Programming - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Applications of Stochastic Programming write by Stein W. Wallace. This book was released on 2005-06-01. Applications of Stochastic Programming available in PDF, EPUB and Kindle. Consisting of two parts, this book presents papers describing publicly available stochastic programming systems that are operational. It presents a diverse collection of application papers in areas such as production, supply chain and scheduling, gaming, environmental and pollution control, financial modeling, telecommunications, and electricity.
