Stochastic Analysis, Filtering, and Stochastic Optimization - 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 Analysis, Filtering, and Stochastic Optimization write by George Yin. This book was released on 2022-04-22. Stochastic Analysis, Filtering, and Stochastic Optimization available in PDF, EPUB and Kindle. 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.
Stochastic Analysis, Control, Optimization and Applications
Stochastic Analysis, 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 Stochastic Analysis, Control, Optimization and Applications write by William M. McEneaney. This book was released on 2012-12-06. Stochastic Analysis, Control, Optimization and Applications available in PDF, EPUB and Kindle. In view of Professor Wendell Fleming's many fundamental contributions, his profound influence on the mathematical and systems theory communi ties, his service to the profession, and his dedication to mathematics, we have invited a number of leading experts in the fields of control, optimiza tion, and stochastic systems to contribute to this volume in his honor on the occasion of his 70th birthday. These papers focus on various aspects of stochastic analysis, control theory and optimization, and applications. They include authoritative expositions and surveys as well as research papers on recent and important issues. The papers are grouped according to the following four major themes: (1) large deviations, risk sensitive and Hoc control, (2) partial differential equations and viscosity solutions, (3) stochastic control, filtering and parameter esti mation, and (4) mathematical finance and other applications. We express our deep gratitude to all of the authors for their invaluable contributions, and to the referees for their careful and timely reviews. We thank Harold Kushner for having graciously agreed to undertake the task of writing the foreword. Particular thanks go to H. Thomas Banks for his help, advice and suggestions during the entire preparation process, as well as for the generous support of the Center for Research in Scientific Computation. The assistance from the Birkhauser professional staff is also greatly appreciated.
Fundamentals of Stochastic Filtering
Fundamentals of Stochastic Filtering - 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 Fundamentals of Stochastic Filtering write by Alan Bain. This book was released on 2008-10-08. Fundamentals of Stochastic Filtering available in PDF, EPUB and Kindle. This book provides a rigorous mathematical treatment of the non-linear stochastic filtering problem using modern methods. Particular emphasis is placed on the theoretical analysis of numerical methods for the solution of the filtering problem via particle methods. The book should provide sufficient background to enable study of the recent literature. While no prior knowledge of stochastic filtering is required, readers are assumed to be familiar with measure theory, probability theory and the basics of stochastic processes. Most of the technical results that are required are stated and proved in the appendices. Exercises and solutions are included.
An Introduction to Stochastic Filtering Theory
An Introduction to Stochastic Filtering Theory - 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 An Introduction to Stochastic Filtering Theory write by Jie Xiong. This book was released on 2008-04-17. An Introduction to Stochastic Filtering Theory available in PDF, EPUB and Kindle. Stochastic Filtering Theory uses probability tools to estimate unobservable stochastic processes that arise in many applied fields including communication, target-tracking, and mathematical finance.As a topic, Stochastic Filtering Theory has progressed rapidly in recent years. For example, the (branching) particle system representation of the optimal filter has been extensively studied to seek more effective numerical approximations of the optimal filter; the stability of the filter with "incorrect" initial state, as well as the long-term behavior of the optimal filter, has attracted the attention of many researchers; and although still in its infancy, the study of singular filteringmodels has yielded exciting results.In this text, Jie Xiong introduces the reader to the basics of Stochastic Filtering Theory before covering these key recent advances. The text is written in a style suitable for graduates in mathematics and engineering with a background in basic probability.
Stochastic Analysis, Stochastic Systems, and Applications to Finance
Stochastic Analysis, Stochastic Systems, and Applications to Finance - 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 Analysis, Stochastic Systems, and Applications to Finance write by Allanus Hak-Man Tsoi. This book was released on 2011. Stochastic Analysis, Stochastic Systems, and Applications to Finance available in PDF, EPUB and Kindle. 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.
