Methods Of Optimal Statistical Decisions Optimal Control And Stochastic Differential Equations PDF Download
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| Author | : Ellida M. Khazen |
| Publisher | : Xlibris Corporation |
| Total Pages | : 320 |
| Release | : 2009-11-16 |
| Genre | : Education |
| ISBN | : 1462807178 |
Download Methods of Optimal Statistical Decisions, Optimal Control, and Stochastic Differential Equations Book in PDF, ePub and Kindle
This book provides the reader with some insight into the mathematical models of random processes with continuous time, stochastic differential equations and stochastic integrals. An advanced development of the mathematical methods of optimal statistical decisions, statistical sequential analysis, and informational estimation of risks, and new methods and solutions to the important problems of the theory of optimal control are presented. The new original results obtained by this author and published shortly in her numerous scientific-research papers are presented in a systematic way in this book. The book is intended for engineers, students, post-graduate students, and scientist researchers. The presentation of the material is accessible to engineers.
| Author | : Ellida M. Khazen |
| Publisher | : Xlibris Corporation |
| Total Pages | : 320 |
| Release | : 2009 |
| Genre | : Mathematical optimization |
| ISBN | : 1441557245 |
Download Methods of Optimal Statistical Decisions, Optimal Control, and Stochastic Differential Equations Book in PDF, ePub and Kindle
This book provides the reader with some insight into the mathematical models of random processes with continuous time, stochastic differential equations and stochastic integrals. An advanced development of the mathematical methods of optimal statistical decisions, statistical sequential analysis, and informational estimation of risks, and new methods and solutions to the important problems of the theory of optimal control are presented. The new original results obtained by this author and published shortly in her numerous scientific-research papers are presented in a systematic way in this book. The book is intended for engineers, students, post-graduate students, and scientist researchers. The presentation of the material is accessible to engineers.
| Author | : Giorgio Fabbri |
| Publisher | : Springer |
| Total Pages | : 928 |
| Release | : 2017-06-22 |
| Genre | : Mathematics |
| ISBN | : 3319530674 |
Download Stochastic Optimal Control in Infinite Dimension Book in PDF, ePub and Kindle
Providing an introduction to stochastic optimal control in infinite dimension, this book gives a complete account of the theory of second-order HJB equations in infinite-dimensional Hilbert spaces, focusing on its applicability to associated stochastic optimal control problems. It features a general introduction to optimal stochastic control, including basic results (e.g. the dynamic programming principle) with proofs, and provides examples of applications. A complete and up-to-date exposition of the existing theory of viscosity solutions and regular solutions of second-order HJB equations in Hilbert spaces is given, together with an extensive survey of other methods, with a full bibliography. In particular, Chapter 6, written by M. Fuhrman and G. Tessitore, surveys the theory of regular solutions of HJB equations arising in infinite-dimensional stochastic control, via BSDEs. The book is of interest to both pure and applied researchers working in the control theory of stochastic PDEs, and in PDEs in infinite dimension. Readers from other fields who want to learn the basic theory will also find it useful. The prerequisites are: standard functional analysis, the theory of semigroups of operators and its use in the study of PDEs, some knowledge of the dynamic programming approach to stochastic optimal control problems in finite dimension, and the basics of stochastic analysis and stochastic equations in infinite-dimensional spaces.
| Author | : Huyên Pham |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 243 |
| Release | : 2009-05-28 |
| Genre | : Mathematics |
| ISBN | : 3540895000 |
Download Continuous-time Stochastic Control and Optimization with Financial Applications Book 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.
| Author | : Mathieu Kessler |
| Publisher | : CRC Press |
| Total Pages | : 507 |
| Release | : 2012-05-17 |
| Genre | : Mathematics |
| ISBN | : 1439849765 |
Download Statistical Methods for Stochastic Differential Equations Book in PDF, ePub and Kindle
The seventh volume in the SemStat series, Statistical Methods for Stochastic Differential Equations presents current research trends and recent developments in statistical methods for stochastic differential equations. Written to be accessible to both new students and seasoned researchers, each self-contained chapter starts with introductions to th
| Author | : Nizar Touzi |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 219 |
| Release | : 2012-09-25 |
| Genre | : Mathematics |
| ISBN | : 1461442869 |
Download Optimal Stochastic Control, Stochastic Target Problems, and Backward SDE Book in PDF, ePub and Kindle
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.
| Author | : Baasansuren Jadamba |
| Publisher | : CRC Press |
| Total Pages | : 394 |
| Release | : 2021-12-15 |
| Genre | : Computers |
| ISBN | : 1000511723 |
Download Deterministic and Stochastic Optimal Control and Inverse Problems Book in PDF, ePub and Kindle
Inverse problems of identifying parameters and initial/boundary conditions in deterministic and stochastic partial differential equations constitute a vibrant and emerging research area that has found numerous applications. A related problem of paramount importance is the optimal control problem for stochastic differential equations. This edited volume comprises invited contributions from world-renowned researchers in the subject of control and inverse problems. There are several contributions on optimal control and inverse problems covering different aspects of the theory, numerical methods, and applications. Besides a unified presentation of the most recent and relevant developments, this volume also presents some survey articles to make the material self-contained. To maintain the highest level of scientific quality, all manuscripts have been thoroughly reviewed.
| Author | : Tony Huschto |
| Publisher | : |
| Total Pages | : 198 |
| Release | : 2014 |
| Genre | : |
| ISBN | : |
Download Numerical Methods for Random Parameter Optimal Control and the Optimal Control of Stochastic Differential Equations Book in PDF, ePub and Kindle
| Author | : William M. McEneaney |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 892 |
| Release | : 1999 |
| Genre | : Mathematics |
| ISBN | : 9780817640781 |
Download Stochastic Analysis, Control, Optimization and Applications Book 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.
| Author | : Pavel S. Knopov |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 191 |
| Release | : 2013-09-17 |
| Genre | : Mathematics |
| ISBN | : 1461482860 |
Download Estimation and Control Problems for Stochastic Partial Differential Equations Book in PDF, ePub and Kindle
Focusing on research surrounding aspects of insufficiently studied problems of estimation and optimal control of random fields, this book exposes some important aspects of those fields for systems modeled by stochastic partial differential equations. It contains many results of interest to specialists in both the theory of random fields and optimal control theory who use modern mathematical tools for resolving specific applied problems, and presents research that has not previously been covered. More generally, this book is intended for scientists, graduate, and post-graduates specializing in probability theory and mathematical statistics. The models presented describe many processes in turbulence theory, fluid mechanics, hydrology, astronomy, and meteorology, and are widely used in pattern recognition theory and parameter identification of stochastic systems. Therefore, this book may also be useful to applied mathematicians who use probability and statistical methods in the selection of useful signals subject to noise, hypothesis distinguishing, distributed parameter systems optimal control, and more. Material presented in this monograph can be used for education courses on the estimation and control theory of random fields.
