Numerical Methods for Stochastic Control Problems in Continuous Time

Numerical Methods for Stochastic Control Problems in Continuous Time
Author: Harold Kushner
Publisher: Springer Science & Business Media
Total Pages: 480
Release: 2013-11-27
Genre: Mathematics
ISBN: 146130007X

Stochastic control is a very active area of research. This monograph, written by two leading authorities in the field, has been updated to reflect the latest developments. It covers effective numerical methods for stochastic control problems in continuous time on two levels, that of practice and that of mathematical development. It is broadly accessible for graduate students and researchers.

Optimal Control and Viscosity Solutions of Hamilton-Jacobi-Bellman Equations

Optimal Control and Viscosity Solutions of Hamilton-Jacobi-Bellman Equations
Author: Martino Bardi
Publisher: Springer Science & Business Media
Total Pages: 588
Release: 2009-05-21
Genre: Science
ISBN: 0817647554

This softcover book is a self-contained account of the theory of viscosity solutions for first-order partial differential equations of Hamilton–Jacobi type and its interplay with Bellman’s dynamic programming approach to optimal control and differential games. It will be of interest to scientists involved in the theory of optimal control of deterministic linear and nonlinear systems. The work may be used by graduate students and researchers in control theory both as an introductory textbook and as an up-to-date reference book.

Stochastic Approximation and Recursive Algorithms and Applications

Stochastic Approximation and Recursive Algorithms and Applications
Author: Harold Kushner
Publisher: Springer Science & Business Media
Total Pages: 432
Release: 2013-11-11
Genre: Mathematics
ISBN: 1489926968

The most comprehensive and thorough treatment of modern stochastic approximation type algorithms to date, based on powerful methods connected with that of the ODE. It covers general constrained and unconstrained problems, w.p.1 as well as the very successful weak convergence methods under weak conditions on the dynamics and noise processes, asymptotic properties and rates of convergence, iterate averaging methods, ergodic cost problems, state dependent noise, high dimensional problems, plus decentralized and asynchronous algorithms, and the use of methods of large deviations. Examples from many fields illustrate and motivate the techniques.

Handbook of Maintenance Management and Engineering

Handbook of Maintenance Management and Engineering
Author: Mohamed Ben-Daya
Publisher: Springer Science & Business Media
Total Pages: 745
Release: 2009-07-30
Genre: Technology & Engineering
ISBN: 1848824726

To be able to compete successfully both at national and international levels, production systems and equipment must perform at levels not even thinkable a decade ago. Requirements for increased product quality, reduced throughput time and enhanced operating effectiveness within a rapidly changing customer demand environment continue to demand a high maintenance performance. In some cases, maintenance is required to increase operational effectiveness and revenues and customer satisfaction while reducing capital, operating and support costs. This may be the largest challenge facing production enterprises these days. For this, maintenance strategy is required to be aligned with the production logistics and also to keep updated with the current best practices. Maintenance has become a multidisciplinary activity and one may come across situations in which maintenance is the responsibility of people whose training is not engineering. This handbook aims to assist at different levels of understanding whether the manager is an engineer, a production manager, an experienced maintenance practitioner or a beginner. Topics selected to be included in this handbook cover a wide range of issues in the area of maintenance management and engineering to cater for all those interested in maintenance whether practitioners or researchers. This handbook is divided into 6 parts and contains 26 chapters covering a wide range of topics related to maintenance management and engineering.

Stochastic Analysis, Control, Optimization and Applications

Stochastic Analysis, Control, Optimization and Applications
Author: William M. McEneaney
Publisher: Springer Science & Business Media
Total Pages: 660
Release: 2012-12-06
Genre: Technology & Engineering
ISBN: 1461217849

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.

Random Evolutions and their Applications

Random Evolutions and their Applications
Author: Anatoly Swishchuk
Publisher: Springer Science & Business Media
Total Pages: 310
Release: 2013-03-14
Genre: Mathematics
ISBN: 9401595984

The book is devoted to the new trends in random evolutions and their various applications to stochastic evolutionary sytems (SES). Such new developments as the analogue of Dynkin's formulae, boundary value problems, stochastic stability and optimal control of random evolutions, stochastic evolutionary equations driven by martingale measures are considered. The book also contains such new trends in applied probability as stochastic models of financial and insurance mathematics in an incomplete market. In the famous classical financial mathematics Black-Scholes model of a (B,S) market for securities prices, which is used for the description of the evolution of bonds and stocks prices and also for their derivatives, such as options, futures, forward contracts, etc., it is supposed that the dynamic of bonds and stocks prices are set by a linear differential and linear stochastic differential equations, respectively, with interest rate, appreciation rate and volatility such that they are predictable processes. Also, in the Arrow-Debreu economy, the securities prices which support a Radner dynamic equilibrium are a combination of an Ito process and a random point process, with the all coefficients and jumps being predictable processes.

Numerical Methods for Stochastic Processes

Numerical Methods for Stochastic Processes
Author: Nicolas Bouleau
Publisher: John Wiley & Sons
Total Pages: 402
Release: 1994-01-14
Genre: Mathematics
ISBN: 9780471546412

Gives greater rigor to numerical treatments of stochastic models. Contains Monte Carlo and quasi-Monte Carlo techniques, simulation of major stochastic procedures, deterministic methods adapted to Markovian problems and special problems related to stochastic integral and differential equations. Simulation methods are given throughout the text as well as numerous exercises.

Numerical Analysis of Systems of Ordinary and Stochastic Differential Equations

Numerical Analysis of Systems of Ordinary and Stochastic Differential Equations
Author: S. S. Artemiev
Publisher: Walter de Gruyter
Total Pages: 185
Release: 2011-02-11
Genre: Mathematics
ISBN: 3110944669

This text deals with numerical analysis of systems of both ordinary and stochastic differential equations. It covers numerical solution problems of the Cauchy problem for stiff ordinary differential equations (ODE) systems by Rosenbrock-type methods (RTMs).