Applications of Variational Inequalities in Stochastic Control PDF Download
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Author: A. Bensoussan
Publisher: Elsevier
ISBN: 9780080875330
Category : Mathematics
Languages : en
Pages : 563
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Book Description
Applications of Variational Inequalities in Stochastic Control
Author: A. Bensoussan
Publisher: Elsevier
ISBN: 9780080875330
Category : Mathematics
Languages : en
Pages : 563
Get Book
Book Description
Applications of Variational Inequalities in Stochastic Control
Author: Alain Bensoussan
Publisher:
ISBN: 9780444557438
Category : Control theory
Languages : en
Pages : 564
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Book Description
Author: A. Bensoussan
Publisher: Elsevier
ISBN: 9780080875323
Category : Mathematics
Languages : en
Pages : 409
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Book Description
Stochastic Control by Functional Analysis Methods
Author: Alain Bensoussan
Publisher: Bordas Editions
ISBN:
Category : Calculus of variations
Languages : en
Pages : 712
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Book Description
"The general aim of this book is to establish and study the relations that exist, via dynamic programming, between, on the one hand, stochastic control, and on the other hand variational and quasi-variational inequalities, with the intention of obtaining constructive methods of solution by numerical methods. It begins with numerous examples which occur in applications and goes on to study, from an analytical viewpoint, both elliptic and parabolic quasi-variational inequalities. Finally the authors reconstruct an optimal control starting from the solution of the quasi-variational inequality."--Amazon.
Author: Bernt Øksendal
Publisher: Springer
ISBN: 3030027813
Category : Business & Economics
Languages : en
Pages : 439
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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.
Author: Suresh P. Sethi
Publisher: Springer Nature
ISBN: 3030917452
Category : Business & Economics
Languages : en
Pages : 520
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Book Description
This new 4th edition offers an introduction to optimal control theory and its diverse applications in management science and economics. It introduces students to the concept of the maximum principle in continuous (as well as discrete) time by combining dynamic programming and Kuhn-Tucker theory. While some mathematical background is needed, the emphasis of the book is not on mathematical rigor, but on modeling realistic situations encountered in business and economics. It applies optimal control theory to the functional areas of management including finance, production and marketing, as well as the economics of growth and of natural resources. In addition, it features material on stochastic Nash and Stackelberg differential games and an adverse selection model in the principal-agent framework. Exercises are included in each chapter, while the answers to selected exercises help deepen readers’ understanding of the material covered. Also included are appendices of supplementary material on the solution of differential equations, the calculus of variations and its ties to the maximum principle, and special topics including the Kalman filter, certainty equivalence, singular control, a global saddle point theorem, Sethi-Skiba points, and distributed parameter systems. Optimal control methods are used to determine optimal ways to control a dynamic system. The theoretical work in this field serves as the foundation for the book, in which the author applies it to business management problems developed from his own research and classroom instruction. The new edition has been refined and updated, making it a valuable resource for graduate courses on applied optimal control theory, but also for financial and industrial engineers, economists, and operational researchers interested in applying dynamic optimization in their fields.
Author: Baasansuren Jadamba
Publisher: CRC Press
ISBN: 1000511758
Category : Computers
Languages : en
Pages : 378
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Book Description
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: Jan H. van Schuppen
Publisher: Springer Nature
ISBN: 3030669521
Category : Technology & Engineering
Languages : en
Pages : 940
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Book Description
This book helps students, researchers, and practicing engineers to understand the theoretical framework of control and system theory for discrete-time stochastic systems so that they can then apply its principles to their own stochastic control systems and to the solution of control, filtering, and realization problems for such systems. Applications of the theory in the book include the control of ships, shock absorbers, traffic and communications networks, and power systems with fluctuating power flows. The focus of the book is a stochastic control system defined for a spectrum of probability distributions including Bernoulli, finite, Poisson, beta, gamma, and Gaussian distributions. The concepts of observability and controllability of a stochastic control system are defined and characterized. Each output process considered is, with respect to conditions, represented by a stochastic system called a stochastic realization. The existence of a control law is related to stochastic controllability while the existence of a filter system is related to stochastic observability. Stochastic control with partial observations is based on the existence of a stochastic realization of the filtration of the observed process.
Author: Bernt Øksendal
Publisher: Springer
ISBN: 9783540834861
Category : Mathematics
Languages : en
Pages : 262
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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.
Author: Michiel Hazewinkel
Publisher: Springer Science & Business Media
ISBN: 9781556080050
Category : Mathematics
Languages : en
Pages : 620
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Book Description
V.1. A-B v.2. C v.3. D-Feynman Measure. v.4. Fibonaccimethod H v.5. Lituus v.6. Lobachevskii Criterion (for Convergence)-Optical Sigman-Algebra. v.7. Orbi t-Rayleigh Equation. v.8. Reaction-Diffusion Equation-Stirling Interpolation Fo rmula. v.9. Stochastic Approximation-Zygmund Class of Functions. v.10. Subject Index-Author Index.
