Stochastic Optimization In Continuous Time

Author: Fwu-Ranq Chang
Publisher: Cambridge University Press
ISBN: 9781139452229
Size: 62.32 MB
Format: PDF, Docs
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First published in 2004, this is a rigorous but user-friendly book on the application of stochastic control theory to economics.

Optimization Control And Applications Of Stochastic Systems

Author: Daniel Hernández-Hernández
Publisher: Springer Science & Business Media
ISBN: 0817683372
Size: 68.70 MB
Format: PDF, Kindle
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This volume provides a general overview of discrete- and continuous-time Markov control processes and stochastic games, along with a look at the range of applications of stochastic control and some of its recent theoretical developments.

Contract Theory In Continuous Time Models

Author: Jakša Cvitanic
Publisher: Springer Science & Business Media
ISBN: 3642142001
Size: 66.53 MB
Format: PDF, ePub, Mobi
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In recent years there has been a significant increase of interest in continuous-time Principal-Agent models, or contract theory, and their applications.

Stochastic Control In Insurance

Author: Hanspeter Schmidli
Publisher: Springer Science & Business Media
ISBN: 1848000030
Size: 42.60 MB
Format: PDF, ePub, Mobi
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Yet again, here is a Springer volume that offers readers something completely new.

Stochastic Modeling And Optimization

Author: David D. Yao
Publisher: Springer Science & Business Media
ISBN: 0387217576
Size: 71.38 MB
Format: PDF, ePub
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This books covers the broad range of research in stochastic models and optimization. Applications presented include networks, financial engineering, production planning, and supply chain management.

Markov Decision Processes With Applications To Finance

Author: Nicole Bäuerle
Publisher: Springer Science & Business Media
ISBN: 9783642183249
Size: 54.72 MB
Format: PDF
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Models in mathematical finance, for example stock price processes, are often
defined in continuous-time. Hence optimization problems like
consumptioninvestment problems lead to stochastic control problems in
continuous-time. However, only a few of these problems can be solved explicitly.
When numerical methods have to be applied, it is sometimes wise to start with a
process in discrete-time, as done for example in the approximating Markov chain
approach. The resulting ...

Markov Models Optimization

Author: M.H.A. Davis
Publisher: CRC Press
ISBN: 9780412314100
Size: 55.30 MB
Format: PDF, ePub
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This book presents a radically new approach to problems of evaluating and optimizing the performance of continuous-time stochastic systems.

Introduction To Stochastic Control Theory

Author: Karl J. Åström
Publisher: Courier Corporation
ISBN: 0486138275
Size: 67.57 MB
Format: PDF, ePub
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Exploration of stochastic control theory in terms of analysis, parametric optimization, and optimal stochastic control. Limited to linear systems with quadratic criteria; covers discrete time and continuous time systems. 1970 edition.