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Stochastic Control And Mathematical Modeling

Author: Hiroaki Morimoto
Publisher: Cambridge University Press
ISBN: 9780521195034
Size: 62.81 MB
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This is a concise and elementary introduction to stochastic control and mathematical modeling. This book is designed for researchers in stochastic control theory studying its application in mathematical economics and those in economics who are interested in mathematical theory in control. It is also a good guide for graduate students studying applied mathematics, mathematical economics, and non-linear PDE theory. Contents include the basics of analysis and probability, the theory of stochastic differential equations, variational problems, problems in optimal consumption and in optimal stopping, optimal pollution control, and solving the HJB equation with boundary conditions. Major mathematical requisitions are contained in the preliminary chapters or in the appendix so that readers can proceed without referring to other materials.

Stochastic Optimal Control In Infinite Dimension

Author: Giorgio Fabbri
Publisher: Springer
ISBN: 3319530674
Size: 51.13 MB
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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.

Non Associative Normed Algebras Volume 1 The Vidav Palmer And Gelfand Naimark Theorems

Author: Miguel Cabrera García
Publisher: Cambridge University Press
ISBN: 1139992775
Size: 71.85 MB
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This first systematic account of the basic theory of normed algebras, without assuming associativity, includes many new and unpublished results and is sure to become a central resource for researchers and graduate students in the field. This first volume focuses on the non-associative generalizations of (associative) C*-algebras provided by the so-called non-associative Gelfand–Naimark and Vidav–Palmer theorems, which give rise to alternative C*-algebras and non-commutative JB*-algebras, respectively. The relationship between non-commutative JB*-algebras and JB*-triples is also fully discussed. The second volume covers Zel'manov's celebrated work in Jordan theory to derive classification theorems for non-commutative JB*-algebras and JB*-triples, as well as other topics. The book interweaves pure algebra, geometry of normed spaces, and complex analysis, and includes a wealth of historical comments, background material, examples and exercises. The authors also provide an extensive bibliography.

Optimal Stochastic Control Stochastic Target Problems And Backward Sde

Author: Nizar Touzi
Publisher: Springer Science & Business Media
ISBN: 1461442869
Size: 23.43 MB
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​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.​

Nonnegative Matrices And Applications

Author: R. B. Bapat
Publisher: Cambridge University Press
ISBN: 9780521571678
Size: 49.97 MB
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This book provides an integrated treatment of the theory of nonnegative matrices (matrices with only positive numbers or zero as entries) and some related classes of positive matrices, concentrating on connections with game theory, combinatorics, inequalities, optimisation and mathematical economics. The wide variety of applications, which include price fixing, scheduling and the fair division problem, have been carefully chosen both for their elegant mathematical content and for their accessibility to students with minimal preparation. Many results in matrix theory are also presented. The treatment is rigorous and almost all results are proved completely. These results and applications will be of great interest to researchers in linear programming, statistics and operations research. The minimal prerequisites also make the book accessible to first-year graduate students.

Mathematical Models Volume Iii

Author: Jerzy A. Filar
Publisher: EOLSS Publications
ISBN: 1848262442
Size: 51.97 MB
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Mathematical Models is a component of Encyclopedia of Mathematical Sciences in the global Encyclopedia of Life Support Systems (EOLSS), which is an integrated compendium of twenty one Encyclopedias. The Theme on Mathematical Models discusses matters of great relevance to our world such as: Basic Principles of Mathematical Modeling; Mathematical Models in Water Sciences; Mathematical Models in Energy Sciences; Mathematical Models of Climate and Global Change; Infiltration and Ponding; Mathematical Models of Biology; Mathematical Models in Medicine and Public Health; Mathematical Models of Society and Development. These three volumes are aimed at the following five major target audiences: University and College students Educators, Professional practitioners, Research personnel and Policy analysts, managers, and decision makers and NGOs.

Numerical Methods For Stochastic Control Problems In Continuous Time

Author: Harold Kushner
Publisher: Springer Science & Business Media
ISBN: 1468404415
Size: 14.22 MB
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This book is concerned with numerical methods for stochastic control and optimal stochastic control problems. The random process models of the controlled or uncontrolled stochastic systems are either diffusions or jump diffusions. Stochastic control is a very active area of research and new prob lem formulations and sometimes surprising applications appear regularly. We have chosen forms of the models which cover the great bulk of the for mulations of the continuous time stochastic control problems which have appeared to date. The standard formats are covered, but much emphasis is given to the newer and less well known formulations. The controlled process might be either stopped or absorbed on leaving a constraint set or upon first hitting a target set, or it might be reflected or "projected" from the boundary of a constraining set. In some of the more recent applications of the reflecting boundary problem, for example the so-called heavy traffic approximation problems, the directions of reflection are actually discontin uous. In general, the control might be representable as a bounded function or it might be of the so-called impulsive or singular control types. Both the "drift" and the "variance" might be controlled. The cost functions might be any of the standard types: Discounted, stopped on first exit from a set, finite time, optimal stopping, average cost per unit time over the infinite time interval, and so forth.