Overview

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. These topics include various aspects of dynamic programming, approximation algorithms, and infinite-dimensional linear programming. In all, the work comprises 18 carefully selected papers written by experts in their respective fields. Optimization, Control, and Applications of Stochastic Systems will be a valuable resource for all practitioners, researchers, and professionals in applied mathematics and operations research who work in the areas of stochastic control, mathematical finance, queueing theory, and inventory systems. It may also serve as a supplemental text for graduate courses in optimal control and dynamic games.

Full Product Details

Author:   Daniel Hernández-Hernández ,  J. Adolfo Minjárez-Sosa
Publisher:   Birkhauser Boston Inc
Imprint:   Birkhauser Boston Inc
Edition:   2012 ed.
Dimensions:   Width: 15.50cm , Height: 2.30cm , Length: 23.50cm
Weight:   0.676kg
ISBN:  

9780817683368

ISBN 10:   0817683364
Pages:   309
Publication Date:   15 August 2012
Audience:   College/higher education ,  Postgraduate, Research & Scholarly
Format:   Hardback
Publisher's Status:   Active
Availability:   Manufactured on demand  
We will order this item for you from a manufactured on demand supplier.

Table of Contents

1 On the Policy Iteration Algorithm for Non-degenerate Controlled Diffusions under the Ergodic Criterion.- 2 Discrete-Time Inventory Problems with Lead Time and Order-Time Constraint.- 3 Sample-Path Optimality in Average Markov Decision Chains.- 4 Approximation of Infinite Horizon Discounted Cost Markov.- 5 Reduction of Discounted Continuous-Time MDPs with Unbounded.- 6 Continuous-Time Controlled Jump Markov Processes on the Finite.- 7 Existence and Uniqueness of Solutions of SPDEs in Infinite Dimensions.- 8 A Constrained Optimization Problem with Applications to Constrained.- 9 Optimal Execution of Derivatives, a Taylor Expansion Approach.- 10 A Survey of Some Model-Based Methods for Global Optimization.- 11 Constrained Optimality for First Passage Criteria in Semi-Markov.- 12 Infinite-Horizon Optimal Control Problems for Hybrid Switching.- 13 Fluid Approximations to Markov Decision Processes with Local.- 14 Minimizing Ruin Probabilities by Reinsurance and Investment: a Markovian Decision Approach.- 15 Estimation of the Optimality Deviation in Discounted Semi-Markov.- 16 Discrete Time Approximations of Continuous Time Finite Horizon.- 17 A Direct Approach to the Solution of Optimal Multiple-Stopping.- 18 On the Regularity Property of Semi-Markov Processes with Borel State Spaces.

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