|Statement||edited by Shuping Chen, Jiongmin Yong.|
|Contributions||Chʻen, Shu-pʻing., Yong, J. 1958-|
|LC Classifications||QA402.3 .S9615 1991|
|The Physical Object|
|Pagination||xiv, 289 p. :|
|Number of Pages||289|
This edited volume contains sixteen research articles and presents recent and pressing issues in stochastic processes, control theory, differential games, optimization, and their applications in finance, manufacturing, queueing networks, and climate control. One of the salient features is that the book is highly multi-disciplinary. 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. 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. 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.
The author presents applications of control theory to the law equivalence of stochastic systems. As a byproduct he obtains some characterization of control-equivalent systems. Deterministic and. This chapter discusses the application of stochastic analysis in economic models based on a few fundamental considerations. It focuses on the need for operational presentation of the mathematical results in stochastic processes, stochastic control, and stochastic programming that have actual or potential usefulness in economic models. It discusses empirical applications primarily for illustrative . Browse the list of issues and latest articles from Stochastic Analysis and Applications. List of issues Latest articles Volume 38 Volume 37 Volume 36 Volume 35 Volume 34 Volume 33 Volume 32 Books; Keep up to date. Register to receive personalised research and resources by email. Sign me up. Stochastic Differential Equations and Applications, Volume 1 covers the development of the basic theory of stochastic differential equation systems. This volume is divided into nine chapters. Chapters 1 to 5 deal with the basic theory of stochastic differential equations, including discussions of the Markov processes, Brownian motion, and the stochastic integral.
This book presents the general theory and basic methods of linear and nonlinear stochastic systems (StS) i.e. dynamical systems described by stochastic finite- and infinite-dimensional differential, integral, integrodifferential, difference etc equations. The general StS theory is based on the equations for characteristic functions and : V S Pugachev, Igor Sinitsyn. applications. Such applications abound, so we have conﬁned ourselves to only two of them, namely ﬁltering theory and stochastic control; this latter topic will also serve us as a vehicle for introducing important recent advances in the ﬁeld of ﬁnancial economics, which have been made possible thanks to the methodologies of stochastic. Stochastic optimization problems arise in decision-making problems under uncertainty, and find various applications in economics and finance. On the other hand, problems in finance have recently led to new developments in the theory of stochastic control. Stochastic Control and Mathematical Modeling: Applications in Economics (Encyclopedia of Mathematics and its Applications Book ) - Kindle edition by Hiroaki Morimoto. Download it once and read it on your Kindle device, PC, phones or tablets.