Last edited by Dulkis
Monday, May 18, 2020 | History

1 edition of Stochastic processes, optimization, and control theory found in the catalog.

Stochastic processes, optimization, and control theory

applications in financial engineering, queueing networks, and manufacturing systems : a volume in honour of Suresh Sethi

by Houmin Yan

  • 191 Want to read
  • 13 Currently reading

Published by Springer in New York, London .
Written in English

    Subjects:
  • Mathematical models,
  • Stochastic systems,
  • Production control

  • Edition Notes

    Statementedited by Houmin Yan, G. George Yin and Qing Zhang
    SeriesInternational series in operations research & management science -- 94
    ContributionsSethi, Suresh P.
    The Physical Object
    Pagination1 v.
    ID Numbers
    Open LibraryOL27089447M
    ISBN 101441941487
    ISBN 109781441941480
    OCLC/WorldCa751583761

    Stochastic portfolio theory is a novel mathematical framework for constructing portfolios, analyzing the behavior of portfolios, and understanding the structure of equity markets. This new theory is descriptive as opposed to normative, and is consistent with the observed behavior and structure of actual : Springer-Verlag New York. In probability theory and related fields, a stochastic or random process is a mathematical object usually defined as a family of random ically, the random variables were associated with or indexed by a set of numbers, usually viewed as points in time, giving the interpretation of a stochastic process representing numerical values of some system randomly changing over time, such.

    Biography of I.I. Gikhman. Iosif Ilyich Gikhman was born on the 26 th of May in the city of Uman, Ukraine. He studied in Kiev, graduating in , then remained there to teach and do research under the supervision of N. Bogolyubov, defending a "candidate" thesis on the influence of random processes on dynamical systems in and a doctoral dissertation on Markov processes and. stochastic models in queueing theory Download stochastic models in queueing theory or read online books in PDF, EPUB, Tuebl, and Mobi Format. Click Download or Read Online button to get stochastic models in queueing theory book now. This site is like a library, Use search box in the widget to get ebook that you want.

      texts All Books All Texts latest This Just In Smithsonian Libraries FEDLINK Introduction To Stochastic Control Theory Astrom Item Preview remove-circle Disturbances, Uncertainties, Random processes, stochastic processes Collection folkscanomy; additional_collections Language English. Introduction to Stochastic Control Theory by Karl Astrom. A ‘stochastic’ process is a ‘random’ or ‘conjectural’ process, and this book is concerned with applied probability and statistics. Whilst maintaining the mathematical rigour this subject requires, it addresses topics of interest to engineers, such as problems in modelling, control.


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Stochastic processes, optimization, and control theory by Houmin Yan Download PDF EPUB FB2

One of the salient features is that the book is highly multi-disciplinary. It assembles experts from the fields of operations research, control theory and optimization, stochastic analysis, and financial engineering to review and substantially update the recent progress in these : $ Stochastic Processes, Estimation, and Control: The Entropy Approach is the first book to apply the thermodynamic principle of entropy to the measurement and analysis of uncertainty in systems.

Its new reformulation takes an important first step toward a unified approach to the theory Cited by: 2. A comprehensive treatment of stochastic systems beginning with the foundations of probability and ending with stochastic optimal control.

The book divides into three interrelated topics. First, the concepts of probability theory, random variables and stochastic processes are presented, which leads easily to expectation, conditional expectation, and discrete time estimation and the Kalman by: Stochastic Processes, Estimation, and Control is divided into three related sections.

First, the authors present the concepts of probability theory, random variables, and stochastic processes, which lead to the topics of expectation, conditional expectation, and discrete-time estimation and the Kalman filter.

Stochastic Optimal Control: Theory and Application [Stengel, Robert F.] on *FREE* shipping on qualifying offers. Stochastic Optimal Control: Theory and ApplicationCited by: This importance class of stochastic estimation problems has ramifications for the estimation and control theory presented in the remainder of this book.

Minimum Variance Estimation The thought may have crossed your mind that conditional expectation is an odd subject for a book chapter. Introduction to Stochastic Control Theory and millions of other books are available for Amazon Kindle. Enter your mobile number or email address below and we'll send you a link to download the free Kindle App.

Then you can start reading Kindle books on your smartphone, tablet, or computer - no Kindle device Cited by: Stochastic processes, optimization, and control theory: applications in financial engineering, queueing networks, and manufacturing systems. A volume in honor of Suresh Sethi on the occasion of.

Buy Stochastic Processes, Optimization, and Control Theory - Applications in Financial Engineering, Queueing Networks, and Manufacturing Systems: A Volume in Operations Research & Management Science) by Houmin Yan, G. George Yin, Qing Zhang (ISBN: ) from Amazon's Book Store.

Everyday low prices and free delivery on eligible orders. In the second part of the book we give an introduction to stochastic optimal control for Markov diffusion processes. Our treatment follows the dynamic pro­ gramming method, and depends on the intimate relationship between second­ order partial differential equations of parabolic type and stochastic differential equations.

Stochastic processes and control theory are used under optimization to illustrate the various economic implications of optimal decision rules. Unlike econometrics which deals with estimation, this book emphasizes the decision-theoretic basis of uncertainty specified by the stochastic point of view.

By Huyen Pham, Continuous-time Stochastic Control and Optimization with Financial Applications. You can also get started with some lecture notes by the same author. This treatment is in much less depth: Page on This is the only bo. The first three chapters provide motivation and background material on stochastic processes, followed by an analysis of dynamical systems with inputs of stochastic processes.

A simple version of the problem of optimal control of stochastic systems is discussed, along with an example of an industrial application of this theory. This book lays out basic and advanced tools to handle and numerically solve such problems and thereby is building a bridge between Stochastic Programming and Stochastic Control.

It is intended for graduates readers and scholars in optimization or stochastic control, as well as engineers with a background in applied mathematics. Lectures on stochastic programming: modeling and theory / Alexander Shapiro, Darinka Dentcheva, Andrzej Ruszczynski.

The main topic of this book is optimization problems involving uncertain parameters, theoretical richness of the theory of probability and stochastic processes, and to sound. Books shelved as stochastic-processes: Introduction to Stochastic Processes by Gregory F.

Lawler, Adventures in Stochastic Processes by Sidney I. Resnick. Introduction to Probability and Stochastic Processes with Applications is an ideal book for probability courses at the upper-undergraduate level.

The book is also a valuable reference for researchers and practitioners in the fields of engineering, operations research, and computer science who conduct data analysis to make decisions in their. Referring to the Examples and in Prof.

Lewis' book (Optimal and Robust Estimation: With an Introduction to Stochastic Control Theory, 2e), the attached MATLAB example (m-file) shows how to. Stochastic Process Book Recommendations. I'm looking for a recommendation for a book on stochastic processes for an independent study that I'm planning on taking in the next semester.

Something that doesn't go into the full blown derivations from a measure theory point of view, but still gives a thorough treatment of the subject. Dynamic Asset Pricing Theory, Duffie I prefer to use my own lecture notes, which cover exactly the topics that I want.

I like very much each of the books above. I list below a little about each book. Does a great job of explaining things, especially in discrete time. Hull—More a book in straight finance, which is what it is intended.

4 Introductory Lectures on Stochastic Optimization focusing on non-stochastic optimization problems for which there are many so-phisticated methods.

Because of our goal to solve problems of the form (), we develop first-order methods that are in some File Size: 1MB.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 Brand: Birkhäuser Boston.I’d like to recommend you the book following: Probability, Random Variables and Stochastic Processes * Author: Athanasios Papoulis;Unnikrishna Pillai * Paperback: pages * Publisher: McGraw-Hill Europe; 4th edition (January 1, ) * Language.