Stochastic Control in Discrete and Continuous Time

Stochastic Control in Discrete and Continuous Time
Title Stochastic Control in Discrete and Continuous Time PDF eBook
Author Atle Seierstad
Publisher Springer Science & Business Media
Pages 299
Release 2008-11-11
Genre Mathematics
ISBN 0387766162

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This book contains an introduction to three topics in stochastic control: discrete time stochastic control, i. e. , stochastic dynamic programming (Chapter 1), piecewise - terministic control problems (Chapter 3), and control of Ito diffusions (Chapter 4). The chapters include treatments of optimal stopping problems. An Appendix - calls material from elementary probability theory and gives heuristic explanations of certain more advanced tools in probability theory. The book will hopefully be of interest to students in several ?elds: economics, engineering, operations research, ?nance, business, mathematics. In economics and business administration, graduate students should readily be able to read it, and the mathematical level can be suitable for advanced undergraduates in mathem- ics and science. The prerequisites for reading the book are only a calculus course and a course in elementary probability. (Certain technical comments may demand a slightly better background. ) As this book perhaps (and hopefully) will be read by readers with widely diff- ing backgrounds, some general advice may be useful: Don’t be put off if paragraphs, comments, or remarks contain material of a seemingly more technical nature that you don’t understand. Just skip such material and continue reading, it will surely not be needed in order to understand the main ideas and results. The presentation avoids the use of measure theory.

Continuous-time Stochastic Control and Optimization with Financial Applications

Continuous-time Stochastic Control and Optimization with Financial Applications
Title Continuous-time Stochastic Control and Optimization with Financial Applications PDF eBook
Author Huyên Pham
Publisher Springer Science & Business Media
Pages 243
Release 2009-05-28
Genre Mathematics
ISBN 3540895000

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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. This volume provides a systematic treatment of stochastic optimization problems applied to finance by presenting the different existing methods: dynamic programming, viscosity solutions, backward stochastic differential equations, and martingale duality methods. The theory is discussed in the context of recent developments in this field, with complete and detailed proofs, and is illustrated by means of concrete examples from the world of finance: portfolio allocation, option hedging, real options, optimal investment, etc. This book is directed towards graduate students and researchers in mathematical finance, and will also benefit applied mathematicians interested in financial applications and practitioners wishing to know more about the use of stochastic optimization methods in finance.

Linear Stochastic Control Systems

Linear Stochastic Control Systems
Title Linear Stochastic Control Systems PDF eBook
Author Goong Chen
Publisher CRC Press
Pages 404
Release 1995-07-12
Genre Business & Economics
ISBN 9780849380754

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Linear Stochastic Control Systems presents a thorough description of the mathematical theory and fundamental principles of linear stochastic control systems. Both continuous-time and discrete-time systems are thoroughly covered. Reviews of the modern probability and random processes theories and the Itô stochastic differential equations are provided. Discrete-time stochastic systems theory, optimal estimation and Kalman filtering, and optimal stochastic control theory are studied in detail. A modern treatment of these same topics for continuous-time stochastic control systems is included. The text is written in an easy-to-understand style, and the reader needs only to have a background of elementary real analysis and linear deterministic systems theory to comprehend the subject matter. This graduate textbook is also suitable for self-study, professional training, and as a handy research reference. Linear Stochastic Control Systems is self-contained and provides a step-by-step development of the theory, with many illustrative examples, exercises, and engineering applications.

Stochastic Optimal Control

Stochastic Optimal Control
Title Stochastic Optimal Control PDF eBook
Author Dimitri P. Bertsekas
Publisher
Pages 323
Release 1961
Genre Dynamic programming
ISBN 9780120932603

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Foundations of Deterministic and Stochastic Control

Foundations of Deterministic and Stochastic Control
Title Foundations of Deterministic and Stochastic Control PDF eBook
Author Jon H. Davis
Publisher Springer Science & Business Media
Pages 434
Release 2012-12-06
Genre Mathematics
ISBN 1461200717

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"This volume is a textbook on linear control systems with an emphasis on stochastic optimal control with solution methods using spectral factorization in line with the original approach of N. Wiener. Continuous-time and discrete-time versions are presented in parallel.... Two appendices introduce functional analytic concepts and probability theory, and there are 77 references and an index. The chapters (except for the last two) end with problems.... [T]he book presents in a clear way important concepts of control theory and can be used for teaching." —Zentralblatt Math "This is a textbook intended for use in courses on linear control and filtering and estimation on (advanced) levels. Its major purpose is an introduction to both deterministic and stochastic control and estimation. Topics are treated in both continuous time and discrete time versions.... Each chapter involves problems and exercises, and the book is supplemented by appendices, where fundamentals on Hilbert and Banach spaces, operator theory, and measure theoretic probability may be found. The book will be very useful for students, but also for a variety of specialists interested in deterministic and stochastic control and filtering." —Applications of Mathematics "The strength of the book under review lies in the choice of specialized topics it contains, which may not be found in this form elsewhere. Also, the first half would make a good standard course in linear control." —Journal of the Indian Institute of Science

Stochastic Differential Equations with Markovian Switching

Stochastic Differential Equations with Markovian Switching
Title Stochastic Differential Equations with Markovian Switching PDF eBook
Author Xuerong Mao
Publisher Imperial College Press
Pages 430
Release 2006
Genre Mathematics
ISBN 1860947018

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This textbook provides the first systematic presentation of the theory of stochastic differential equations with Markovian switching. It presents the basic principles at an introductory level but emphasizes current advanced level research trends. The material takes into account all the features of Ito equations, Markovian switching, interval systems and time-lag. The theory developed is applicable in different and complicated situations in many branches of science and industry.

Discrete-Time Markov Jump Linear Systems

Discrete-Time Markov Jump Linear Systems
Title Discrete-Time Markov Jump Linear Systems PDF eBook
Author O.L.V. Costa
Publisher Springer Science & Business Media
Pages 287
Release 2006-03-30
Genre Mathematics
ISBN 1846280826

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This will be the most up-to-date book in the area (the closest competition was published in 1990) This book takes a new slant and is in discrete rather than continuous time