Numerical Methods For Stochastic Control Problems In Continuous Time
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Numerical Methods For Stochastic Control Problems In Continuous Time
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Author : Harold Kushner
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06
Numerical Methods For Stochastic Control Problems In Continuous Time written by Harold Kushner and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-12-06 with Science categories.
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.
Numerical Methods For Stochastic Control Problems In Continuous Time
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Author : Harold J. Kushner
language : en
Publisher: Springer Science & Business Media
Release Date : 2001
Numerical Methods For Stochastic Control Problems In Continuous Time written by Harold J. Kushner and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001 with Language Arts & Disciplines categories.
The required background is surveyed, and there is an extensive development of methods of approximation and computational algorithms. The book is written on two levels: algorithms and applications, and mathematical proofs. Thus, the ideas should be very accessible to a broad audience."--BOOK JACKET.
Numerical Methods For Stochastic Control Problems In Continuous Time
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Author : Harold Kushner
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-11-27
Numerical Methods For Stochastic Control Problems In Continuous Time written by Harold Kushner and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-11-27 with Mathematics categories.
Changes in the second edition. The second edition differs from the first in that there is a full development of problems where the variance of the diffusion term and the jump distribution can be controlled. Also, a great deal of new material concerning deterministic problems has been added, including very efficient algorithms for a class of problems of wide current interest. 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 problem formulations and sometimes surprising applications appear regu larly. We have chosen forms of the models which cover the great bulk of the formulations 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.
Numerical Methods For Stochastic Control Problems In Continuous Time
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Author : Harold Joseph Kushner
language : en
Publisher: Springer Science & Business Media
Release Date : 1992
Numerical Methods For Stochastic Control Problems In Continuous Time written by Harold Joseph Kushner and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 1992 with Distribution (Probability theory) categories.
Stochastic control is a very active area of research and this monograph, written by two leading authorities in the field, has been updated to reflect the latest developments. It covers effective numerical methods for stochastic control problems in continuous time on two levels: that of practice (algorithms and applications) and that of mathematical development. It is broadly accessible for graduate students and researchers.
Numerical Methods For Optimal Control Problems
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Author : Maurizio Falcone
language : en
Publisher: Springer
Release Date : 2019-02-05
Numerical Methods For Optimal Control Problems written by Maurizio Falcone and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-02-05 with Science categories.
This work presents recent mathematical methods in the area of optimal control with a particular emphasis on the computational aspects and applications. Optimal control theory concerns the determination of control strategies for complex dynamical systems, in order to optimize some measure of their performance. Started in the 60's under the pressure of the "space race" between the US and the former USSR, the field now has a far wider scope, and embraces a variety of areas ranging from process control to traffic flow optimization, renewable resources exploitation and management of financial markets. These emerging applications require more and more efficient numerical methods for their solution, a very difficult task due the huge number of variables. The chapters of this volume give an up-to-date presentation of several recent methods in this area including fast dynamic programming algorithms, model predictive control and max-plus techniques. This book is addressed to researchers, graduate students and applied scientists working in the area of control problems, differential games and their applications.
Applied Stochastic Control Of Jump Diffusions
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Author : Bernt Øksendal
language : en
Publisher: Springer Science & Business Media
Release Date : 2007-04-26
Applied Stochastic Control Of Jump Diffusions written by Bernt Øksendal and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007-04-26 with Mathematics categories.
Here is a rigorous introduction to the most important and useful solution methods of various types of stochastic control problems for jump diffusions and its applications. Discussion includes the dynamic programming method and the maximum principle method, and their relationship. The text emphasises real-world applications, primarily in finance. Results are illustrated by examples, with end-of-chapter exercises including complete solutions. The 2nd edition adds a chapter on optimal control of stochastic partial differential equations driven by Lévy processes, and a new section on optimal stopping with delayed information. Basic knowledge of stochastic analysis, measure theory and partial differential equations is assumed.
Stochastic Multi Stage Optimization
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Author : Pierre Carpentier
language : en
Publisher: Springer
Release Date : 2015-05-05
Stochastic Multi Stage Optimization written by Pierre Carpentier and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-05-05 with Mathematics categories.
The focus of the present volume is stochastic optimization of dynamical systems in discrete time where - by concentrating on the role of information regarding optimization problems - it discusses the related discretization issues. There is a growing need to tackle uncertainty in applications of optimization. For example the massive introduction of renewable energies in power systems challenges traditional ways to manage them. 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.
Modeling Stochastic Control Optimization And Applications
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Author : George Yin
language : en
Publisher: Springer
Release Date : 2019-07-16
Modeling Stochastic Control Optimization And Applications written by George Yin and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-07-16 with Mathematics categories.
This volume collects papers, based on invited talks given at the IMA workshop in Modeling, Stochastic Control, Optimization, and Related Applications, held at the Institute for Mathematics and Its Applications, University of Minnesota, during May and June, 2018. There were four week-long workshops during the conference. They are (1) stochastic control, computation methods, and applications, (2) queueing theory and networked systems, (3) ecological and biological applications, and (4) finance and economics applications. For broader impacts, researchers from different fields covering both theoretically oriented and application intensive areas were invited to participate in the conference. It brought together researchers from multi-disciplinary communities in applied mathematics, applied probability, engineering, biology, ecology, and networked science, to review, and substantially update most recent progress. As an archive, this volume presents some of the highlights of the workshops, and collect papers covering a broad range of topics.
Numerical Methods For Controlled Stochastic Delay Systems
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Author : Harold Kushner
language : en
Publisher: Springer Science & Business Media
Release Date : 2008-12-19
Numerical Methods For Controlled Stochastic Delay Systems written by Harold Kushner and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008-12-19 with Science categories.
The Markov chain approximation methods are widely used for the numerical solution of nonlinear stochastic control problems in continuous time. This book extends the methods to stochastic systems with delays. The book is the first on the subject and will be of great interest to all those who work with stochastic delay equations and whose main interest is either in the use of the algorithms or in the mathematics. An excellent resource for graduate students, researchers, and practitioners, the work may be used as a graduate-level textbook for a special topics course or seminar on numerical methods in stochastic control.
Handbook Of Computational And Numerical Methods In Finance
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Author : Svetlozar T. Rachev
language : en
Publisher: Springer Science & Business Media
Release Date : 2011-06-28
Handbook Of Computational And Numerical Methods In Finance written by Svetlozar T. Rachev and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-06-28 with Mathematics categories.
Numerical Methods in Finance have recently emerged as a new discipline at the intersection of probability theory, finance and numerical analysis. They bridge the gap between financial theory and computational practice and provide solutions to problems where analytical methods are often non-applicable. Numerical methods are more and more used in several topics of financial analy sis: computation of complex derivatives; market, credit and operational risk assess ment, asset liability management, optimal portfolio theory, financial econometrics and others. Although numerical methods in finance have been studied intensively in recent years, many theoretical and practical financial aspects have yet to be explored. This volume presents current research focusing on various numerical methods in finance. The contributions cover methodological issues. Genetic Algorithms, Neural Net works, Monte-Carlo methods, Finite Difference Methods, Stochastic Portfolio Opti mization as well as the application of other numerical methods in finance and risk management. As editor, I am grateful to the contributors for their fruitful collaboration. I would particularly like to thankStefan Trueck and Carlo Marinelli for the excellent editorial assistance received over the progress of this project. Thomas Plum did a splendid word-processingjob in preparing the manuscript. lowe much to George Anastassiou (ConsultantEditor, Birkhauser) and Ann Kostant Executive Editor, Mathematics and Physics, Birkhauser for their help and encouragement.