This book covers the optimal control of solutions of fully observable Ito-type stochastic differential equations. It proves the validity of the Bellman differential equation for payoff functions and develops rules for optimal control strategies.
This book covers the optimal control of solutions of fully observable Ito-type stochastic differential equations. It proves the validity of the Bel...
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 led to various developments in the theory of stochastic control. This title provides a systematic treatment of stochastic optimization problems applied to finance.
Stochastic optimization problems arise in decision-making problems under uncertainty, and find various applications in economics and finance. On the o...
This volume provides the first book entirely devoted to recent developments on the theory and applications of continuous-time Markov decision processes (MDPs). The MDPs presented here include most of the cases that arise in applications.
This volume provides the first book entirely devoted to recent developments on the theory and applications of continuous-time Markov decision proce...
Large deviation estimates have proved to be the crucial tool required to handle many questions in statistics, engineering, statistial mechanics, and applied probability. Amir Dembo and Ofer Zeitouni, two of the leading researchers in the field, provide an introduction to the theory of large deviations and applications at a level suitable for graduate students. The mathematics is rigorous and the applications come from a wide range of areas, including electrical engineering and DNA sequences.
The second edition, printed in 1998, included new material on concentration inequalities and...
Large deviation estimates have proved to be the crucial tool required to handle many questions in statistics, engineering, statistial mechanics, an...
This volume provides an introduction to stochastic differential equations with jumps, in both theory and application. The book is accessible and contains many new results on numerical methods but also innovative methodologies in quantitative finance.
This volume provides an introduction to stochastic differential equations with jumps, in both theory and application. The book is accessible and co...
"This book is a highly recommendable survey of mathematical tools and results in applied probability with special emphasis on queueing theory....The second edition at hand is a thoroughly updated and considerably expended version of the first edition.... This book and the way the various topics are balanced are a welcome addition to the literature. It is an indispensable source of information for both advanced graduate students and researchers." --MATHEMATICAL REVIEWS
"This book is a highly recommendable survey of mathematical tools and results in applied probability with special emphasis on queueing theory....Th...
Monte Carlo simulation has become an essential tool in the pricing of derivative securities and in risk management. These applications have, in turn, stimulated research into new Monte Carlo methods and renewed interest in some older techniques.
This book develops the use of Monte Carlo methods in finance and it also uses simulation as a vehicle for presenting models and ideas from financial engineering. It divides roughly into three parts. The first part develops the fundamentals of Monte Carlo methods, the foundations of derivatives pricing, and the implementation of several of...
Monte Carlo simulation has become an essential tool in the pricing of derivative securities and in risk management. These applications have, in tur...
Most manufacturing systems are large, complex, and operate in an environment of uncertainty. It is common practice to manage such systems in a hierarchical fashion. This book articulates a new theory that shows that hierarchical decision making can in fact lead to a near optimization of system goals. The material in the book cuts across disciplines. It will appeal to graduate students and researchers in applied mathematics, operations management, operations research, and system and control theory.
Most manufacturing systems are large, complex, and operate in an environment of uncertainty. It is common practice to manage such systems in a hier...
This book focuses on two-time-scale Markov chains in discrete time. Our motivation stems from existing and emerging applications in optimization and control of complex systems in manufacturing, wireless communication, and ?nancial engineering. Much of our e?ort in this book is devoted to designing system models arising from various applications, analyzing them via analytic and probabilistic techniques, and developing feasible compu- tionalschemes. Ourmainconcernistoreducetheinherentsystemcompl- ity. Although each of the applications has its own distinct characteristics, all of them are...
This book focuses on two-time-scale Markov chains in discrete time. Our motivation stems from existing and emerging applications in optimization and c...
The objective of this book is to collect in a single volume the essentials of stochastic networks, from the classical product-form theory to the more re- cent developments such as diffusion and fluid limits, stochastic comparisons, stability, control (dynamic scheduling) and optimization. The selection of materials inevitably is a reflection upon our bias and preference, but it is also driven to a large extent by our desire to provide a graduate-level text that is well balanced in breadth and depth, suitable for the classroom. Given the wide-ranging applications of stochastic networks in...
The objective of this book is to collect in a single volume the essentials of stochastic networks, from the classical product-form theory to the more ...
