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Titlebook: Stochastic Processes, Optimization, and Control Theory: Applications in Financial Engineering, Queue; A Volume in Honor of Houmin Yan,Georg

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书目名称Stochastic Processes, Optimization, and Control Theory: Applications in Financial Engineering, Queue
副标题A Volume in Honor of
编辑Houmin Yan,George Yin,Qing Zhang
视频videohttp://file.papertrans.cn/879/878139/878139.mp4
概述Contributing authors of the volume are many of the leading researchers in the application and optimization of Control Theory in the Applied Sciences.Examines the introduction of stochastic analysis an
丛书名称International Series in Operations Research & Management Science
图书封面Titlebook: Stochastic Processes, Optimization, and Control Theory: Applications in Financial Engineering, Queue; A Volume in Honor of Houmin Yan,Georg
描述.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. 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 fields. Another distinct characteristic of the book is that all papers are motivated by applications in which optimization, control, and stochastics are inseparable. The book will be a timely addition to the literature and will be of interest to people working in the aforementioned fields. ...Most importantly, this volume is dedicated to Professor Suresh Sethi on the occasion of his 60.th. birthday. In view of his fundamental contributions, his distinguished career, his substantial achievements, his influence on the areas of control theory and applications, operations research, and management science, and his dedication to the scientific community, a n
出版日期Book 2006
关键词Manufacturing; Manufacturing System; Optimization Methods; Stochastic Optimization; Stochastic Processes
版次1
doihttps://doi.org/10.1007/0-387-33815-2
isbn_softcover978-1-4419-4148-0
isbn_ebook978-0-387-33815-6Series ISSN 0884-8289 Series E-ISSN 2214-7934
issn_series 0884-8289
copyrightSpringer-Verlag US 2006
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Supply Portfolio Selection and Execution with Demand Information Updates,ion. Further, we demonstrate that the optimal portfolio selection follows a base-stock policy and the option execution follows a modified base-stock policy. We also develop the structural properties of the optimal policy with respect to option contracts and inventories.
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TCP-AQM Interaction: Periodic Optimization via Linear Programming,blem, and we find this solution using a linear programming approach. We show that depending on the choice of the utility function for the sending rate, the optimal control is either periodic or steady state.
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Extended Generators of Markov Processes and Applications,ses and corresponding martingale process is also provided. A controlled martingale problem is examined. Suitable version of Bellman’s optimality equations are introduced, and the corresponding verification theorem, which extends the classical optimality results for continuous time and discrete time controls, is established.
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A Regime-Switching Model for European Options,to compute the pricing formula, using a successive approximation scheme with a geometric rate of convergence. Using numerical examples of simple, two- or three-state Markov chain models, we are able to demonstrate the presence of the volatility smile and volatility term structure.
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