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Books Books 1 - 10 of about 45 related to Controlled Markov Processes and Viscosity Solutions.   

Applied Stochastic Control of Jump Diffusions

Bernt Øksendal, Agnès Sulem-Bialobroda - Mathematics - 2006 - 214 pages
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 ...
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Stochastic Theory and Control: Proceedings of a Workshop held in Lawrence ...

Bozenna Pasik-Duncan - Mathematics - 2002 - 566 pages
This volume contains almost all of the papers that were presented at the Workshop on Stochastic Theory and Control that was held at the Univ- sity of Kansas, 18–20 October 2001 ...
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Optimal Control Theory: Applications to Management Science and Economics

Suresh P. Sethi, Gerald L. Thompson - Business & Economics - 2005 - 504 pages
Optimal control methods are used to determine the best ways to control a dynamic system. This book applies theoretical work to business management problems developed from the ...
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Continuous-time Stochastic Control and Optimization with Financial Applications

Huyên Pham - Mathematics - 2009 - 232 pages
Stochastic optimization problems arise in decision-making problems under uncertainty, and find various applications in economics and finance. On the other hand, problems in ...
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Average-Cost Control of Stochastic Manufacturing Systems

Suresh P. Sethi, Han-Qin Zhang, Qing Zhang - Business & Economics - 2006 - 324 pages
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 ...
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Deterministic and Stochastic Optimal Control

Wendell H. Fleming, Raymond W. Rishel - Mathematics - 2012 - 222 pages
This book may be regarded as consisting of two parts. In Chapters I-IV we pre sent what we regard as essential topics in an introduction to deterministic optimal control theory ...
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Mathematical Aspects of Evolving Interfaces: Lectures given at the C.I.M.-C ...

Luigi Ambrosio, Klaus Deckelnick, Gerhard Dziuk, Masayasu Mimura, Vsvolod Solonnikov, Halil Mete Soner - Mathematics - 2003 - 248 pages
Interfaces are geometrical objects modelling free or moving boundaries and arise in a wide range of phase change problems in physical and biological sciences, particularly in ...
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Paris-Princeton Lectures on Mathematical Finance 2002

Peter Bank, Fabrice Baudoin, Hans Föllmer, L. C. G. Rogers, Halil Mete Soner, Nizar Touzi - Mathematics - 2003 - 178 pages
The Paris-Princeton Lectures in Financial Mathematics, of which this is the first volume, will, on an annual basis, publish cutting-edge research in self-contained, expository ...
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